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Paper - Multiple Regression SPAREN 3

*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: Fri, 05 Dec 2008 10:06:35 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/05/t1228496884zm08crpl3iqmf90.htm/, Retrieved Fri, 05 Dec 2008 17:08:04 +0000
 
BibTeX entries for LaTeX users:
@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/05/t1228496884zm08crpl3iqmf90.htm/},
    year = {2008},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}
 
Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
 
Feedback Forum:
2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply
test

Post a new message
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
0 0 9 0 1 0 4 0 6 0 21 0 24 0 23 0 22 0 21 0 20 0 16 0 18 0 18 0 24 0 16 0 15 0 24 0 18 0 15 0 4 0 3 0 6 0 5 0 12 0 12 0 12 0 14 0 12 0 17 0 12 0 20 0 21 0 15 0 22 0 19 0 19 0 26 0 25 0 19 0 20 0 30 0 31 0 35 0 33 0 26 0 25 0 17 0 14 0 8 0 12 0 7 0 4 0 10 0 8 0 16 1 14 1 20 1 9 1 10 1
 
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 time6 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Multiple Linear Regression - Estimated Regression Equation
Spa[t] = + 11.2673684210526 -7.65263157894737Val[t] -1.21122807017544M1[t] + 0.687017543859648M2[t] + 0.785263157894733M3[t] -2.11649122807018M4[t] -2.81824561403509M5[t] + 6.08M6[t] + 4.17824561403508M7[t] + 8.80701754385965M8[t] + 5.70526315789473M9[t] + 3.80350877192982M10[t] + 3.10175438596491M11[t] + 0.101754385964912t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)11.26736842105264.2087512.67710.0102580.005129
Val-7.652631578947374.503635-1.69920.0960330.048017
M1-1.211228070175445.143066-0.23550.8148610.40743
M20.6870175438596485.1389560.13370.8942320.447116
M30.7852631578947335.1357570.15290.8791450.439572
M4-2.116491228070185.133471-0.41230.682040.34102
M5-2.818245614035095.132099-0.54910.5855650.292782
M66.085.1316421.18480.242180.12109
M74.178245614035085.1320990.81410.419760.20988
M88.807017543859655.0760791.7350.0894360.044718
M95.705263157894735.0728411.12470.2665640.133282
M103.803508771929825.0705270.75010.4570020.228501
M113.101754385964915.0691380.61190.5436230.271812
t0.1017543859649120.0685211.4850.144360.07218


Multiple Linear Regression - Regression Statistics
Multiple R0.475773157308377
R-squared0.226360097215181
Adjusted R-squared0.00772273338468932
F-TEST (value)1.03532211168937
F-TEST (DF numerator)13
F-TEST (DF denominator)46
p-value0.436074132482178
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation8.01427787673871
Sum Squared Residuals2954.51789473684


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1010.1578947368421-10.1578947368421
2912.1578947368421-3.1578947368421
3112.3578947368421-11.3578947368421
449.5578947368421-5.55789473684211
568.9578947368421-2.9578947368421
62117.95789473684213.0421052631579
72416.15789473684217.8421052631579
82320.88842105263162.11157894736842
92217.88842105263164.11157894736842
102116.08842105263164.91157894736842
112015.48842105263164.51157894736842
121612.48842105263163.51157894736842
131811.37894736842106.62105263157895
141813.37894736842114.62105263157895
152413.578947368421010.4210526315790
161610.77894736842115.22105263157895
171510.17894736842114.82105263157895
182419.17894736842114.82105263157895
191817.37894736842100.62105263157895
201522.1094736842105-7.10947368421053
21419.1094736842105-15.1094736842105
22317.3094736842105-14.3094736842105
23616.7094736842105-10.7094736842105
24513.7094736842105-8.70947368421052
251212.6-0.599999999999996
261214.6-2.6
271214.8-2.8
2814122
291211.40.6
301720.4-3.4
311218.6-6.6
322023.3305263157895-3.33052631578947
332120.33052631578950.669473684210528
341518.5305263157895-3.53052631578947
352217.93052631578954.06947368421053
361914.93052631578954.06947368421052
371913.82105263157895.17894736842106
382615.821052631578910.1789473684211
392516.02105263157898.97894736842106
401913.22105263157895.77894736842106
412012.62105263157897.37894736842105
423021.62105263157898.37894736842105
433119.821052631579011.1789473684210
443524.551578947368410.4484210526316
453321.551578947368411.4484210526316
462619.75157894736846.24842105263158
472519.15157894736845.84842105263158
481716.15157894736840.848421052631577
491415.0421052631579-1.04210526315789
50817.0421052631579-9.0421052631579
511217.2421052631579-5.2421052631579
52714.4421052631579-7.4421052631579
53413.8421052631579-9.8421052631579
541022.8421052631579-12.8421052631579
55821.0421052631579-13.0421052631579
561618.12-2.12
571415.12-1.12000000000000
582013.326.68
59912.72-3.72
60109.720.279999999999998


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.1950132462270150.3900264924540300.804986753772985
180.2044782544078410.4089565088156820.795521745592159
190.3679858099316890.7359716198633770.632014190068311
200.4564016254016950.912803250803390.543598374598305
210.7243948576223720.5512102847552560.275605142377628
220.8492259387436660.3015481225126670.150774061256334
230.8773246909710690.2453506180578620.122675309028931
240.881978901797190.2360421964056220.118021098202811
250.8303583298225310.3392833403549370.169641670177469
260.7699856007436120.4600287985127760.230014399256388
270.7126160527035750.5747678945928490.287383947296425
280.6266157352217860.7467685295564290.373384264778214
290.531925131427510.9361497371449810.468074868572491
300.4697934198541510.9395868397083030.530206580145849
310.4949840049760930.9899680099521860.505015995023907
320.5186880248398850.962623950320230.481311975160115
330.5683564427000370.8632871145999270.431643557299963
340.8363567233238990.3272865533522020.163643276676101
350.8916098138176460.2167803723647070.108390186182354
360.9708852670155790.0582294659688420.029114732984421
370.9854483711404130.02910325771917380.0145516288595869
380.972872902290220.05425419541955830.0271270977097791
390.957150342857930.08569931428413820.0428496571420691
400.9453045306428850.109390938714230.054695469357115
410.9086667837633950.1826664324732090.0913332162366046
420.8243770840417040.3512458319165930.175622915958296
430.6821565462941230.6356869074117540.317843453705877


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level00OK
5% type I error level10.037037037037037OK
10% type I error level40.148148148148148NOK
 
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):
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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Software written by Ed van Stee & Patrick Wessa


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