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Paper TW

*Unverified author*
R Software Module: rwasp_multipleregression.wasp (opens new window with default values)
Title produced by software: Multiple Regression
Date of computation: Mon, 15 Dec 2008 11:01:30 -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/15/t12293641606az1gbyjanm46tm.htm/, Retrieved Mon, 15 Dec 2008 19:02:51 +0100
 
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/15/t12293641606az1gbyjanm46tm.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},
}
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
467 0 460 0 448 0 443 0 436 0 431 0 484 0 510 0 513 0 503 0 471 0 471 0 476 0 475 0 470 0 461 0 455 0 456 0 517 0 525 0 523 0 519 0 509 0 512 0 519 0 517 0 510 0 509 0 501 0 507 0 569 0 580 0 578 0 565 0 547 0 555 0 562 0 561 0 555 1 544 1 537 1 543 1 594 1 611 1 613 1 611 1 594 1 595 1 591 1 589 1 584 1 573 1 567 1 569 1 621 1 629 1 628 1 612 1 595 1 597 1 593 1 590 1 580 1 574 1 573 1 573 1 620 1 626 1 620 1 588 1 566 1 557 1 561 1 549 1 532 1 526 1 511 1 499 1 555 1 565 1 542 1 527 1 510 1 514 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 time3 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Multiple Linear Regression - Estimated Regression Equation
Y[t] = + 498.611111111111 + 64.8055555555555DUM[t] + 6.37251984126993M1[t] + 2.21924603174606M2[t] -16.0491071428571M3[t] -23.2023809523809M4[t] -30.4985119047619M5[t] -30.9375M6[t] + 23.4806547619048M7[t] + 35.6130952380953M8[t] + 31.3169642857143M9[t] + 18.0208333333334M10[t] -1.13244047619046M11[t] + 0.153273809523811t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)498.61111111111115.01725433.202500
DUM64.805555555555514.5776294.44553.2e-051.6e-05
M16.3725198412699317.7650950.35870.7208920.360446
M22.2192460317460617.7421930.12510.9008160.450408
M3-16.049107142857117.876635-0.89780.3723860.186193
M4-23.202380952380917.833622-1.3010.1975090.098754
M5-30.498511904761917.795584-1.71380.0909860.045493
M6-30.937517.762551-1.74170.0859490.042975
M723.480654761904817.7345531.3240.1898080.094904
M835.613095238095317.7116122.01070.0482080.024104
M931.316964285714317.6937491.76990.0810910.040545
M1018.020833333333417.6809781.01920.3116080.155804
M11-1.1324404761904617.673311-0.06410.9490920.474546
t0.1532738095238110.3005860.50990.6117130.305857


Multiple Linear Regression - Regression Statistics
Multiple R0.810706186028269
R-squared0.657244520064502
Adjusted R-squared0.593589930933624
F-TEST (value)10.3251710369721
F-TEST (DF numerator)13
F-TEST (DF denominator)70
p-value1.00146557713288e-11
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation33.0589549310589
Sum Squared Residuals76502.6150793651


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1467505.136904761905-38.1369047619045
2460501.136904761905-41.1369047619049
3448483.021825396825-35.0218253968254
4443476.021825396825-33.0218253968254
5436468.878968253968-32.8789682539682
6431468.593253968254-37.593253968254
7484523.164682539683-39.1646825396826
8510535.450396825397-25.4503968253967
9513531.30753968254-18.3075396825397
10503518.164682539683-15.1646825396825
11471499.164682539683-28.1646825396826
12471500.450396825397-29.4503968253968
13476506.976190476191-30.9761904761905
14475502.976190476190-27.9761904761905
15470484.861111111111-14.8611111111111
16461477.861111111111-16.8611111111111
17455470.718253968254-15.7182539682540
18456470.43253968254-14.4325396825397
19517525.003968253968-8.00396825396826
20525537.289682539683-12.2896825396826
21523533.146825396825-10.1468253968254
22519520.003968253968-1.00396825396826
23509501.0039682539687.99603174603175
24512502.2896825396839.71031746031748
25519508.81547619047610.1845238095238
26517504.81547619047612.1845238095238
27510486.70039682539723.2996031746032
28509479.70039682539729.2996031746032
29501472.5575396825428.4424603174603
30507472.27182539682534.7281746031746
31569526.84325396825442.156746031746
32580539.12896825396840.8710317460317
33578534.98611111111143.0138888888889
34565521.84325396825443.156746031746
35547502.84325396825444.1567460317460
36555504.12896825396850.8710317460318
37562510.65476190476251.345238095238
38561506.65476190476254.3452380952381
39555553.3452380952381.65476190476194
40544546.345238095238-2.34523809523807
41537539.202380952381-2.20238095238093
42543538.9166666666674.08333333333335
43594593.4880952380950.511904761904775
44611605.773809523815.22619047619049
45613601.63095238095211.3690476190476
46611588.48809523809522.5119047619048
47594569.48809523809524.5119047619048
48595570.7738095238124.2261904761905
49591577.29960317460313.7003968253968
50589573.29960317460315.7003968253968
51584555.18452380952428.8154761904762
52573548.18452380952424.8154761904762
53567541.04166666666725.9583333333333
54569540.75595238095228.2440476190476
55621595.32738095238125.6726190476191
56629607.61309523809521.3869047619048
57628603.47023809523824.5297619047619
58612590.32738095238121.6726190476191
59595571.32738095238123.6726190476191
60597572.61309523809524.3869047619048
61593579.13888888888913.8611111111111
62590575.13888888888914.8611111111111
63580557.0238095238122.9761904761905
64574550.0238095238123.9761904761905
65573542.88095238095230.1190476190476
66573542.59523809523830.4047619047619
67620597.16666666666722.8333333333333
68626609.45238095238116.5476190476190
69620605.30952380952414.6904761904762
70588592.166666666667-4.16666666666668
71566573.166666666667-7.16666666666667
72557574.452380952381-17.4523809523809
73561580.978174603175-19.9781746031746
74549576.978174603175-27.9781746031746
75532558.863095238095-26.8630952380952
76526551.863095238095-25.8630952380952
77511544.720238095238-33.7202380952381
78499544.434523809524-45.4345238095238
79555599.005952380952-44.0059523809524
80565611.291666666667-46.2916666666667
81542607.14880952381-65.1488095238095
82527594.005952380952-67.0059523809524
83510575.005952380952-65.0059523809524
84514576.291666666667-62.2916666666666


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.004436821966974830.008873643933949650.995563178033025
180.001515829343399040.003031658686798080.998484170656601
190.001714401240340580.003428802480681150.99828559875966
200.0004964630023530670.0009929260047061330.999503536997647
210.0002373371410386550.0004746742820773090.999762662858961
226.30835634383049e-050.0001261671268766100.999936916436562
230.0001749547986768250.000349909597353650.999825045201323
240.0003504417019633820.0007008834039267640.999649558298037
250.0003374961423532990.0006749922847065980.999662503857647
260.0003118305891731770.0006236611783463540.999688169410827
270.0002239046552708140.0004478093105416290.999776095344729
280.0002317867565824220.0004635735131648450.999768213243418
290.0001716414345069760.0003432828690139530.999828358565493
300.000225277953580930.000450555907161860.99977472204642
310.0003440320200690310.0006880640401380620.99965596797993
320.0002448558409821080.0004897116819642150.999755144159018
330.0001367221700744060.0002734443401488120.999863277829926
345.83270146681578e-050.0001166540293363160.999941672985332
352.63150825791699e-055.26301651583399e-050.99997368491742
361.55321118429844e-053.10642236859689e-050.999984467888157
376.53495045239512e-061.30699009047902e-050.999993465049548
382.86431758605355e-065.7286351721071e-060.999997135682414
392.1420666166537e-064.2841332333074e-060.999997857933383
402.39787931630456e-064.79575863260911e-060.999997602120684
413.57186969861603e-067.14373939723206e-060.999996428130301
424.87742954737019e-069.75485909474038e-060.999995122570453
431.14033511071758e-052.28067022143517e-050.999988596648893
442.38424138113253e-054.76848276226507e-050.999976157586189
453.51289396470053e-057.02578792940106e-050.999964871060353
462.82291416623263e-055.64582833246525e-050.999971770858338
472.65792677272753e-055.31585354545506e-050.999973420732273
482.23854678120492e-054.47709356240983e-050.999977614532188
494.44039336057256e-058.88078672114513e-050.999955596066394
507.23785169558272e-050.0001447570339116540.999927621483044
517.21508093960795e-050.0001443016187921590.999927849190604
520.0001541560789574360.0003083121579148710.999845843921043
530.0003966526180746590.0007933052361493180.999603347381925
540.0007326792803057010.001465358560611400.999267320719694
550.002359511275661800.004719022551323610.997640488724338
560.01905964852825540.03811929705651080.980940351471745
570.05182581790012950.1036516358002590.94817418209987
580.1259888441214870.2519776882429730.874011155878513
590.2346742344238460.4693484688476920.765325765576154
600.3813401475956730.7626802951913460.618659852404327
610.6642027288561710.6715945422876580.335797271143829
620.7794388338355430.4411223323289140.220561166164457
630.8034683169732060.3930633660535890.196531683026794
640.822710084658840.3545798306823210.177289915341160
650.7304022037941890.5391955924116230.269597796205811
660.6970120983322140.6059758033355720.302987901667786
670.5726259292715610.8547481414568790.427374070728439


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level390.764705882352941NOK
5% type I error level400.784313725490196NOK
10% type I error level400.784313725490196NOK
 
Charts produced by software:
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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t12293641606az1gbyjanm46tm/1tne01229364084.ps (open in new window)


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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t12293641606az1gbyjanm46tm/839j01229364084.ps (open in new window)


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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t12293641606az1gbyjanm46tm/9yc471229364084.ps (open in new window)


 
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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