| Werkloosheid- Azië | *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, 17 Dec 2008 07:07:42 -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/17/t1229522980z22yx4ojgxw8h1d.htm/, Retrieved Wed, 17 Dec 2008 15:10:03 +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/17/t1229522980z22yx4ojgxw8h1d.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 « | 180144 1235,8
173666 1147,1
165688 1376,9
161570 1157,7
156145 1506
153730 1271,3
182698 1240,2
200765 1408,3
176512 1334,6
166618 1601,2
158644 1566,4
159585 1297,5
163095 1487,6
159044 1320,9
155511 1514
153745 1290,9
150569 1392,5
150605 1288,2
179612 1304,4
194690 1297,8
189917 1211
184128 1454
175335 1405,7
179566 1160,8
181140 1492,1
177876 1263
175041 1376,3
169292 1368,6
166070 1427,6
166972 1339,8
206348 1248,3
215706 1309,8
202108 1424
195411 1590,5
193111 1423,1
195198 1355,3
198770 1515
194163 1385,6
190420 1430
189733 1494,2
186029 1580,9
191531 1369,8
232571 1407,5
243477 1388,3
227247 1478,5
217859 1630,4
208679 1413,5
213188 1493,8
216234 1641,3
213586 1465
209465 1725,1
204045 1628,4
200237 1679,8
203666 1876
241476 1669,4
260307 1712,4
243324 1768,8
244460 1820,5
233575 1776,2
237217 1693,7
235243 1799,1
230354 1917,5
227184 1887,2
221678 1787,8
217142 1803,8
219452 2196,4
256446 1759,5
265845 2002,6
248624 2056,8
241114 1851,1
229245 1984,3
231805 1725,3
219277 2096,6
219313 1792,2
212610 2029,9
214771 1785,3
211142 2026,5
211457 1930,8
240048 1845,5
240636 1943,1
230580 2066,8
208795 2354,4
197922 2190,7
194596 1929,6
| | 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!
Multiple Linear Regression - Estimated Regression Equation | werkloosheid[t] = + 98514.9949379193 + 64.8271222961237`Azië`[t] + e[t] |
Multiple Linear Regression - Regression Statistics | Multiple R | 0.622285856514731 | R-squared | 0.387239687218273 | Adjusted R-squared | 0.379767000477032 | F-TEST (value) | 51.8206771710579 | F-TEST (DF numerator) | 1 | F-TEST (DF denominator) | 82 | p-value | 2.63510990805571e-10 | Multiple Linear Regression - Residual Statistics | Residual Standard Deviation | 23194.5345792005 | Sum Squared Residuals | 44114887616.3496 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error | 1 | 180144 | 178628.352671469 | 1515.64732853101 | 2 | 173666 | 172878.186923803 | 787.813076197305 | 3 | 165688 | 187775.459627452 | -22087.4596274520 | 4 | 161570 | 173565.354420142 | -11995.3544201417 | 5 | 156145 | 196144.641115882 | -39999.6411158815 | 6 | 153730 | 180929.715512981 | -27199.7155129813 | 7 | 182698 | 178913.592009572 | 3784.40799042814 | 8 | 200765 | 189811.031267550 | 10953.9687324498 | 9 | 176512 | 185033.272354326 | -8521.27235432592 | 10 | 166618 | 202316.183158473 | -35698.1831584725 | 11 | 158644 | 200060.199302567 | -41416.1993025674 | 12 | 159585 | 182628.186117140 | -23043.1861171397 | 13 | 163095 | 194951.822065633 | -31856.8220656329 | 14 | 159044 | 184145.140778869 | -25101.1407788690 | 15 | 155511 | 196663.258094251 | -41152.2580942505 | 16 | 153745 | 182200.327109985 | -28455.3271099853 | 17 | 150569 | 188786.762735271 | -38217.7627352715 | 18 | 150605 | 182025.293879786 | -31420.2938797858 | 19 | 179612 | 183075.493260983 | -3463.493260983 | 20 | 194690 | 182647.634253829 | 12042.3657461714 | 21 | 189917 | 177020.640038525 | 12896.3599614750 | 22 | 184128 | 192773.630756483 | -8645.6307564831 | 23 | 175335 | 189642.480749580 | -14307.4807495803 | 24 | 179566 | 173766.318499260 | 5799.68150074037 | 25 | 181140 | 195243.544115965 | -14103.5441159654 | 26 | 177876 | 180391.650397923 | -2515.65039792347 | 27 | 175041 | 187736.563354074 | -12695.5633540743 | 28 | 169292 | 187237.394512394 | -17945.3945123941 | 29 | 166070 | 191062.194727865 | -24992.1947278654 | 30 | 166972 | 185370.373390266 | -18398.3733902658 | 31 | 206348 | 179438.691700170 | 26909.3082998295 | 32 | 215706 | 183425.559721382 | 32280.4402786179 | 33 | 202108 | 190828.817087599 | 11279.1829124006 | 34 | 195411 | 201622.532949904 | -6211.53294990398 | 35 | 193111 | 190770.472677533 | 2340.52732246713 | 36 | 195198 | 186375.193785856 | 8822.80621414431 | 37 | 198770 | 196728.085216547 | 2041.91478345335 | 38 | 194163 | 188339.455591428 | 5823.54440857177 | 39 | 190420 | 191217.779821376 | -797.779821376132 | 40 | 189733 | 195379.681072787 | -5646.68107278728 | 41 | 186029 | 201000.192575861 | -14971.1925758612 | 42 | 191531 | 187315.187059149 | 4215.81294085052 | 43 | 232571 | 189759.169569713 | 42811.8304302866 | 44 | 243477 | 188514.488821628 | 54962.5111783722 | 45 | 227247 | 194361.895252738 | 32885.1047472619 | 46 | 217859 | 204209.135129519 | 13649.8648704807 | 47 | 208679 | 190148.13230349 | 18530.8676965099 | 48 | 213188 | 195353.750223869 | 17834.2497761312 | 49 | 216234 | 204915.750762547 | 11318.2492374529 | 50 | 213586 | 193486.729101740 | 20099.2708982595 | 51 | 209465 | 210348.263610962 | -883.263610962228 | 52 | 204045 | 204079.480884927 | -34.4808849270783 | 53 | 200237 | 207411.594970948 | -7174.59497094783 | 54 | 203666 | 220130.676365447 | -16464.6763654473 | 55 | 241476 | 206737.392899068 | 34738.6071009319 | 56 | 260307 | 209524.959157801 | 50782.0408421985 | 57 | 243324 | 213181.208855303 | 30142.7911446972 | 58 | 244460 | 216532.771078012 | 27927.2289219876 | 59 | 233575 | 213660.929560294 | 19914.0704397058 | 60 | 237217 | 208312.691970864 | 28904.3080291360 | 61 | 235243 | 215145.470660875 | 20097.5293391246 | 62 | 230354 | 222821.001940736 | 7532.99805926357 | 63 | 227184 | 220856.740135164 | 6327.25986483612 | 64 | 221678 | 214412.924178929 | 7265.07582107082 | 65 | 217142 | 215450.158135667 | 1691.84186433283 | 66 | 219452 | 240901.286349125 | -21449.2863491253 | 67 | 256446 | 212578.316617949 | 43867.6833820511 | 68 | 265845 | 228337.790048137 | 37507.2099518634 | 69 | 248624 | 231851.420076586 | 16772.5799234135 | 70 | 241114 | 218516.481020274 | 22597.5189797262 | 71 | 229245 | 227151.453710117 | 2093.54628988251 | 72 | 231805 | 210361.229035421 | 21443.7709645785 | 73 | 219277 | 234431.539543972 | -15154.5395439722 | 74 | 219313 | 214698.163517032 | 4614.83648296786 | 75 | 212610 | 230107.570486821 | -17497.5704868207 | 76 | 214771 | 214250.856373189 | 520.143626811123 | 77 | 211142 | 229887.158271014 | -18745.1582710139 | 78 | 211457 | 223683.202667275 | -12226.2026672749 | 79 | 240048 | 218153.449135416 | 21894.5508645845 | 80 | 240636 | 224480.576271517 | 16155.4237284828 | 81 | 230580 | 232499.691299548 | -1919.69129954771 | 82 | 208795 | 251143.971671913 | -42348.9716719129 | 83 | 197922 | 240531.771752037 | -42609.7717520374 | 84 | 194596 | 223605.410120520 | -29009.4101205195 |
Goldfeld-Quandt test for Heteroskedasticity | p-values | Alternative Hypothesis | breakpoint index | greater | 2-sided | less | 5 | 0.0705126495466477 | 0.141025299093295 | 0.929487350453352 | 6 | 0.0576273525282811 | 0.115254705056562 | 0.942372647471719 | 7 | 0.0521777614150371 | 0.104355522830074 | 0.947822238584963 | 8 | 0.213782682771964 | 0.427565365543928 | 0.786217317228036 | 9 | 0.134125331582700 | 0.268250663165401 | 0.8658746684173 | 10 | 0.08751455473567 | 0.17502910947134 | 0.91248544526433 | 11 | 0.0665906799383064 | 0.133181359876613 | 0.933409320061694 | 12 | 0.0496939262554628 | 0.0993878525109257 | 0.950306073744537 | 13 | 0.0323671311022896 | 0.0647342622045792 | 0.96763286889771 | 14 | 0.0241910456819122 | 0.0483820913638244 | 0.975808954318088 | 15 | 0.0208698810885134 | 0.0417397621770268 | 0.979130118911487 | 16 | 0.0214867040587752 | 0.0429734081175504 | 0.978513295941225 | 17 | 0.0261986981070086 | 0.0523973962140173 | 0.973801301892991 | 18 | 0.0328670464372102 | 0.0657340928744204 | 0.96713295356279 | 19 | 0.0281382095334587 | 0.0562764190669173 | 0.971861790466541 | 20 | 0.0498712456831351 | 0.0997424913662702 | 0.950128754316865 | 21 | 0.0494065447079478 | 0.0988130894158955 | 0.950593455292052 | 22 | 0.0514367390346997 | 0.102873478069399 | 0.9485632609653 | 23 | 0.0417309557617093 | 0.0834619115234187 | 0.95826904423829 | 24 | 0.0292282971308885 | 0.058456594261777 | 0.970771702869111 | 25 | 0.0284896016470720 | 0.0569792032941441 | 0.971510398352928 | 26 | 0.0212235104227697 | 0.0424470208455395 | 0.97877648957723 | 27 | 0.0174602821206059 | 0.0349205642412117 | 0.982539717879394 | 28 | 0.016035462653559 | 0.032070925307118 | 0.98396453734644 | 29 | 0.0182779906181964 | 0.0365559812363928 | 0.981722009381804 | 30 | 0.0215780774357720 | 0.0431561548715439 | 0.978421922564228 | 31 | 0.0500578461565727 | 0.100115692313145 | 0.949942153843427 | 32 | 0.146524790374871 | 0.293049580749743 | 0.853475209625129 | 33 | 0.196212793249008 | 0.392425586498016 | 0.803787206750992 | 34 | 0.236157103863029 | 0.472314207726059 | 0.76384289613697 | 35 | 0.243159072432503 | 0.486318144865006 | 0.756840927567497 | 36 | 0.247706556290270 | 0.495413112580539 | 0.75229344370973 | 37 | 0.270670946994566 | 0.541341893989132 | 0.729329053005434 | 38 | 0.277242657951963 | 0.554485315903926 | 0.722757342048037 | 39 | 0.293658266044472 | 0.587316532088943 | 0.706341733955528 | 40 | 0.325558952495799 | 0.651117904991598 | 0.674441047504201 | 41 | 0.391091797451492 | 0.782183594902984 | 0.608908202548508 | 42 | 0.465077602600852 | 0.930155205201704 | 0.534922397399148 | 43 | 0.674958731409182 | 0.650082537181635 | 0.325041268590818 | 44 | 0.870401414638326 | 0.259197170723348 | 0.129598585361674 | 45 | 0.90040649882087 | 0.199187002358261 | 0.0995935011791304 | 46 | 0.897524928627722 | 0.204950142744557 | 0.102475071372278 | 47 | 0.899850070832432 | 0.200299858335136 | 0.100149929167568 | 48 | 0.899384000536073 | 0.201231998927854 | 0.100615999463927 | 49 | 0.889473181901375 | 0.221053636197251 | 0.110526818098625 | 50 | 0.895119563920942 | 0.209760872158115 | 0.104880436079058 | 51 | 0.889919120088661 | 0.220161759822678 | 0.110080879911339 | 52 | 0.913760359831503 | 0.172479280336995 | 0.0862396401684973 | 53 | 0.951016810490575 | 0.0979663790188498 | 0.0489831895094249 | 54 | 0.960494584357636 | 0.0790108312847276 | 0.0395054156423638 | 55 | 0.961625351739195 | 0.0767492965216109 | 0.0383746482608054 | 56 | 0.981560996017796 | 0.0368780079644079 | 0.0184390039822040 | 57 | 0.978389364679862 | 0.0432212706402763 | 0.0216106353201382 | 58 | 0.975028907476157 | 0.0499421850476861 | 0.0249710925238431 | 59 | 0.963559101122242 | 0.0728817977555156 | 0.0364408988777578 | 60 | 0.951105133476565 | 0.0977897330468707 | 0.0488948665234353 | 61 | 0.9310913631322 | 0.137817273735599 | 0.0689086368677993 | 62 | 0.902769918820886 | 0.194460162358228 | 0.097230081179114 | 63 | 0.865078001478235 | 0.269843997043529 | 0.134921998521765 | 64 | 0.82694272156495 | 0.346114556870100 | 0.173057278435050 | 65 | 0.797619968291855 | 0.404760063416291 | 0.202380031708145 | 66 | 0.763848659937813 | 0.472302680124374 | 0.236151340062187 | 67 | 0.799361584133765 | 0.40127683173247 | 0.200638415866235 | 68 | 0.943433903166565 | 0.113132193666870 | 0.0565660968334348 | 69 | 0.974352228594912 | 0.0512955428101766 | 0.0256477714050883 | 70 | 0.973261916465924 | 0.0534761670681524 | 0.0267380835340762 | 71 | 0.961985641033243 | 0.0760287179335141 | 0.0380143589667571 | 72 | 0.93900717545719 | 0.12198564908562 | 0.06099282454281 | 73 | 0.908111626446219 | 0.183776747107563 | 0.0918883735537814 | 74 | 0.852551135403902 | 0.294897729192196 | 0.147448864596098 | 75 | 0.782513813175678 | 0.434972373648644 | 0.217486186824322 | 76 | 0.709182467967583 | 0.581635064064834 | 0.290817532032417 | 77 | 0.603933079447648 | 0.792133841104703 | 0.396066920552352 | 78 | 0.504865935609164 | 0.990268128781673 | 0.495134064390836 | 79 | 0.394493144320052 | 0.788986288640104 | 0.605506855679948 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | Description | # significant tests | % significant tests | OK/NOK | 1% type I error level | 0 | 0 | OK | 5% type I error level | 11 | 0.146666666666667 | NOK | 10% type I error level | 29 | 0.386666666666667 | NOK |
| Charts produced by software: | | http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/10i0c41229522854.png (open in new window) | http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/10i0c41229522854.ps (open in new window) |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/10io81229522854.png (open in new window) | http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/10io81229522854.ps (open in new window) |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/24ob71229522854.png (open in new window) | http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/24ob71229522854.ps (open in new window) |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/3btwc1229522854.png (open in new window) | http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/3btwc1229522854.ps (open in new window) |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/4s06t1229522854.png (open in new window) | http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/4s06t1229522854.ps (open in new window) |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/580x21229522854.png (open in new window) | http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/580x21229522854.ps (open in new window) |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/6kyry1229522854.png (open in new window) | http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/6kyry1229522854.ps (open in new window) |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/7zonw1229522854.png (open in new window) | http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/7zonw1229522854.ps (open in new window) |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/8d0mi1229522854.png (open in new window) | http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/8d0mi1229522854.ps (open in new window) |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/96a8s1229522854.png (open in new window) | http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229522980z22yx4ojgxw8h1d/96a8s1229522854.ps (open in new window) |
| | Parameters (Session): | par1 = 1 ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ; | | Parameters (R input): | par1 = 1 ; par2 = Do not include Seasonal 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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Software written by Ed van Stee & Patrick Wessa
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