Home » date » 2011 » Nov » 29 »

WS8-4

*Unverified author*
R Software Module: /reproduce.wasp (opens new window with default values)
Title produced by software: Multiple Regression
Date of computation: Tue, 29 Nov 2011 14:48:54 -0500
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Nov/29/t1322596164hinpp5wci5xftrv.htm/, Retrieved Sat, 18 May 2013 23:38:32 +0000
 
Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
-     [Univariate Data Series] [data set] [2008-12-01 19:54:57] [b98453cac15ba1066b407e146608df68]
- RMPD  [Classical Decomposition] [compendium 8] [2011-11-24 14:23:11] [380049693c521f4999989215fb37aeca]
- RMPD    [Multiple Regression] [WS 8 Q2] [2011-11-24 15:19:54] [380049693c521f4999989215fb37aeca]
- RM          [Multiple Regression] [WS8-4] [2011-11-29 19:48:54] [d41d8cd98f00b204e9800998ecf8427e] [Current]
 
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Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
System-generated keywords (parent):
t1322148034e38ideuzwybad9e (pk = 146960)
Estimated Impact
22
 
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'Herman Ole Andreas Wold' @ wold.wessa.net


Multiple Linear Regression - Estimated Regression Equation
y[t] = + 139568.525 -934.365972222166M1[t] -861.023611111117M2[t] -734.081250000006M3[t] -634.338888888894M4[t] -474.996527777783M5[t] -458.854166666671M6[t] -383.11180555556M7[t] -301.569444444448M8[t] -235.227083333337M9[t] -169.284722222226M10[t] -94.5423611111136M11[t] -161.142361111112t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)139568.5251132.34252123.256500
M1-934.3659722221661377.558048-0.67830.5009220.250461
M2-861.0236111111171375.499869-0.6260.5343620.267181
M3-734.0812500000061373.635049-0.53440.5955790.297789
M4-634.3388888888941371.964378-0.46240.6459580.322979
M5-474.9965277777831370.488566-0.34660.7304470.365223
M6-458.8541666666711369.208241-0.33510.7390230.369511
M7-383.111805555561368.123954-0.280.7806860.390343
M8-301.5694444444481367.23617-0.22060.8263840.413192
M9-235.2270833333371366.545273-0.17210.8640720.432036
M10-169.2847222222261366.051561-0.12390.9019050.450952
M11-94.54236111111361365.755248-0.06920.9451050.472553
t-161.14236111111216.426294-9.8100


Multiple Linear Regression - Regression Statistics
Multiple R0.820999691173647
R-squared0.674040492907223
Adjusted R-squared0.590816788968642
F-TEST (value)8.09914076168326
F-TEST (DF numerator)12
F-TEST (DF denominator)47
p-value6.03553863554041e-08
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation2159.29246189414
Sum Squared Residuals219139564.991665


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1135094138473.016666666-3379.01666666643
2135411138385.216666667-2974.21666666668
3135698138351.016666667-2653.01666666668
4135880138289.616666667-2409.61666666668
5135891138287.816666667-2396.81666666668
6135971138142.816666667-2171.81666666668
7136173138057.416666667-1884.41666666668
8136358137977.816666667-1619.81666666668
9136514137883.016666667-1369.01666666668
10136506137787.816666667-1281.81666666668
11136711137701.416666667-990.416666666678
12136891137634.816666667-743.816666666678
13137094136539.308333333554.691666666599
14137182136451.508333333730.491666666662
15137400136417.308333333982.691666666661
16137479136355.9083333331123.09166666666
17137620136354.1083333331265.89166666666
18137687136209.1083333331477.89166666666
19137638136123.7083333331514.29166666666
20137612136044.1083333331567.89166666666
21137681135949.3083333331731.69166666666
22137772135854.1083333331917.89166666666
23137899135767.7083333332131.29166666666
24137983135701.1083333332281.89166666666
25137996134605.63390.39999999994
26137913134517.83395.2
27137841134483.63357.4
28137656134422.23233.8
29137423134420.43002.6
30137245134275.42969.6
311370141341902824
32136747134110.42636.6
33136313134015.62297.4
34135804133920.41883.6
351350021338341168
36134383133767.4615.599999999998
37133563132671.891666667891.108333333276
38132837132584.091666667252.908333333338
39132041132549.891666667-508.891666666662
40131381132488.491666667-1107.49166666666
41130995132486.691666667-1491.69166666666
42130493132341.691666667-1848.69166666666
43130193132256.291666667-2063.29166666666
44129962132176.691666667-2214.69166666666
45129726132081.891666667-2355.89166666666
46129505131986.691666667-2481.69166666666
47129450131900.291666667-2450.29166666666
48129320131833.691666667-2513.69166666666
49129281130738.183333333-1457.18333333339
50129246130650.383333333-1404.38333333332
51129438130616.183333333-1178.18333333332
52129715130554.783333333-839.783333333322
53130173130552.983333333-379.983333333322
54129981130407.983333333-426.983333333323
55129932130322.583333333-390.583333333323
56129873130242.983333333-369.983333333322
57129844130148.183333333-304.183333333323
58130015130052.983333333-37.9833333333228
59130108129966.583333333141.416666666678
60130260129899.983333333360.016666666677


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
160.000607467340764190.001214934681528380.999392532659236
173.9371240151208e-057.87424803024159e-050.999960628759849
182.34577214062529e-064.69154428125058e-060.999997654227859
197.0797034117476e-071.41594068234952e-060.999999292029659
206.53332033791137e-071.30666406758227e-060.999999346667966
213.81620417175415e-077.63240834350831e-070.999999618379583
228.21849428986936e-081.64369885797387e-070.999999917815057
232.06219191783918e-084.12438383567836e-080.999999979378081
246.47694987615527e-091.29538997523105e-080.99999999352305
251.59266509227882e-093.18533018455764e-090.999999998407335
261.23092773391168e-092.46185546782337e-090.999999998769072
273.16312249726122e-096.32624499452243e-090.999999996836877
281.48080822606901e-082.96161645213802e-080.999999985191918
298.06953007466768e-081.61390601493354e-070.999999919304699
304.49742878195913e-078.99485756391826e-070.999999550257122
313.16925719007608e-066.33851438015216e-060.99999683074281
323.01133612531012e-056.02267225062024e-050.999969886638747
330.0004745294205446040.0009490588410892080.999525470579455
340.007121477066770370.01424295413354070.99287852293323
350.07887751732978980.157755034659580.92112248267021
360.3596043082500280.7192086165000550.640395691749972
370.7770672936405580.4458654127188840.222932706359442
380.9699357194005670.0601285611988650.0300642805994325
390.9973882018131030.005223596373795080.00261179818689754
400.9996166132441270.0007667735117462540.000383386755873127
410.9997171660146480.0005656679707036450.000282833985351823
420.9996402246506860.0007195506986284820.000359775349314241
430.9992616706752020.001476658649596890.000738329324798444
440.998183238877330.003633522245340030.00181676112267001


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level240.827586206896552NOK
5% type I error level250.862068965517241NOK
10% type I error level260.896551724137931NOK
 
Charts produced by software:
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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):
 





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Software written by Ed van Stee & Patrick Wessa


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