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PAPER

*The author of this computation has been verified*
R Software Module: /rwasp_multipleregression.wasp (opens new window with default values)
Title produced by software: Multiple Regression
Date of computation: Wed, 02 Dec 2009 13:23:58 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l.htm/, Retrieved Thu, 23 May 2013 11:20:05 +0000
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
System-generated keywords (parent):
t1258034831gyl7a6ypo68uqsr (pk = 55999)
Estimated Impact
31
 
Dataseries X:
» Textfile « » CSV « » Correlation Matrix « » Notched Boxplots «
 
Output produced by software:

Enter (or paste) a matrix (table) containing all data (time) series. Every column represents a different variable and must be delimited by a space or Tab. Every row represents a period in time (or category) and must be delimited by hard returns. The easiest way to enter data is to copy and paste a block of spreadsheet cells. Please, do not use commas or spaces to seperate groups of digits!


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time4 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Multiple Linear Regression - Estimated Regression Equation
Y[t] = + 613.891833030853 + 39.7441016333939X[t] -8.82574107682971M1[t] -4.33714458560193M2[t] -6.24854809437387M3[t] -12.7599516031458M4[t] -15.4713551119177M5[t] -24.3827586206896M6[t] -19.8941621294616M7[t] + 25.6456140350877M8[t] + 35.9342105263158M9[t] + 25.8228070175439M10[t] + 9.71140350877195M11[t] -2.28859649122807t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)613.89183303085314.48335342.38600
X39.744101633393912.3814973.210.0024220.001211
M1-8.8257410768297116.928193-0.52140.6046150.302307
M2-4.3371445856019316.900815-0.25660.7986140.399307
M3-6.2485480943738716.879489-0.37020.7129430.356472
M4-12.759951603145816.86424-0.75660.4531310.226565
M5-15.471355111917716.855085-0.91790.3634570.181728
M6-24.382758620689616.852031-1.44690.1547130.077356
M7-19.894162129461616.855085-1.18030.2439460.121973
M825.645614035087716.8288521.52390.1343780.067189
M935.934210526315816.8074352.1380.0378630.018931
M1025.822807017543916.7921211.53780.130950.065475
M119.7114035087719516.7829260.57860.5656490.282825
t-2.288596491228070.320797-7.134100


Multiple Linear Regression - Regression Statistics
Multiple R0.81979497633176
R-squared0.67206380321879
Adjusted R-squared0.579386182389317
F-TEST (value)7.25162986710019
F-TEST (DF numerator)13
F-TEST (DF denominator)46
p-value2.02201098531418e-07
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation26.5312876493999
Sum Squared Residuals32379.8243194192


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1595602.777495462794-7.77749546279383
2591604.977495462795-13.9774954627950
3589600.777495462795-11.777495462795
4584591.977495462795-7.97749546279498
5573586.977495462795-13.9774954627950
6567575.777495462795-8.77749546279499
7569577.977495462795-8.97749546279498
8621621.228675136116-0.228675136116206
9629629.228675136116-0.228675136116233
10628616.82867513611611.1713248638838
11612598.42867513611613.5713248638838
12595586.4286751361168.5713248638838
13597575.31433756805821.6856624319416
14593577.51433756805815.4856624319419
15590573.31433756805816.6856624319419
16580564.51433756805815.4856624319419
17574559.51433756805814.4856624319419
18573548.31433756805824.6856624319419
19573550.51433756805822.4856624319419
20620593.76551724137926.2344827586207
21626601.76551724137924.2344827586207
22620589.36551724137930.6344827586207
23588570.96551724137917.0344827586207
24566558.9655172413797.03448275862069
25557547.8511796733229.1488203266785
26561550.05117967332110.9488203266788
27549545.8511796733213.14882032667878
28532537.051179673321-5.05117967332122
29526532.051179673321-6.05117967332122
30511520.851179673321-9.85117967332122
31499523.051179673321-24.0511796733212
32555566.302359346642-11.3023593466424
33565574.302359346642-9.30235934664243
34542561.902359346642-19.9023593466425
35527543.502359346642-16.5023593466424
36510531.502359346642-21.5023593466424
37514520.388021778585-6.38802177858463
38517522.588021778584-5.58802177858433
39508518.388021778584-10.3880217785843
40493509.588021778584-16.5880217785843
41490504.588021778584-14.5880217785843
42469493.388021778584-24.3880217785843
43478495.588021778584-17.5880217785843
44528578.5833030853-50.5833030852995
45534586.583303085299-52.5833030852995
46518574.1833030853-56.1833030852995
47506555.7833030853-49.7833030852995
48502543.7833030853-41.7833030852995
49516532.668965517242-16.6689655172417
50528534.868965517241-6.86896551724138
51533530.6689655172412.33103448275864
52536521.86896551724114.1310344827586
53537516.86896551724120.1310344827586
54524505.66896551724118.3310344827587
55536507.86896551724128.1310344827587
56587551.12014519056335.8798548094374
57597559.12014519056337.8798548094374
58581546.72014519056334.2798548094374
59564528.32014519056335.6798548094374
60564516.32014519056347.6798548094374


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.0003749831763060550.000749966352612110.999625016823694
188.33910223767402e-050.0001667820447534800.999916608977623
197.82931422786308e-061.56586284557262e-050.999992170685772
208.09679956352492e-071.61935991270498e-060.999999190320044
211.45664746061371e-072.91329492122743e-070.999999854335254
222.09907676212598e-074.19815352425197e-070.999999790092324
232.22556544203143e-054.45113088406287e-050.99997774434558
240.0001577426476511520.0003154852953023040.999842257352349
250.001304684142164670.002609368284329340.998695315857835
260.001706077500572330.003412155001144660.998293922499428
270.00358441295302290.00716882590604580.996415587046977
280.009759324375051520.01951864875010300.990240675624948
290.01666804243007030.03333608486014070.98333195756993
300.0594034959175020.1188069918350040.940596504082498
310.1627554136711500.3255108273423010.83724458632885
320.2284625335911160.4569250671822320.771537466408884
330.326175206713460.652350413426920.67382479328654
340.543066757988080.913866484023840.45693324201192
350.7863808333592580.4272383332814840.213619166640742
360.9246890092890310.1506219814219380.075310990710969
370.9745404260794490.05091914784110220.0254595739205511
380.996898220132940.006203559734118710.00310177986705935
390.9999109644703050.0001780710593894618.90355296947304e-05
400.9999302698383520.0001394603232962866.97301616481428e-05
410.9999743219696025.13560607965883e-052.56780303982942e-05
420.999812359454050.0003752810918999090.000187640545949955
430.9979278415633970.004144316873205390.00207215843660269


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level170.62962962962963NOK
5% type I error level190.703703703703704NOK
10% type I error level200.740740740740741NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/10a2st1259785433.png (opens in new window)
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http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/2ghzs1259785433.png (opens in new window)
http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/2ghzs1259785433.ps (opens in new window)
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http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/3swfg1259785433.png (opens in new window)
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http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/40eo81259785433.png (opens in new window)
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http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/59x4h1259785433.png (opens in new window)
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http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/6rrt11259785433.png (opens in new window)
http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/6rrt11259785433.ps (opens in new window)
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http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/73jm31259785433.png (opens in new window)
http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/73jm31259785433.ps (opens in new window)
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http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/8lppy1259785433.png (opens in new window)
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http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/9g64l1259785433.png (opens in new window)
http://www.freestatistics.org/blog/date/2009/Dec/02/t125978950882yj3d0k8fzgf4l/9g64l1259785433.ps (opens in new window)
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Parameters (Session):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = Linear Trend ;
 
Parameters (R input):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = Linear Trend ;
 
R code (references can be found in the software module):