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q3 dummie+trend

*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, 19 Nov 2008 07:18:31 -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/Nov/19/t1227104365gz3i5me0uw30w0h.htm/, Retrieved Wed, 19 Nov 2008 14:19:34 +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/Nov/19/t1227104365gz3i5me0uw30w0h.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)
 
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Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
3.4 1 3 1 3.1 1 2.5 0 2.2 0 2.3 0 2.1 0 2.8 0 3.1 1 2.9 0 2.6 0 2.7 0 2.3 0 2.3 0 2.1 0 2.2 0 2.9 0 2.6 0 2.7 0 1.8 0 1.3 0 0.9 0 1.3 0 1.3 0 1.3 0 1.3 0 1.1 0 1.4 0 1.2 0 1.7 0 1.8 0 1.5 0 1 0 1.6 0 1.5 0 1.8 0 1.8 0 1.6 0 1.9 0 1.7 0 1.6 0 1.3 0 1.1 0 1.9 0 2.6 0 2.3 0 2.4 0 2.2 0 2 0 2.9 0 2.6 0 2.3 0 2.3 0 2.6 0 3.1 1 2.8 0 2.5 0 2.9 0 3.1 1 3.1 1 3.2 1 2.5 0 2.6 0 2.9 0 2.6 0 2.4 0 1.7 0 2 0 2.2 0 1.9 0 1.6 0 1.6 0 1.2 0 1.2 0 1.5 0 1.6 0 1.7 0 1.8 0 1.8 0 1.8 0 1.3 0 1.3 0 1.4 0 1.1 0 1.5 0 2.2 0 2.9 0 3.1 1 3.5 1 3.6 1 4.4 1 4.2 1 5.2 1 5.8 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'George Udny Yule' @ 72.249.76.132


Multiple Linear Regression - Estimated Regression Equation
Consumptieprijsindex[t] = + 1.66897225848358 + 1.71692049618152Dumivariabele[t] -0.0619278850903809M1[t] + 0.188995886175069M2[t] + 0.287804595417827M3[t] + 0.274113304660584M4[t] + 0.310422013903342M5[t] + 0.3467307231461M6[t] + 0.180924370366167M7[t] + 0.406848141631615M8[t] + 0.241041788851683M9[t] + 0.50446556011713M10[t] + 0.0154770050429578M11[t] + 0.00119129075724229t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)1.668972258483580.2696486.189500
Dumivariabele1.716920496181520.1860749.227100
M1-0.06192788509038090.333148-0.18590.8530040.426502
M20.1889958861750690.3323220.56870.5711440.285572
M30.2878045954178270.3322610.86620.3889710.194486
M40.2741133046605840.3322190.82510.411770.205885
M50.3104220139033420.3321960.93450.3528810.176441
M60.34673072314610.3321911.04380.2997360.149868
M70.1809243703661670.3327530.54370.5881470.294073
M80.4068481416316150.3322381.22460.2243320.112166
M90.2410417888516830.3327720.72430.4709660.235483
M100.504465560117130.332361.51780.1330.0665
M110.01547700504295780.3430770.04510.964130.482065
t0.001191290757242290.0024970.47720.6345430.317271


Multiple Linear Regression - Regression Statistics
Multiple R0.73697632247545
R-squared0.543134099889437
Adjusted R-squared0.468893391121471
F-TEST (value)7.3158528373828
F-TEST (DF numerator)13
F-TEST (DF denominator)80
p-value3.32162364280464e-09
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation0.641822164216338
Sum Squared Residuals32.9548552383475


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
13.43.325156160331970.0748438396680255
233.57727122235465-0.577271222354654
33.13.67727122235465-0.577271222354654
42.51.947850726173130.552149273826867
52.21.985350726173130.214649273826866
62.32.022850726173130.277149273826866
72.11.858235664150440.241764335849557
82.82.085350726173130.714649273826866
93.13.63765616033196-0.537656160331963
102.92.185350726173130.714649273826866
112.61.697553461856200.902446538143796
122.71.683267747570491.01673225242951
132.31.622531153237350.67746884676265
142.31.874646215260040.425353784739959
152.11.974646215260040.125353784739959
162.21.962146215260040.237853784739959
172.91.999646215260040.900353784739959
182.62.037146215260040.562853784739959
192.71.872531153237350.827468846762649
201.82.09964621526004-0.299646215260041
211.31.93503115323735-0.635031153237351
220.92.19964621526004-1.29964621526004
231.31.71184895094311-0.411848950943111
241.31.69756323665740-0.397563236657395
251.31.63682664232426-0.336826642324257
261.31.88894170434695-0.588941704346949
271.11.98894170434695-0.888941704346949
281.41.97644170434695-0.576441704346949
291.22.01394170434695-0.813941704346949
301.72.05144170434695-0.351441704346949
311.81.88682664232426-0.0868266423242587
321.52.11394170434695-0.613941704346949
3311.94932664232426-0.949326642324259
341.62.21394170434695-0.613941704346949
351.51.72614444003002-0.226144440030018
361.81.711858725744300.0881412742556973
371.81.651122131411160.148877868588836
381.61.90323719343386-0.303237193433857
391.92.00323719343386-0.103237193433857
401.71.99073719343386-0.290737193433856
411.62.02823719343386-0.428237193433856
421.32.06573719343386-0.765737193433856
431.11.90112213141117-0.801122131411166
441.92.12823719343386-0.228237193433856
452.61.963622131411170.636377868588834
462.32.228237193433860.0717628065661436
472.41.740439929116930.659560070883074
482.21.726154214831210.47384578516879
4921.665417620498070.334582379501928
502.91.917532682520760.982467317479236
512.62.017532682520760.582467317479236
522.32.005032682520760.294967317479236
532.32.042532682520760.257467317479236
542.62.080032682520760.519967317479236
553.13.63233811667959-0.532338116679594
562.82.142532682520760.657467317479237
572.51.977917620498070.522082379501926
582.92.242532682520760.657467317479236
593.13.47165591438535-0.371655914385354
603.13.45737020009964-0.357370200099638
613.23.3966336057665-0.1966336057665
622.51.931828171607670.568171828392328
632.62.031828171607670.568171828392329
642.92.019328171607670.880671828392329
652.62.056828171607670.543171828392329
662.42.094328171607670.305671828392329
671.71.92971310958498-0.229713109584982
6822.15682817160767-0.156828171607671
692.21.992213109584980.207786890415019
701.92.25682817160767-0.356828171607671
711.61.76903090729074-0.169030907290741
721.61.75474519300503-0.154745193005025
731.21.69400859867189-0.494008598671887
741.21.94612366069458-0.74612366069458
751.52.04612366069458-0.546123660694579
761.62.03362366069458-0.433623660694579
771.72.07112366069458-0.371123660694579
781.82.10862366069458-0.308623660694579
791.81.94400859867189-0.144008598671889
801.82.17112366069458-0.371123660694579
811.32.00650859867189-0.706508598671889
821.32.27112366069458-0.971123660694578
831.41.78332639637765-0.383326396377649
841.11.76904068209193-0.669040682091933
851.51.70830408775879-0.208304087758795
862.21.960419149781490.239580850218513
872.92.060419149781490.839580850218513
883.13.76483964596301-0.664839645963007
893.53.80233964596301-0.302339645963007
903.63.83983964596301-0.239839645963007
914.43.675224583940320.724775416059683
924.23.902339645963010.297660354036993
935.23.737724583940321.46227541605968
945.84.002339645963011.79766035403699
 
Charts produced by software:
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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227104365gz3i5me0uw30w0h/21s871227104306.ps (open in new window)


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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227104365gz3i5me0uw30w0h/46xx11227104306.png (open in new window)
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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227104365gz3i5me0uw30w0h/57uq81227104306.ps (open in new window)


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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227104365gz3i5me0uw30w0h/6snc11227104306.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227104365gz3i5me0uw30w0h/709zy1227104306.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227104365gz3i5me0uw30w0h/709zy1227104306.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227104365gz3i5me0uw30w0h/8e11s1227104306.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227104365gz3i5me0uw30w0h/8e11s1227104306.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227104365gz3i5me0uw30w0h/9ba1z1227104306.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227104365gz3i5me0uw30w0h/9ba1z1227104306.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)
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))
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$resid, main='Residual Normal Q-Q Plot')
grid()
dev.off()
(myerror <- as.ts(mysum$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()
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')
 





Copyright

Creative Commons License

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa


Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.


Privacy Policy

We may request personal information to be submitted to our servers in order to be able to:

  • personalize online software applications according to your needs
  • enforce strict security rules with respect to the data that you upload (e.g. statistical data)
  • manage user sessions of online applications
  • alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.


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