R version 2.9.0 (2009-04-17)
Copyright (C) 2009 The R Foundation for Statistical Computing
ISBN 3-900051-07-0
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
> x <- array(list(4132
+ ,537
+ ,4486
+ ,4625
+ ,3971
+ ,3397
+ ,4685
+ ,543
+ ,4132
+ ,4486
+ ,4625
+ ,3971
+ ,3172
+ ,594
+ ,4685
+ ,4132
+ ,4486
+ ,4625
+ ,4280
+ ,611
+ ,3172
+ ,4685
+ ,4132
+ ,4486
+ ,4207
+ ,613
+ ,4280
+ ,3172
+ ,4685
+ ,4132
+ ,4158
+ ,611
+ ,4207
+ ,4280
+ ,3172
+ ,4685
+ ,3933
+ ,594
+ ,4158
+ ,4207
+ ,4280
+ ,3172
+ ,3151
+ ,595
+ ,3933
+ ,4158
+ ,4207
+ ,4280
+ ,3616
+ ,591
+ ,3151
+ ,3933
+ ,4158
+ ,4207
+ ,4221
+ ,589
+ ,3616
+ ,3151
+ ,3933
+ ,4158
+ ,4436
+ ,584
+ ,4221
+ ,3616
+ ,3151
+ ,3933
+ ,4807
+ ,573
+ ,4436
+ ,4221
+ ,3616
+ ,3151
+ ,4849
+ ,567
+ ,4807
+ ,4436
+ ,4221
+ ,3616
+ ,5024
+ ,569
+ ,4849
+ ,4807
+ ,4436
+ ,4221
+ ,3521
+ ,621
+ ,5024
+ ,4849
+ ,4807
+ ,4436
+ ,4650
+ ,629
+ ,3521
+ ,5024
+ ,4849
+ ,4807
+ ,5393
+ ,628
+ ,4650
+ ,3521
+ ,5024
+ ,4849
+ ,5147
+ ,612
+ ,5393
+ ,4650
+ ,3521
+ ,5024
+ ,4845
+ ,595
+ ,5147
+ ,5393
+ ,4650
+ ,3521
+ ,3995
+ ,597
+ ,4845
+ ,5147
+ ,5393
+ ,4650
+ ,4493
+ ,593
+ ,3995
+ ,4845
+ ,5147
+ ,5393
+ ,4680
+ ,590
+ ,4493
+ ,3995
+ ,4845
+ ,5147
+ ,5463
+ ,580
+ ,4680
+ ,4493
+ ,3995
+ ,4845
+ ,4761
+ ,574
+ ,5463
+ ,4680
+ ,4493
+ ,3995
+ ,5307
+ ,573
+ ,4761
+ ,5463
+ ,4680
+ ,4493
+ ,5069
+ ,573
+ ,5307
+ ,4761
+ ,5463
+ ,4680
+ ,3501
+ ,620
+ ,5069
+ ,5307
+ ,4761
+ ,5463
+ ,4952
+ ,626
+ ,3501
+ ,5069
+ ,5307
+ ,4761
+ ,5152
+ ,620
+ ,4952
+ ,3501
+ ,5069
+ ,5307
+ ,5317
+ ,588
+ ,5152
+ ,4952
+ ,3501
+ ,5069
+ ,5189
+ ,566
+ ,5317
+ ,5152
+ ,4952
+ ,3501
+ ,4030
+ ,557
+ ,5189
+ ,5317
+ ,5152
+ ,4952
+ ,4420
+ ,561
+ ,4030
+ ,5189
+ ,5317
+ ,5152
+ ,4571
+ ,549
+ ,4420
+ ,4030
+ ,5189
+ ,5317
+ ,4551
+ ,532
+ ,4571
+ ,4420
+ ,4030
+ ,5189
+ ,4819
+ ,526
+ ,4551
+ ,4571
+ ,4420
+ ,4030
+ ,5133
+ ,511
+ ,4819
+ ,4551
+ ,4571
+ ,4420
+ ,4532
+ ,499
+ ,5133
+ ,4819
+ ,4551
+ ,4571
+ ,3339
+ ,555
+ ,4532
+ ,5133
+ ,4819
+ ,4551
+ ,4380
+ ,565
+ ,3339
+ ,4532
+ ,5133
+ ,4819
+ ,4632
+ ,542
+ ,4380
+ ,3339
+ ,4532
+ ,5133
+ ,4719
+ ,527
+ ,4632
+ ,4380
+ ,3339
+ ,4532
+ ,4212
+ ,510
+ ,4719
+ ,4632
+ ,4380
+ ,3339
+ ,3615
+ ,514
+ ,4212
+ ,4719
+ ,4632
+ ,4380
+ ,3420
+ ,517
+ ,3615
+ ,4212
+ ,4719
+ ,4632
+ ,4571
+ ,508
+ ,3420
+ ,3615
+ ,4212
+ ,4719
+ ,4407
+ ,493
+ ,4571
+ ,3420
+ ,3615
+ ,4212
+ ,4386
+ ,490
+ ,4407
+ ,4571
+ ,3420
+ ,3615
+ ,4386
+ ,469
+ ,4386
+ ,4407
+ ,4571
+ ,3420
+ ,4744
+ ,478
+ ,4386
+ ,4386
+ ,4407
+ ,4571
+ ,3185
+ ,528
+ ,4744
+ ,4386
+ ,4386
+ ,4407
+ ,3890
+ ,534
+ ,3185
+ ,4744
+ ,4386
+ ,4386
+ ,4520
+ ,518
+ ,3890
+ ,3185
+ ,4744
+ ,4386
+ ,3990
+ ,506
+ ,4520
+ ,3890
+ ,3185
+ ,4744
+ ,3809
+ ,502
+ ,3990
+ ,4520
+ ,3890
+ ,3185
+ ,3236
+ ,516
+ ,3809
+ ,3990
+ ,4520
+ ,3890
+ ,3551
+ ,528
+ ,3236
+ ,3809
+ ,3990
+ ,4520
+ ,3264
+ ,533
+ ,3551
+ ,3236
+ ,3809
+ ,3990
+ ,3579
+ ,536
+ ,3264
+ ,3551
+ ,3236
+ ,3809
+ ,3537
+ ,537
+ ,3579
+ ,3264
+ ,3551
+ ,3236
+ ,3038
+ ,524
+ ,3537
+ ,3579
+ ,3264
+ ,3551
+ ,2888
+ ,536
+ ,3038
+ ,3537
+ ,3579
+ ,3264
+ ,2198
+ ,587
+ ,2888
+ ,3038
+ ,3537
+ ,3579)
+ ,dim=c(6
+ ,63)
+ ,dimnames=list(c('Y'
+ ,'X'
+ ,'Y1'
+ ,'Y2'
+ ,'Y3'
+ ,'Y4')
+ ,1:63))
> y <- array(NA,dim=c(6,63),dimnames=list(c('Y','X','Y1','Y2','Y3','Y4'),1:63))
> for (i in 1:dim(x)[1])
+ {
+ for (j in 1:dim(x)[2])
+ {
+ y[i,j] <- as.numeric(x[i,j])
+ }
+ }
> par3 = 'No Linear Trend'
> par2 = 'Include Monthly Dummies'
> par1 = '1'
> #'GNU S' R Code compiled by R2WASP v. 1.0.44 ()
> #Author: Prof. Dr. P. Wessa
> #To cite this work: AUTHOR(S), (YEAR), YOUR SOFTWARE TITLE (vNUMBER) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_YOURPAGE.wasp/
> #Source of accompanying publication: Office for Research, Development, and Education
> #Technical description: Write here your technical program description (don't use hard returns!)
> library(lattice)
> library(lmtest)
Loading required package: zoo
Attaching package: 'zoo'
The following object(s) are masked from package:base :
as.Date.numeric
> n25 <- 25 #minimum number of obs. for Goldfeld-Quandt test
> par1 <- as.numeric(par1)
> x <- t(y)
> k <- length(x[1,])
> n <- length(x[,1])
> x1 <- cbind(x[,par1], x[,1:k!=par1])
> mycolnames <- c(colnames(x)[par1], colnames(x)[1:k!=par1])
> colnames(x1) <- mycolnames #colnames(x)[par1]
> x <- x1
> if (par3 == 'First Differences'){
+ x2 <- array(0, dim=c(n-1,k), dimnames=list(1:(n-1), paste('(1-B)',colnames(x),sep='')))
+ for (i in 1:n-1) {
+ for (j in 1:k) {
+ x2[i,j] <- x[i+1,j] - x[i,j]
+ }
+ }
+ x <- x2
+ }
> if (par2 == 'Include Monthly Dummies'){
+ x2 <- array(0, dim=c(n,11), dimnames=list(1:n, paste('M', seq(1:11), sep ='')))
+ for (i in 1:11){
+ x2[seq(i,n,12),i] <- 1
+ }
+ x <- cbind(x, x2)
+ }
> if (par2 == 'Include Quarterly Dummies'){
+ x2 <- array(0, dim=c(n,3), dimnames=list(1:n, paste('Q', seq(1:3), sep ='')))
+ for (i in 1:3){
+ x2[seq(i,n,4),i] <- 1
+ }
+ x <- cbind(x, x2)
+ }
> k <- length(x[1,])
> if (par3 == 'Linear Trend'){
+ x <- cbind(x, c(1:n))
+ colnames(x)[k+1] <- 't'
+ }
> x
Y X Y1 Y2 Y3 Y4 M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11
1 4132 537 4486 4625 3971 3397 1 0 0 0 0 0 0 0 0 0 0
2 4685 543 4132 4486 4625 3971 0 1 0 0 0 0 0 0 0 0 0
3 3172 594 4685 4132 4486 4625 0 0 1 0 0 0 0 0 0 0 0
4 4280 611 3172 4685 4132 4486 0 0 0 1 0 0 0 0 0 0 0
5 4207 613 4280 3172 4685 4132 0 0 0 0 1 0 0 0 0 0 0
6 4158 611 4207 4280 3172 4685 0 0 0 0 0 1 0 0 0 0 0
7 3933 594 4158 4207 4280 3172 0 0 0 0 0 0 1 0 0 0 0
8 3151 595 3933 4158 4207 4280 0 0 0 0 0 0 0 1 0 0 0
9 3616 591 3151 3933 4158 4207 0 0 0 0 0 0 0 0 1 0 0
10 4221 589 3616 3151 3933 4158 0 0 0 0 0 0 0 0 0 1 0
11 4436 584 4221 3616 3151 3933 0 0 0 0 0 0 0 0 0 0 1
12 4807 573 4436 4221 3616 3151 0 0 0 0 0 0 0 0 0 0 0
13 4849 567 4807 4436 4221 3616 1 0 0 0 0 0 0 0 0 0 0
14 5024 569 4849 4807 4436 4221 0 1 0 0 0 0 0 0 0 0 0
15 3521 621 5024 4849 4807 4436 0 0 1 0 0 0 0 0 0 0 0
16 4650 629 3521 5024 4849 4807 0 0 0 1 0 0 0 0 0 0 0
17 5393 628 4650 3521 5024 4849 0 0 0 0 1 0 0 0 0 0 0
18 5147 612 5393 4650 3521 5024 0 0 0 0 0 1 0 0 0 0 0
19 4845 595 5147 5393 4650 3521 0 0 0 0 0 0 1 0 0 0 0
20 3995 597 4845 5147 5393 4650 0 0 0 0 0 0 0 1 0 0 0
21 4493 593 3995 4845 5147 5393 0 0 0 0 0 0 0 0 1 0 0
22 4680 590 4493 3995 4845 5147 0 0 0 0 0 0 0 0 0 1 0
23 5463 580 4680 4493 3995 4845 0 0 0 0 0 0 0 0 0 0 1
24 4761 574 5463 4680 4493 3995 0 0 0 0 0 0 0 0 0 0 0
25 5307 573 4761 5463 4680 4493 1 0 0 0 0 0 0 0 0 0 0
26 5069 573 5307 4761 5463 4680 0 1 0 0 0 0 0 0 0 0 0
27 3501 620 5069 5307 4761 5463 0 0 1 0 0 0 0 0 0 0 0
28 4952 626 3501 5069 5307 4761 0 0 0 1 0 0 0 0 0 0 0
29 5152 620 4952 3501 5069 5307 0 0 0 0 1 0 0 0 0 0 0
30 5317 588 5152 4952 3501 5069 0 0 0 0 0 1 0 0 0 0 0
31 5189 566 5317 5152 4952 3501 0 0 0 0 0 0 1 0 0 0 0
32 4030 557 5189 5317 5152 4952 0 0 0 0 0 0 0 1 0 0 0
33 4420 561 4030 5189 5317 5152 0 0 0 0 0 0 0 0 1 0 0
34 4571 549 4420 4030 5189 5317 0 0 0 0 0 0 0 0 0 1 0
35 4551 532 4571 4420 4030 5189 0 0 0 0 0 0 0 0 0 0 1
36 4819 526 4551 4571 4420 4030 0 0 0 0 0 0 0 0 0 0 0
37 5133 511 4819 4551 4571 4420 1 0 0 0 0 0 0 0 0 0 0
38 4532 499 5133 4819 4551 4571 0 1 0 0 0 0 0 0 0 0 0
39 3339 555 4532 5133 4819 4551 0 0 1 0 0 0 0 0 0 0 0
40 4380 565 3339 4532 5133 4819 0 0 0 1 0 0 0 0 0 0 0
41 4632 542 4380 3339 4532 5133 0 0 0 0 1 0 0 0 0 0 0
42 4719 527 4632 4380 3339 4532 0 0 0 0 0 1 0 0 0 0 0
43 4212 510 4719 4632 4380 3339 0 0 0 0 0 0 1 0 0 0 0
44 3615 514 4212 4719 4632 4380 0 0 0 0 0 0 0 1 0 0 0
45 3420 517 3615 4212 4719 4632 0 0 0 0 0 0 0 0 1 0 0
46 4571 508 3420 3615 4212 4719 0 0 0 0 0 0 0 0 0 1 0
47 4407 493 4571 3420 3615 4212 0 0 0 0 0 0 0 0 0 0 1
48 4386 490 4407 4571 3420 3615 0 0 0 0 0 0 0 0 0 0 0
49 4386 469 4386 4407 4571 3420 1 0 0 0 0 0 0 0 0 0 0
50 4744 478 4386 4386 4407 4571 0 1 0 0 0 0 0 0 0 0 0
51 3185 528 4744 4386 4386 4407 0 0 1 0 0 0 0 0 0 0 0
52 3890 534 3185 4744 4386 4386 0 0 0 1 0 0 0 0 0 0 0
53 4520 518 3890 3185 4744 4386 0 0 0 0 1 0 0 0 0 0 0
54 3990 506 4520 3890 3185 4744 0 0 0 0 0 1 0 0 0 0 0
55 3809 502 3990 4520 3890 3185 0 0 0 0 0 0 1 0 0 0 0
56 3236 516 3809 3990 4520 3890 0 0 0 0 0 0 0 1 0 0 0
57 3551 528 3236 3809 3990 4520 0 0 0 0 0 0 0 0 1 0 0
58 3264 533 3551 3236 3809 3990 0 0 0 0 0 0 0 0 0 1 0
59 3579 536 3264 3551 3236 3809 0 0 0 0 0 0 0 0 0 0 1
60 3537 537 3579 3264 3551 3236 0 0 0 0 0 0 0 0 0 0 0
61 3038 524 3537 3579 3264 3551 1 0 0 0 0 0 0 0 0 0 0
62 2888 536 3038 3537 3579 3264 0 1 0 0 0 0 0 0 0 0 0
63 2198 587 2888 3038 3537 3579 0 0 1 0 0 0 0 0 0 0 0
> k <- length(x[1,])
> df <- as.data.frame(x)
> (mylm <- lm(df))
Call:
lm(formula = df)
Coefficients:
(Intercept) X Y1 Y2 Y3 Y4
-7.566e+02 1.713e+00 3.284e-01 3.499e-01 2.756e-01 7.049e-02
M1 M2 M3 M4 M5 M6
-1.522e+02 -2.380e+02 -1.680e+03 -2.502e+02 2.504e+02 6.767e+01
M7 M8 M9 M10 M11
-4.556e+02 -1.297e+03 -6.449e+02 -1.376e+01 2.426e+02
> (mysum <- summary(mylm))
Call:
lm(formula = df)
Residuals:
Min 1Q Median 3Q Max
-514.509 -192.215 -7.711 190.032 589.747
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -7.566e+02 6.416e+02 -1.179 0.2444
X 1.713e+00 1.117e+00 1.534 0.1320
Y1 3.284e-01 1.498e-01 2.192 0.0335 *
Y2 3.499e-01 1.591e-01 2.200 0.0329 *
Y3 2.756e-01 1.651e-01 1.669 0.1019
Y4 7.049e-02 1.616e-01 0.436 0.6647
M1 -1.522e+02 1.939e+02 -0.785 0.4367
M2 -2.380e+02 2.165e+02 -1.099 0.2775
M3 -1.680e+03 2.396e+02 -7.011 8.76e-09 ***
M4 -2.502e+02 3.824e+02 -0.654 0.5162
M5 2.504e+02 3.682e+02 0.680 0.4998
M6 6.767e+01 3.067e+02 0.221 0.8263
M7 -4.556e+02 2.286e+02 -1.993 0.0522 .
M8 -1.297e+03 2.540e+02 -5.106 6.16e-06 ***
M9 -6.449e+02 3.451e+02 -1.869 0.0680 .
M10 -1.376e+01 3.267e+02 -0.042 0.9666
M11 2.426e+02 2.589e+02 0.937 0.3537
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 306.9 on 46 degrees of freedom
Multiple R-squared: 0.8647, Adjusted R-squared: 0.8176
F-statistic: 18.37 on 16 and 46 DF, p-value: 8.073e-15
> if (n > n25) {
+ kp3 <- k + 3
+ nmkm3 <- n - k - 3
+ gqarr <- array(NA, dim=c(nmkm3-kp3+1,3))
+ numgqtests <- 0
+ numsignificant1 <- 0
+ numsignificant5 <- 0
+ numsignificant10 <- 0
+ for (mypoint in kp3:nmkm3) {
+ j <- 0
+ numgqtests <- numgqtests + 1
+ for (myalt in c('greater', 'two.sided', 'less')) {
+ j <- j + 1
+ gqarr[mypoint-kp3+1,j] <- gqtest(mylm, point=mypoint, alternative=myalt)$p.value
+ }
+ if (gqarr[mypoint-kp3+1,2] < 0.01) numsignificant1 <- numsignificant1 + 1
+ if (gqarr[mypoint-kp3+1,2] < 0.05) numsignificant5 <- numsignificant5 + 1
+ if (gqarr[mypoint-kp3+1,2] < 0.10) numsignificant10 <- numsignificant10 + 1
+ }
+ gqarr
+ }
[,1] [,2] [,3]
[1,] 0.30257129 0.6051426 0.6974287
[2,] 0.33259733 0.6651947 0.6674027
[3,] 0.35351408 0.7070282 0.6464859
[4,] 0.37961564 0.7592313 0.6203844
[5,] 0.57654238 0.8469152 0.4234576
[6,] 0.48232241 0.9646448 0.5176776
[7,] 0.39427145 0.7885429 0.6057285
[8,] 0.46202493 0.9240499 0.5379751
[9,] 0.40624638 0.8124928 0.5937536
[10,] 0.30738526 0.6147705 0.6926147
[11,] 0.37146315 0.7429263 0.6285368
[12,] 0.50696054 0.9860789 0.4930395
[13,] 0.40874534 0.8174907 0.5912547
[14,] 0.34752142 0.6950428 0.6524786
[15,] 0.29741738 0.5948348 0.7025826
[16,] 0.33006218 0.6601244 0.6699378
[17,] 0.26465750 0.5293150 0.7353425
[18,] 0.36308003 0.7261601 0.6369200
[19,] 0.28484278 0.5696856 0.7151572
[20,] 0.23811566 0.4762313 0.7618843
[21,] 0.15369591 0.3073918 0.8463041
[22,] 0.09002804 0.1800561 0.9099720
[23,] 0.33310073 0.6662015 0.6668993
[24,] 0.57131611 0.8573678 0.4286839
> postscript(file="/var/www/html/rcomp/tmp/12rb91261223874.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(x[,1], type='l', main='Actuals and Interpolation', ylab='value of Actuals and Interpolation (dots)', xlab='time or index')
> points(x[,1]-mysum$resid)
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/2kaih1261223874.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(mysum$resid, type='b', pch=19, main='Residuals', ylab='value of Residuals', xlab='time or index')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/33c901261223874.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/4g4v11261223874.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/5vky31261223874.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> qqnorm(mysum$resid, main='Residual Normal Q-Q Plot')
> qqline(mysum$resid)
> grid()
> dev.off()
null device
1
> (myerror <- as.ts(mysum$resid))
Time Series:
Start = 1
End = 63
Frequency = 1
1 2 3 4 5 6
-304.391428 268.310513 44.687734 104.258159 -434.675416 -283.290602
7 8 9 10 11 12
-112.949967 -22.444449 151.738007 315.405967 152.593418 429.704183
13 14 15 16 17 18
237.612113 249.458366 -89.911624 -10.008563 338.052529 65.004968
19 20 21 22 23 24
-68.987927 -180.316159 72.909047 -131.647932 431.985549 -417.023201
25 26 27 28 29 30
152.774565 -162.050854 -342.950453 164.986822 -26.096802 251.924041
31 32 33 34 35 36
271.388982 -204.114102 -106.993420 -265.460465 -370.337969 78.478455
37 38 39 40 41 42
420.250004 -276.439173 -108.070978 -17.548728 -7.710884 211.827081
43 44 45 46 47 48
-62.307420 168.237134 -352.030135 589.747115 85.614943 59.252473
49 50 51 52 53 54
8.263634 408.030185 105.424555 -241.687691 130.430574 -245.465488
55 56 57 58 59 60
-27.143668 238.637577 234.376501 -508.044684 -299.855941 -150.411910
61 62 63
-514.508887 -487.309037 390.820767
> postscript(file="/var/www/html/rcomp/tmp/6blw21261223874.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> dum <- cbind(lag(myerror,k=1),myerror)
> dum
Time Series:
Start = 0
End = 63
Frequency = 1
lag(myerror, k = 1) myerror
0 -304.391428 NA
1 268.310513 -304.391428
2 44.687734 268.310513
3 104.258159 44.687734
4 -434.675416 104.258159
5 -283.290602 -434.675416
6 -112.949967 -283.290602
7 -22.444449 -112.949967
8 151.738007 -22.444449
9 315.405967 151.738007
10 152.593418 315.405967
11 429.704183 152.593418
12 237.612113 429.704183
13 249.458366 237.612113
14 -89.911624 249.458366
15 -10.008563 -89.911624
16 338.052529 -10.008563
17 65.004968 338.052529
18 -68.987927 65.004968
19 -180.316159 -68.987927
20 72.909047 -180.316159
21 -131.647932 72.909047
22 431.985549 -131.647932
23 -417.023201 431.985549
24 152.774565 -417.023201
25 -162.050854 152.774565
26 -342.950453 -162.050854
27 164.986822 -342.950453
28 -26.096802 164.986822
29 251.924041 -26.096802
30 271.388982 251.924041
31 -204.114102 271.388982
32 -106.993420 -204.114102
33 -265.460465 -106.993420
34 -370.337969 -265.460465
35 78.478455 -370.337969
36 420.250004 78.478455
37 -276.439173 420.250004
38 -108.070978 -276.439173
39 -17.548728 -108.070978
40 -7.710884 -17.548728
41 211.827081 -7.710884
42 -62.307420 211.827081
43 168.237134 -62.307420
44 -352.030135 168.237134
45 589.747115 -352.030135
46 85.614943 589.747115
47 59.252473 85.614943
48 8.263634 59.252473
49 408.030185 8.263634
50 105.424555 408.030185
51 -241.687691 105.424555
52 130.430574 -241.687691
53 -245.465488 130.430574
54 -27.143668 -245.465488
55 238.637577 -27.143668
56 234.376501 238.637577
57 -508.044684 234.376501
58 -299.855941 -508.044684
59 -150.411910 -299.855941
60 -514.508887 -150.411910
61 -487.309037 -514.508887
62 390.820767 -487.309037
63 NA 390.820767
> dum1 <- dum[2:length(myerror),]
> dum1
lag(myerror, k = 1) myerror
[1,] 268.310513 -304.391428
[2,] 44.687734 268.310513
[3,] 104.258159 44.687734
[4,] -434.675416 104.258159
[5,] -283.290602 -434.675416
[6,] -112.949967 -283.290602
[7,] -22.444449 -112.949967
[8,] 151.738007 -22.444449
[9,] 315.405967 151.738007
[10,] 152.593418 315.405967
[11,] 429.704183 152.593418
[12,] 237.612113 429.704183
[13,] 249.458366 237.612113
[14,] -89.911624 249.458366
[15,] -10.008563 -89.911624
[16,] 338.052529 -10.008563
[17,] 65.004968 338.052529
[18,] -68.987927 65.004968
[19,] -180.316159 -68.987927
[20,] 72.909047 -180.316159
[21,] -131.647932 72.909047
[22,] 431.985549 -131.647932
[23,] -417.023201 431.985549
[24,] 152.774565 -417.023201
[25,] -162.050854 152.774565
[26,] -342.950453 -162.050854
[27,] 164.986822 -342.950453
[28,] -26.096802 164.986822
[29,] 251.924041 -26.096802
[30,] 271.388982 251.924041
[31,] -204.114102 271.388982
[32,] -106.993420 -204.114102
[33,] -265.460465 -106.993420
[34,] -370.337969 -265.460465
[35,] 78.478455 -370.337969
[36,] 420.250004 78.478455
[37,] -276.439173 420.250004
[38,] -108.070978 -276.439173
[39,] -17.548728 -108.070978
[40,] -7.710884 -17.548728
[41,] 211.827081 -7.710884
[42,] -62.307420 211.827081
[43,] 168.237134 -62.307420
[44,] -352.030135 168.237134
[45,] 589.747115 -352.030135
[46,] 85.614943 589.747115
[47,] 59.252473 85.614943
[48,] 8.263634 59.252473
[49,] 408.030185 8.263634
[50,] 105.424555 408.030185
[51,] -241.687691 105.424555
[52,] 130.430574 -241.687691
[53,] -245.465488 130.430574
[54,] -27.143668 -245.465488
[55,] 238.637577 -27.143668
[56,] 234.376501 238.637577
[57,] -508.044684 234.376501
[58,] -299.855941 -508.044684
[59,] -150.411910 -299.855941
[60,] -514.508887 -150.411910
[61,] -487.309037 -514.508887
[62,] 390.820767 -487.309037
> z <- as.data.frame(dum1)
> z
lag(myerror, k = 1) myerror
1 268.310513 -304.391428
2 44.687734 268.310513
3 104.258159 44.687734
4 -434.675416 104.258159
5 -283.290602 -434.675416
6 -112.949967 -283.290602
7 -22.444449 -112.949967
8 151.738007 -22.444449
9 315.405967 151.738007
10 152.593418 315.405967
11 429.704183 152.593418
12 237.612113 429.704183
13 249.458366 237.612113
14 -89.911624 249.458366
15 -10.008563 -89.911624
16 338.052529 -10.008563
17 65.004968 338.052529
18 -68.987927 65.004968
19 -180.316159 -68.987927
20 72.909047 -180.316159
21 -131.647932 72.909047
22 431.985549 -131.647932
23 -417.023201 431.985549
24 152.774565 -417.023201
25 -162.050854 152.774565
26 -342.950453 -162.050854
27 164.986822 -342.950453
28 -26.096802 164.986822
29 251.924041 -26.096802
30 271.388982 251.924041
31 -204.114102 271.388982
32 -106.993420 -204.114102
33 -265.460465 -106.993420
34 -370.337969 -265.460465
35 78.478455 -370.337969
36 420.250004 78.478455
37 -276.439173 420.250004
38 -108.070978 -276.439173
39 -17.548728 -108.070978
40 -7.710884 -17.548728
41 211.827081 -7.710884
42 -62.307420 211.827081
43 168.237134 -62.307420
44 -352.030135 168.237134
45 589.747115 -352.030135
46 85.614943 589.747115
47 59.252473 85.614943
48 8.263634 59.252473
49 408.030185 8.263634
50 105.424555 408.030185
51 -241.687691 105.424555
52 130.430574 -241.687691
53 -245.465488 130.430574
54 -27.143668 -245.465488
55 238.637577 -27.143668
56 234.376501 238.637577
57 -508.044684 234.376501
58 -299.855941 -508.044684
59 -150.411910 -299.855941
60 -514.508887 -150.411910
61 -487.309037 -514.508887
62 390.820767 -487.309037
> plot(z,main=paste('Residual Lag plot, lowess, and regression line'), ylab='values of Residuals', xlab='lagged values of Residuals')
> lines(lowess(z))
> abline(lm(z))
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/716ez1261223875.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/8rgsc1261223875.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/rcomp/tmp/909yw1261223875.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
> plot(mylm, las = 1, sub='Residual Diagnostics')
> par(opar)
> dev.off()
null device
1
> if (n > n25) {
+ postscript(file="/var/www/html/rcomp/tmp/10y2b61261223875.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
+ plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
+ grid()
+ dev.off()
+ }
null device
1
>
> #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
> load(file="/var/www/html/rcomp/createtable")
>
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
> a<-table.row.end(a)
> myeq <- colnames(x)[1]
> myeq <- paste(myeq, '[t] = ', sep='')
> for (i in 1:k){
+ if (mysum$coefficients[i,1] > 0) myeq <- paste(myeq, '+', '')
+ myeq <- paste(myeq, mysum$coefficients[i,1], sep=' ')
+ if (rownames(mysum$coefficients)[i] != '(Intercept)') {
+ myeq <- paste(myeq, rownames(mysum$coefficients)[i], sep='')
+ if (rownames(mysum$coefficients)[i] != 't') myeq <- paste(myeq, '[t]', sep='')
+ }
+ }
> myeq <- paste(myeq, ' + e[t]')
> a<-table.row.start(a)
> a<-table.element(a, myeq)
> a<-table.row.end(a)
> a<-table.end(a)
> table.save(a,file="/var/www/html/rcomp/tmp/110ue41261223875.tab")
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a,hyperlink('http://www.xycoon.com/ols1.htm','Multiple Linear Regression - Ordinary Least Squares',''), 6, TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a,'Variable',header=TRUE)
> a<-table.element(a,'Parameter',header=TRUE)
> a<-table.element(a,'S.D.',header=TRUE)
> a<-table.element(a,'T-STAT
H0: parameter = 0',header=TRUE)
> a<-table.element(a,'2-tail p-value',header=TRUE)
> a<-table.element(a,'1-tail p-value',header=TRUE)
> a<-table.row.end(a)
> for (i in 1:k){
+ a<-table.row.start(a)
+ a<-table.element(a,rownames(mysum$coefficients)[i],header=TRUE)
+ a<-table.element(a,mysum$coefficients[i,1])
+ a<-table.element(a, round(mysum$coefficients[i,2],6))
+ a<-table.element(a, round(mysum$coefficients[i,3],4))
+ a<-table.element(a, round(mysum$coefficients[i,4],6))
+ a<-table.element(a, round(mysum$coefficients[i,4]/2,6))
+ a<-table.row.end(a)
+ }
> a<-table.end(a)
> table.save(a,file="/var/www/html/rcomp/tmp/12lojd1261223875.tab")
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Regression Statistics', 2, TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple R',1,TRUE)
> a<-table.element(a, sqrt(mysum$r.squared))
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'R-squared',1,TRUE)
> a<-table.element(a, mysum$r.squared)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Adjusted R-squared',1,TRUE)
> a<-table.element(a, mysum$adj.r.squared)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'F-TEST (value)',1,TRUE)
> a<-table.element(a, mysum$fstatistic[1])
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'F-TEST (DF numerator)',1,TRUE)
> a<-table.element(a, mysum$fstatistic[2])
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'F-TEST (DF denominator)',1,TRUE)
> a<-table.element(a, mysum$fstatistic[3])
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'p-value',1,TRUE)
> a<-table.element(a, 1-pf(mysum$fstatistic[1],mysum$fstatistic[2],mysum$fstatistic[3]))
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Residual Statistics', 2, TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Residual Standard Deviation',1,TRUE)
> a<-table.element(a, mysum$sigma)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Sum Squared Residuals',1,TRUE)
> a<-table.element(a, sum(myerror*myerror))
> a<-table.row.end(a)
> a<-table.end(a)
> table.save(a,file="/var/www/html/rcomp/tmp/13fx8f1261223875.tab")
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Actuals, Interpolation, and Residuals', 4, TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a, 'Time or Index', 1, TRUE)
> a<-table.element(a, 'Actuals', 1, TRUE)
> a<-table.element(a, 'Interpolation
Forecast', 1, TRUE)
> a<-table.element(a, 'Residuals
Prediction Error', 1, TRUE)
> a<-table.row.end(a)
> for (i in 1:n) {
+ a<-table.row.start(a)
+ a<-table.element(a,i, 1, TRUE)
+ a<-table.element(a,x[i])
+ a<-table.element(a,x[i]-mysum$resid[i])
+ a<-table.element(a,mysum$resid[i])
+ a<-table.row.end(a)
+ }
> a<-table.end(a)
> table.save(a,file="/var/www/html/rcomp/tmp/146gx61261223875.tab")
> if (n > n25) {
+ a<-table.start()
+ a<-table.row.start(a)
+ a<-table.element(a,'Goldfeld-Quandt test for Heteroskedasticity',4,TRUE)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'p-values',header=TRUE)
+ a<-table.element(a,'Alternative Hypothesis',3,header=TRUE)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'breakpoint index',header=TRUE)
+ a<-table.element(a,'greater',header=TRUE)
+ a<-table.element(a,'2-sided',header=TRUE)
+ a<-table.element(a,'less',header=TRUE)
+ a<-table.row.end(a)
+ for (mypoint in kp3:nmkm3) {
+ a<-table.row.start(a)
+ a<-table.element(a,mypoint,header=TRUE)
+ a<-table.element(a,gqarr[mypoint-kp3+1,1])
+ a<-table.element(a,gqarr[mypoint-kp3+1,2])
+ a<-table.element(a,gqarr[mypoint-kp3+1,3])
+ a<-table.row.end(a)
+ }
+ a<-table.end(a)
+ table.save(a,file="/var/www/html/rcomp/tmp/15i8jb1261223875.tab")
+ a<-table.start()
+ a<-table.row.start(a)
+ a<-table.element(a,'Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity',4,TRUE)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'Description',header=TRUE)
+ a<-table.element(a,'# significant tests',header=TRUE)
+ a<-table.element(a,'% significant tests',header=TRUE)
+ a<-table.element(a,'OK/NOK',header=TRUE)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'1% type I error level',header=TRUE)
+ a<-table.element(a,numsignificant1)
+ a<-table.element(a,numsignificant1/numgqtests)
+ if (numsignificant1/numgqtests < 0.01) dum <- 'OK' else dum <- 'NOK'
+ a<-table.element(a,dum)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'5% type I error level',header=TRUE)
+ a<-table.element(a,numsignificant5)
+ a<-table.element(a,numsignificant5/numgqtests)
+ if (numsignificant5/numgqtests < 0.05) dum <- 'OK' else dum <- 'NOK'
+ a<-table.element(a,dum)
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'10% type I error level',header=TRUE)
+ a<-table.element(a,numsignificant10)
+ a<-table.element(a,numsignificant10/numgqtests)
+ if (numsignificant10/numgqtests < 0.1) dum <- 'OK' else dum <- 'NOK'
+ a<-table.element(a,dum)
+ a<-table.row.end(a)
+ a<-table.end(a)
+ table.save(a,file="/var/www/html/rcomp/tmp/16g9uf1261223875.tab")
+ }
> try(system("convert tmp/12rb91261223874.ps tmp/12rb91261223874.png",intern=TRUE))
character(0)
> try(system("convert tmp/2kaih1261223874.ps tmp/2kaih1261223874.png",intern=TRUE))
character(0)
> try(system("convert tmp/33c901261223874.ps tmp/33c901261223874.png",intern=TRUE))
character(0)
> try(system("convert tmp/4g4v11261223874.ps tmp/4g4v11261223874.png",intern=TRUE))
character(0)
> try(system("convert tmp/5vky31261223874.ps tmp/5vky31261223874.png",intern=TRUE))
character(0)
> try(system("convert tmp/6blw21261223874.ps tmp/6blw21261223874.png",intern=TRUE))
character(0)
> try(system("convert tmp/716ez1261223875.ps tmp/716ez1261223875.png",intern=TRUE))
character(0)
> try(system("convert tmp/8rgsc1261223875.ps tmp/8rgsc1261223875.png",intern=TRUE))
character(0)
> try(system("convert tmp/909yw1261223875.ps tmp/909yw1261223875.png",intern=TRUE))
character(0)
> try(system("convert tmp/10y2b61261223875.ps tmp/10y2b61261223875.png",intern=TRUE))
character(0)
>
>
> proc.time()
user system elapsed
2.447 1.586 5.146