R version 2.8.0 (2008-10-20)
Copyright (C) 2008 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.
Natural language support but running in an English locale
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(608,0,651,0,691,0,627,0,634,0,731,0,475,0,337,0,803,0,722,0,590,0,724,0,627,0,696,0,825,0,677,0,656,0,785,0,412,0,352,0,839,0,729,0,696,0,641,0,695,0,638,0,762,0,635,0,721,0,854,0,418,0,367,0,824,0,687,0,601,0,676,0,740,0,691,0,683,0,594,0,729,0,731,0,386,0,331,0,706,0,715,0,657,0,653,0,642,0,643,0,718,0,654,0,632,0,731,0,392,1,344,1,792,1,852,1,649,1,629,1,685,1,617,1,715,1,715,1,629,1,916,1,531,1,357,1,917,1,828,1,708,1,858,1,775,1,785,1,1.006,1,789,1,734,1,906,1,532,1,387,1,991,1,841,1,892,1,782,1),dim=c(2,84),dimnames=list(c('faillissement','crisis'),1:84))
> y <- array(NA,dim=c(2,84),dimnames=list(c('faillissement','crisis'),1:84))
> 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 = 'Do not include Seasonal 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
faillissement crisis
1 608.000 0
2 651.000 0
3 691.000 0
4 627.000 0
5 634.000 0
6 731.000 0
7 475.000 0
8 337.000 0
9 803.000 0
10 722.000 0
11 590.000 0
12 724.000 0
13 627.000 0
14 696.000 0
15 825.000 0
16 677.000 0
17 656.000 0
18 785.000 0
19 412.000 0
20 352.000 0
21 839.000 0
22 729.000 0
23 696.000 0
24 641.000 0
25 695.000 0
26 638.000 0
27 762.000 0
28 635.000 0
29 721.000 0
30 854.000 0
31 418.000 0
32 367.000 0
33 824.000 0
34 687.000 0
35 601.000 0
36 676.000 0
37 740.000 0
38 691.000 0
39 683.000 0
40 594.000 0
41 729.000 0
42 731.000 0
43 386.000 0
44 331.000 0
45 706.000 0
46 715.000 0
47 657.000 0
48 653.000 0
49 642.000 0
50 643.000 0
51 718.000 0
52 654.000 0
53 632.000 0
54 731.000 0
55 392.000 1
56 344.000 1
57 792.000 1
58 852.000 1
59 649.000 1
60 629.000 1
61 685.000 1
62 617.000 1
63 715.000 1
64 715.000 1
65 629.000 1
66 916.000 1
67 531.000 1
68 357.000 1
69 917.000 1
70 828.000 1
71 708.000 1
72 858.000 1
73 775.000 1
74 785.000 1
75 1.006 1
76 789.000 1
77 734.000 1
78 906.000 1
79 532.000 1
80 387.000 1
81 991.000 1
82 841.000 1
83 892.000 1
84 782.000 1
> k <- length(x[1,])
> df <- as.data.frame(x)
> (mylm <- lm(df))
Call:
lm(formula = df)
Coefficients:
(Intercept) crisis
648.93 36.04
> (mysum <- summary(mylm))
Call:
lm(formula = df)
Residuals:
Min 1Q Median 3Q Max
-683.96 -42.68 30.03 90.29 306.03
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 648.93 22.50 28.841 <2e-16 ***
crisis 36.04 37.65 0.957 0.341
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 165.3 on 82 degrees of freedom
Multiple R-squared: 0.01105, Adjusted R-squared: -0.001009
F-statistic: 0.9164 on 1 and 82 DF, p-value: 0.3412
> 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,] 1.279218e-02 0.0255843556 0.9872078
[2,] 1.449251e-02 0.0289850204 0.9855075
[3,] 6.924977e-02 0.1384995442 0.9307502
[4,] 3.281654e-01 0.6563307526 0.6718346
[5,] 3.851280e-01 0.7702559059 0.6148720
[6,] 3.164827e-01 0.6329653889 0.6835173
[7,] 2.296147e-01 0.4592294424 0.7703853
[8,] 1.818213e-01 0.3636425874 0.8181787
[9,] 1.217818e-01 0.2435636925 0.8782182
[10,] 8.454516e-02 0.1690903250 0.9154548
[11,] 1.046071e-01 0.2092142000 0.8953929
[12,] 6.933612e-02 0.1386722487 0.9306639
[13,] 4.382174e-02 0.0876434760 0.9561783
[14,] 4.008652e-02 0.0801730485 0.9599135
[15,] 7.953974e-02 0.1590794740 0.9204603
[16,] 1.821500e-01 0.3642999884 0.8178500
[17,] 2.125574e-01 0.4251148353 0.7874426
[18,] 1.742780e-01 0.3485560762 0.8257220
[19,] 1.335515e-01 0.2671030179 0.8664485
[20,] 9.723160e-02 0.1944631944 0.9027684
[21,] 7.120102e-02 0.1424020344 0.9287990
[22,] 4.947132e-02 0.0989426387 0.9505287
[23,] 4.123057e-02 0.0824611371 0.9587694
[24,] 2.777176e-02 0.0555435116 0.9722282
[25,] 1.988214e-02 0.0397642730 0.9801179
[26,] 2.658700e-02 0.0531740099 0.9734130
[27,] 4.319485e-02 0.0863896964 0.9568052
[28,] 8.795884e-02 0.1759176883 0.9120412
[29,] 9.289941e-02 0.1857988274 0.9071006
[30,] 6.929341e-02 0.1385868207 0.9307066
[31,] 5.128898e-02 0.1025779527 0.9487110
[32,] 3.645880e-02 0.0729175944 0.9635412
[33,] 2.837557e-02 0.0567511379 0.9716244
[34,] 1.980158e-02 0.0396031535 0.9801984
[35,] 1.343013e-02 0.0268602519 0.9865699
[36,] 9.206475e-03 0.0184129498 0.9907935
[37,] 6.620074e-03 0.0132401490 0.9933799
[38,] 4.757190e-03 0.0095143807 0.9952428
[39,] 9.972480e-03 0.0199449609 0.9900275
[40,] 3.061170e-02 0.0612234024 0.9693883
[41,] 2.192087e-02 0.0438417353 0.9780791
[42,] 1.564494e-02 0.0312898881 0.9843551
[43,] 1.036004e-02 0.0207200819 0.9896400
[44,] 6.703693e-03 0.0134073854 0.9932963
[45,] 4.254532e-03 0.0085090631 0.9957455
[46,] 2.643952e-03 0.0052879032 0.9973560
[47,] 1.705186e-03 0.0034103720 0.9982948
[48,] 1.006795e-03 0.0020135909 0.9989932
[49,] 6.017086e-04 0.0012034172 0.9993983
[50,] 3.683191e-04 0.0007366381 0.9996317
[51,] 4.334722e-04 0.0008669444 0.9995665
[52,] 7.778103e-04 0.0015556206 0.9992222
[53,] 1.832875e-03 0.0036657491 0.9981671
[54,] 3.029235e-03 0.0060584695 0.9969708
[55,] 1.876077e-03 0.0037521537 0.9981239
[56,] 1.140972e-03 0.0022819441 0.9988590
[57,] 6.733220e-04 0.0013466441 0.9993267
[58,] 3.968222e-04 0.0007936445 0.9996032
[59,] 2.282350e-04 0.0004564701 0.9997718
[60,] 1.253517e-04 0.0002507033 0.9998746
[61,] 6.682442e-05 0.0001336488 0.9999332
[62,] 1.136686e-04 0.0002273373 0.9998863
[63,] 9.167262e-05 0.0001833452 0.9999083
[64,] 4.437050e-04 0.0008874099 0.9995563
[65,] 6.293467e-04 0.0012586934 0.9993707
[66,] 4.553314e-04 0.0009106627 0.9995447
[67,] 2.219366e-04 0.0004438733 0.9997781
[68,] 1.786994e-04 0.0003573988 0.9998213
[69,] 9.127072e-05 0.0001825414 0.9999087
[70,] 4.632265e-05 0.0000926453 0.9999537
[71,] 1.424380e-01 0.2848760290 0.8575620
[72,] 9.274965e-02 0.1854992907 0.9072504
[73,] 5.376640e-02 0.1075327920 0.9462336
[74,] 4.363094e-02 0.0872618711 0.9563691
[75,] 4.559966e-02 0.0911993148 0.9544003
> postscript(file="/var/www/html/freestat/rcomp/tmp/1as4k1292771059.ps",horizontal=F,onefile=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$resid)
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/2as4k1292771059.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> plot(mysum$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/freestat/rcomp/tmp/33kln1292771059.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/43kln1292771059.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/53kln1292771059.ps",horizontal=F,onefile=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 = 84
Frequency = 1
1 2 3 4 5
-40.92592593 2.07407407 42.07407407 -21.92592593 -14.92592593
6 7 8 9 10
82.07407407 -173.92592593 -311.92592593 154.07407407 73.07407407
11 12 13 14 15
-58.92592593 75.07407407 -21.92592593 47.07407407 176.07407407
16 17 18 19 20
28.07407407 7.07407407 136.07407407 -236.92592593 -296.92592593
21 22 23 24 25
190.07407407 80.07407407 47.07407407 -7.92592593 46.07407407
26 27 28 29 30
-10.92592593 113.07407407 -13.92592593 72.07407407 205.07407407
31 32 33 34 35
-230.92592593 -281.92592593 175.07407407 38.07407407 -47.92592593
36 37 38 39 40
27.07407407 91.07407407 42.07407407 34.07407407 -54.92592593
41 42 43 44 45
80.07407407 82.07407407 -262.92592593 -317.92592593 57.07407407
46 47 48 49 50
66.07407407 8.07407407 4.07407407 -6.92592593 -5.92592593
51 52 53 54 55
69.07407407 5.07407407 -16.92592593 82.07407407 -292.96686667
56 57 58 59 60
-340.96686667 107.03313333 167.03313333 -35.96686667 -55.96686667
61 62 63 64 65
0.03313333 -67.96686667 30.03313333 30.03313333 -55.96686667
66 67 68 69 70
231.03313333 -153.96686667 -327.96686667 232.03313333 143.03313333
71 72 73 74 75
23.03313333 173.03313333 90.03313333 100.03313333 -683.96086667
76 77 78 79 80
104.03313333 49.03313333 221.03313333 -152.96686667 -297.96686667
81 82 83 84
306.03313333 156.03313333 207.03313333 97.03313333
> postscript(file="/var/www/html/freestat/rcomp/tmp/6wblp1292771059.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> dum <- cbind(lag(myerror,k=1),myerror)
> dum
Time Series:
Start = 0
End = 84
Frequency = 1
lag(myerror, k = 1) myerror
0 -40.92592593 NA
1 2.07407407 -40.92592593
2 42.07407407 2.07407407
3 -21.92592593 42.07407407
4 -14.92592593 -21.92592593
5 82.07407407 -14.92592593
6 -173.92592593 82.07407407
7 -311.92592593 -173.92592593
8 154.07407407 -311.92592593
9 73.07407407 154.07407407
10 -58.92592593 73.07407407
11 75.07407407 -58.92592593
12 -21.92592593 75.07407407
13 47.07407407 -21.92592593
14 176.07407407 47.07407407
15 28.07407407 176.07407407
16 7.07407407 28.07407407
17 136.07407407 7.07407407
18 -236.92592593 136.07407407
19 -296.92592593 -236.92592593
20 190.07407407 -296.92592593
21 80.07407407 190.07407407
22 47.07407407 80.07407407
23 -7.92592593 47.07407407
24 46.07407407 -7.92592593
25 -10.92592593 46.07407407
26 113.07407407 -10.92592593
27 -13.92592593 113.07407407
28 72.07407407 -13.92592593
29 205.07407407 72.07407407
30 -230.92592593 205.07407407
31 -281.92592593 -230.92592593
32 175.07407407 -281.92592593
33 38.07407407 175.07407407
34 -47.92592593 38.07407407
35 27.07407407 -47.92592593
36 91.07407407 27.07407407
37 42.07407407 91.07407407
38 34.07407407 42.07407407
39 -54.92592593 34.07407407
40 80.07407407 -54.92592593
41 82.07407407 80.07407407
42 -262.92592593 82.07407407
43 -317.92592593 -262.92592593
44 57.07407407 -317.92592593
45 66.07407407 57.07407407
46 8.07407407 66.07407407
47 4.07407407 8.07407407
48 -6.92592593 4.07407407
49 -5.92592593 -6.92592593
50 69.07407407 -5.92592593
51 5.07407407 69.07407407
52 -16.92592593 5.07407407
53 82.07407407 -16.92592593
54 -292.96686667 82.07407407
55 -340.96686667 -292.96686667
56 107.03313333 -340.96686667
57 167.03313333 107.03313333
58 -35.96686667 167.03313333
59 -55.96686667 -35.96686667
60 0.03313333 -55.96686667
61 -67.96686667 0.03313333
62 30.03313333 -67.96686667
63 30.03313333 30.03313333
64 -55.96686667 30.03313333
65 231.03313333 -55.96686667
66 -153.96686667 231.03313333
67 -327.96686667 -153.96686667
68 232.03313333 -327.96686667
69 143.03313333 232.03313333
70 23.03313333 143.03313333
71 173.03313333 23.03313333
72 90.03313333 173.03313333
73 100.03313333 90.03313333
74 -683.96086667 100.03313333
75 104.03313333 -683.96086667
76 49.03313333 104.03313333
77 221.03313333 49.03313333
78 -152.96686667 221.03313333
79 -297.96686667 -152.96686667
80 306.03313333 -297.96686667
81 156.03313333 306.03313333
82 207.03313333 156.03313333
83 97.03313333 207.03313333
84 NA 97.03313333
> dum1 <- dum[2:length(myerror),]
> dum1
lag(myerror, k = 1) myerror
[1,] 2.07407407 -40.92592593
[2,] 42.07407407 2.07407407
[3,] -21.92592593 42.07407407
[4,] -14.92592593 -21.92592593
[5,] 82.07407407 -14.92592593
[6,] -173.92592593 82.07407407
[7,] -311.92592593 -173.92592593
[8,] 154.07407407 -311.92592593
[9,] 73.07407407 154.07407407
[10,] -58.92592593 73.07407407
[11,] 75.07407407 -58.92592593
[12,] -21.92592593 75.07407407
[13,] 47.07407407 -21.92592593
[14,] 176.07407407 47.07407407
[15,] 28.07407407 176.07407407
[16,] 7.07407407 28.07407407
[17,] 136.07407407 7.07407407
[18,] -236.92592593 136.07407407
[19,] -296.92592593 -236.92592593
[20,] 190.07407407 -296.92592593
[21,] 80.07407407 190.07407407
[22,] 47.07407407 80.07407407
[23,] -7.92592593 47.07407407
[24,] 46.07407407 -7.92592593
[25,] -10.92592593 46.07407407
[26,] 113.07407407 -10.92592593
[27,] -13.92592593 113.07407407
[28,] 72.07407407 -13.92592593
[29,] 205.07407407 72.07407407
[30,] -230.92592593 205.07407407
[31,] -281.92592593 -230.92592593
[32,] 175.07407407 -281.92592593
[33,] 38.07407407 175.07407407
[34,] -47.92592593 38.07407407
[35,] 27.07407407 -47.92592593
[36,] 91.07407407 27.07407407
[37,] 42.07407407 91.07407407
[38,] 34.07407407 42.07407407
[39,] -54.92592593 34.07407407
[40,] 80.07407407 -54.92592593
[41,] 82.07407407 80.07407407
[42,] -262.92592593 82.07407407
[43,] -317.92592593 -262.92592593
[44,] 57.07407407 -317.92592593
[45,] 66.07407407 57.07407407
[46,] 8.07407407 66.07407407
[47,] 4.07407407 8.07407407
[48,] -6.92592593 4.07407407
[49,] -5.92592593 -6.92592593
[50,] 69.07407407 -5.92592593
[51,] 5.07407407 69.07407407
[52,] -16.92592593 5.07407407
[53,] 82.07407407 -16.92592593
[54,] -292.96686667 82.07407407
[55,] -340.96686667 -292.96686667
[56,] 107.03313333 -340.96686667
[57,] 167.03313333 107.03313333
[58,] -35.96686667 167.03313333
[59,] -55.96686667 -35.96686667
[60,] 0.03313333 -55.96686667
[61,] -67.96686667 0.03313333
[62,] 30.03313333 -67.96686667
[63,] 30.03313333 30.03313333
[64,] -55.96686667 30.03313333
[65,] 231.03313333 -55.96686667
[66,] -153.96686667 231.03313333
[67,] -327.96686667 -153.96686667
[68,] 232.03313333 -327.96686667
[69,] 143.03313333 232.03313333
[70,] 23.03313333 143.03313333
[71,] 173.03313333 23.03313333
[72,] 90.03313333 173.03313333
[73,] 100.03313333 90.03313333
[74,] -683.96086667 100.03313333
[75,] 104.03313333 -683.96086667
[76,] 49.03313333 104.03313333
[77,] 221.03313333 49.03313333
[78,] -152.96686667 221.03313333
[79,] -297.96686667 -152.96686667
[80,] 306.03313333 -297.96686667
[81,] 156.03313333 306.03313333
[82,] 207.03313333 156.03313333
[83,] 97.03313333 207.03313333
> z <- as.data.frame(dum1)
> z
lag(myerror, k = 1) myerror
1 2.07407407 -40.92592593
2 42.07407407 2.07407407
3 -21.92592593 42.07407407
4 -14.92592593 -21.92592593
5 82.07407407 -14.92592593
6 -173.92592593 82.07407407
7 -311.92592593 -173.92592593
8 154.07407407 -311.92592593
9 73.07407407 154.07407407
10 -58.92592593 73.07407407
11 75.07407407 -58.92592593
12 -21.92592593 75.07407407
13 47.07407407 -21.92592593
14 176.07407407 47.07407407
15 28.07407407 176.07407407
16 7.07407407 28.07407407
17 136.07407407 7.07407407
18 -236.92592593 136.07407407
19 -296.92592593 -236.92592593
20 190.07407407 -296.92592593
21 80.07407407 190.07407407
22 47.07407407 80.07407407
23 -7.92592593 47.07407407
24 46.07407407 -7.92592593
25 -10.92592593 46.07407407
26 113.07407407 -10.92592593
27 -13.92592593 113.07407407
28 72.07407407 -13.92592593
29 205.07407407 72.07407407
30 -230.92592593 205.07407407
31 -281.92592593 -230.92592593
32 175.07407407 -281.92592593
33 38.07407407 175.07407407
34 -47.92592593 38.07407407
35 27.07407407 -47.92592593
36 91.07407407 27.07407407
37 42.07407407 91.07407407
38 34.07407407 42.07407407
39 -54.92592593 34.07407407
40 80.07407407 -54.92592593
41 82.07407407 80.07407407
42 -262.92592593 82.07407407
43 -317.92592593 -262.92592593
44 57.07407407 -317.92592593
45 66.07407407 57.07407407
46 8.07407407 66.07407407
47 4.07407407 8.07407407
48 -6.92592593 4.07407407
49 -5.92592593 -6.92592593
50 69.07407407 -5.92592593
51 5.07407407 69.07407407
52 -16.92592593 5.07407407
53 82.07407407 -16.92592593
54 -292.96686667 82.07407407
55 -340.96686667 -292.96686667
56 107.03313333 -340.96686667
57 167.03313333 107.03313333
58 -35.96686667 167.03313333
59 -55.96686667 -35.96686667
60 0.03313333 -55.96686667
61 -67.96686667 0.03313333
62 30.03313333 -67.96686667
63 30.03313333 30.03313333
64 -55.96686667 30.03313333
65 231.03313333 -55.96686667
66 -153.96686667 231.03313333
67 -327.96686667 -153.96686667
68 232.03313333 -327.96686667
69 143.03313333 232.03313333
70 23.03313333 143.03313333
71 173.03313333 23.03313333
72 90.03313333 173.03313333
73 100.03313333 90.03313333
74 -683.96086667 100.03313333
75 104.03313333 -683.96086667
76 49.03313333 104.03313333
77 221.03313333 49.03313333
78 -152.96686667 221.03313333
79 -297.96686667 -152.96686667
80 306.03313333 -297.96686667
81 156.03313333 306.03313333
82 207.03313333 156.03313333
83 97.03313333 207.03313333
> 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/freestat/rcomp/tmp/76k2a1292771059.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/86k2a1292771059.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
> grid()
> dev.off()
null device
1
> postscript(file="/var/www/html/freestat/rcomp/tmp/96k2a1292771059.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
> opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
> plot(mylm, las = 1, sub='Residual Diagnostics')
> par(opar)
> dev.off()
null device
1
> if (n > n25) {
+ postscript(file="/var/www/html/freestat/rcomp/tmp/10zbjd1292771059.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556)
+ plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
+ grid()
+ dev.off()
+ }
null device
1
>
> #Note: the /var/www/html/freestat/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
> load(file="/var/www/html/freestat/rcomp/createtable")
>
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
> a<-table.row.end(a)
> myeq <- colnames(x)[1]
> myeq <- paste(myeq, '[t] = ', sep='')
> for (i in 1:k){
+ if (mysum$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/freestat/rcomp/tmp/11kuz11292771059.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/freestat/rcomp/tmp/126uy71292771059.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/freestat/rcomp/tmp/132mey1292771059.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/freestat/rcomp/tmp/14o5c41292771059.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/freestat/rcomp/tmp/15r5ta1292771059.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/freestat/rcomp/tmp/165f901292771059.tab")
+ }
>
> try(system("convert tmp/1as4k1292771059.ps tmp/1as4k1292771059.png",intern=TRUE))
character(0)
> try(system("convert tmp/2as4k1292771059.ps tmp/2as4k1292771059.png",intern=TRUE))
character(0)
> try(system("convert tmp/33kln1292771059.ps tmp/33kln1292771059.png",intern=TRUE))
character(0)
> try(system("convert tmp/43kln1292771059.ps tmp/43kln1292771059.png",intern=TRUE))
character(0)
> try(system("convert tmp/53kln1292771059.ps tmp/53kln1292771059.png",intern=TRUE))
character(0)
> try(system("convert tmp/6wblp1292771059.ps tmp/6wblp1292771059.png",intern=TRUE))
character(0)
> try(system("convert tmp/76k2a1292771059.ps tmp/76k2a1292771059.png",intern=TRUE))
character(0)
> try(system("convert tmp/86k2a1292771059.ps tmp/86k2a1292771059.png",intern=TRUE))
character(0)
> try(system("convert tmp/96k2a1292771059.ps tmp/96k2a1292771059.png",intern=TRUE))
character(0)
> try(system("convert tmp/10zbjd1292771059.ps tmp/10zbjd1292771059.png",intern=TRUE))
character(0)
>
>
> proc.time()
user system elapsed
4.159 2.551 5.243