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regressie, monthly dummies & no linear trend

R Software Module: rwasp_multipleregression.wasp (opens new window with default values)
Title produced by software: Multiple Regression
Date of computation: Mon, 28 Apr 2008 12:41:55 -0600
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Apr/28/t12094087850quu379ctjbhoch.htm/, Retrieved Mon, 28 Apr 2008 20:53:17 +0200
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
56421 53152 53536 52408 41454 38271 35306 26414 31917 38030 27534 18387 50556 43901 48572 43899 37532 40357 35489 29027 34485 42598 30306 26451 47460 50104 61465 53726 39477 43895 31481 29896 33842 39120 33702 25094 51442 45594 52518 48564 41745 49585 32747 33379 35645 37034 35681 20972 58552 54955 65540 51570 51145 46641 35704 33253 35193 41668 34865 21210 56126 49231 59723 48103 47472 50497 40059 34149 36860 46356 36577
 
Text written by user:
 
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
aantal[t] = + 22422.8 + 31003.3666666667M1[t] + 27066.7M2[t] + 34469.5333333333M3[t] + 27288.8666666667M4[t] + 20714.7M5[t] + 22451.5333333334M6[t] + 12708.2M7[t] + 8596.86666666668M8[t] + 12234.2M9[t] + 18378.2000000000M10[t] + 10688.0333333334M11[t] + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)22422.81814.59270412.356900
M131003.36666666672456.97013612.618500
M227066.72456.97013611.016300
M334469.53333333332456.97013614.029300
M427288.86666666672456.97013611.106700
M520714.72456.9701368.43100
M622451.53333333342456.9701369.137900
M712708.22456.9701365.17233e-061e-06
M88596.866666666682456.9701363.4990.0008950.000448
M912234.22456.9701364.97946e-063e-06
M1018378.20000000002456.9701367.4800
M1110688.03333333342456.9701364.35015.5e-052.7e-05


Multiple Linear Regression - Regression Statistics
Multiple R0.933426029264076
R-squared0.8712841521077
Adjusted R-squared0.847286282161677
F-TEST (value)36.3067286416444
F-TEST (DF numerator)11
F-TEST (DF denominator)59
p-value0
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation4057.5526371681
Sum Squared Residuals971360270.799998


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
15642153426.16666666662994.83333333337
25315249489.50000000013662.4999999999
35353656892.3333333333-3356.33333333331
45240849711.66666666662696.33333333335
54145443137.5-1683.49999999997
63827144874.3333333333-6603.3333333333
73530635131.0000000000174.999999999959
82641431019.6666666666-4605.66666666665
93191734657-2739.99999999999
103803040801-2770.99999999998
112753433110.8333333333-5576.83333333333
121838722422.8-4035.8
135055653426.1666666667-2870.16666666668
144390149489.5-5588.49999999998
154857256892.3333333333-8320.33333333334
164389949711.6666666667-5812.66666666667
173753243137.5-5605.50000000001
184035744874.3333333333-4517.33333333334
193548935131358.000000000006
202902731019.6666666667-1992.66666666667
213448534657-172.000000000003
2242598408011796.99999999999
233030633110.8333333333-2804.83333333333
242645122422.84028.20000000001
254746053426.1666666667-5966.16666666668
265010449489.5614.50000000002
276146556892.33333333334572.66666666666
285372649711.66666666674014.33333333333
293947743137.5-3660.50000000001
304389544874.3333333333-979.33333333334
313148135131-3649.99999999999
322989631019.6666666667-1123.66666666667
333384234657-815.000000000004
343912040801-1681.00000000001
353370233110.8333333333591.166666666666
362509422422.82671.20000000001
375144253426.1666666667-1984.16666666668
384559449489.5-3895.49999999998
395251856892.3333333333-4374.33333333334
404856449711.6666666667-1147.66666666667
414174543137.5-1392.50000000001
424958544874.33333333334710.66666666666
433274735131-2383.99999999999
443337931019.66666666672359.33333333333
453564534657987.999999999997
463703440801-3767.00000000001
473568133110.83333333332570.16666666667
482097222422.8-1450.79999999999
495855253426.16666666675125.83333333332
505495549489.55465.50000000002
516554056892.33333333338647.66666666666
525157049711.66666666671858.33333333333
535114543137.58007.49999999999
544664144874.33333333331766.66666666666
553570435131573.000000000006
563325331019.66666666672233.33333333333
573519334657535.999999999997
584166840801866.999999999994
593486533110.83333333331754.16666666667
602121022422.8-1212.79999999999
615612653426.16666666672699.83333333332
624923149489.5-258.499999999979
635972356892.33333333332830.66666666666
644810349711.6666666667-1608.66666666667
654747243137.54334.49999999999
665049744874.33333333335622.66666666666
6740059351314928
683414931019.66666666673129.33333333333
6936860346572203.00000000000
7046356408015554.99999999999
713657733110.83333333333466.16666666667


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
150.8167001303227750.3665997393544490.183299869677225
160.8831188243733830.2337623512532330.116881175626617
170.8615209069924030.2769581860151940.138479093007597
180.8272708475277240.3454583049445520.172729152472276
190.7407983589235950.518403282152810.259201641076405
200.6743577451451470.6512845097097060.325642254854853
210.5913477922782160.8173044154435690.408652207721784
220.5516047133700440.8967905732599120.448395286629956
230.503696422018060.992607155963880.49630357798194
240.5987241557872470.8025516884255060.401275844212753
250.7021015092821030.5957969814357940.297898490717897
260.6249743409584590.7500513180830820.375025659041541
270.7940635127168240.4118729745663520.205936487283176
280.8030880509780350.3938238980439310.196911949021965
290.8121346901824050.3757306196351890.187865309817595
300.818883235998450.3622335280030980.181116764001549
310.8148911732611370.3702176534777250.185108826738863
320.7839687644624230.4320624710751530.216031235537577
330.7262055346446790.5475889307106420.273794465355321
340.6688902793916310.6622194412167380.331109720608369
350.6415231168977780.7169537662044440.358476883102222
360.6076020065527990.7847959868944010.392397993447201
370.6033028080129250.793394383974150.396697191987075
380.647234437858530.7055311242829410.352765562141470
390.8342043994506290.3315912010987420.165795600549371
400.7821528390569990.4356943218860030.217847160943001
410.876642957077810.2467140858443790.123357042922190
420.8980044441560670.2039911116878660.101995555843933
430.9122239622042030.1755520755915930.0877760377957966
440.8871183454458860.2257633091082290.112881654554114
450.8396952446518180.3206095106963640.160304755348182
460.9251121583584920.1497756832830170.0748878416415083
470.8976066499390690.2047867001218630.102393350060931
480.847030958574430.3059380828511410.152969041425571
490.8332197948966690.3335604102066630.166780205103331
500.884389997623560.2312200047528810.115610002376440
510.9496889376151120.1006221247697760.0503110623848882
520.9349421975655490.1301156048689030.0650578024344515
530.94164983377820.1167003324435990.0583501662217996
540.9315741207546550.1368517584906890.0684258792453447
550.9369697758759210.1260604482481580.0630302241240791
560.852570072231660.2948598555366820.147429927768341


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level00OK
5% type I error level00OK
10% type I error level00OK
 
Charts produced by software:
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Parameters (Session):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = No Linear Trend ;
 
Parameters (R input):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = No Linear Trend ;
 
R code (references can be found in the software module):
library(lattice)
library(lmtest)
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
k <- length(x[1,])
df <- as.data.frame(x)
(mylm <- lm(df))
(mysum <- summary(mylm))
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)$p.value
}
if (gqarr[mypoint-kp3+1,2] < 0.01) numsignificant1 <- numsignificant1 + 1
if (gqarr[mypoint-kp3+1,2] < 0.05) numsignificant5 <- numsignificant5 + 1
if (gqarr[mypoint-kp3+1,2] < 0.10) numsignificant10 <- numsignificant10 + 1
}
gqarr
}
bitmap(file='test0.png')
plot(x[,1], type='l', main='Actuals and Interpolation', ylab='value of Actuals and Interpolation (dots)', xlab='time or index')
points(x[,1]-mysum$resid)
grid()
dev.off()
bitmap(file='test1.png')
plot(mysum$resid, type='b', pch=19, main='Residuals', ylab='value of Residuals', xlab='time or index')
grid()
dev.off()
bitmap(file='test2.png')
hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
grid()
dev.off()
bitmap(file='test3.png')
densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
dev.off()
bitmap(file='test4.png')
qqnorm(mysum$resid, main='Residual Normal Q-Q Plot')
qqline(mysum$resid)
grid()
dev.off()
(myerror <- as.ts(mysum$resid))
bitmap(file='test5.png')
dum <- cbind(lag(myerror,k=1),myerror)
dum
dum1 <- dum[2:length(myerror),]
dum1
z <- as.data.frame(dum1)
z
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()
bitmap(file='test6.png')
acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
grid()
dev.off()
bitmap(file='test7.png')
pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
grid()
dev.off()
bitmap(file='test8.png')
opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
plot(mylm, las = 1, sub='Residual Diagnostics')
par(opar)
dev.off()
if (n > n25) {
bitmap(file='test9.png')
plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
grid()
dev.off()
}
load(file='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$coefficients)[i] != 't') myeq <- paste(myeq, '[t]', sep='')
}
}
myeq <- paste(myeq, ' + e[t]')
a<-table.row.start(a)
a<-table.element(a, myeq)
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable1.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,hyperlink('http://www.xycoon.com/ols1.htm','Multiple Linear Regression - Ordinary Least Squares',''), 6, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Variable',header=TRUE)
a<-table.element(a,'Parameter',header=TRUE)
a<-table.element(a,'S.D.',header=TRUE)
a<-table.element(a,'T-STAT<br />H0: parameter = 0',header=TRUE)
a<-table.element(a,'2-tail p-value',header=TRUE)
a<-table.element(a,'1-tail p-value',header=TRUE)
a<-table.row.end(a)
for (i in 1:k){
a<-table.row.start(a)
a<-table.element(a,rownames(mysum$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$coefficients[i,4]/2,6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable2.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Regression Statistics', 2, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Multiple R',1,TRUE)
a<-table.element(a, sqrt(mysum$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$sigma)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Sum Squared Residuals',1,TRUE)
a<-table.element(a, sum(myerror*myerror))
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable3.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Actuals, Interpolation, and Residuals', 4, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Time or Index', 1, TRUE)
a<-table.element(a, 'Actuals', 1, TRUE)
a<-table.element(a, 'Interpolation<br />Forecast', 1, TRUE)
a<-table.element(a, 'Residuals<br />Prediction Error', 1, TRUE)
a<-table.row.end(a)
for (i in 1:n) {
a<-table.row.start(a)
a<-table.element(a,i, 1, TRUE)
a<-table.element(a,x[i])
a<-table.element(a,x[i]-mysum$resid[i])
a<-table.element(a,mysum$resid[i])
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable4.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='mytable5.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='mytable6.tab')
}
 





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