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Reeks 1 Werkloosheid Multiple regression

*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 09:28:26 -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/t1227112331zgk9xjyuyny1zzd.htm/, Retrieved Wed, 19 Nov 2008 16:32:27 +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/t1227112331zgk9xjyuyny1zzd.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 «
569 0 580 0 578 0 565 0 547 0 555 0 562 0 561 0 555 0 544 0 537 0 543 0 594 0 611 0 613 0 611 0 594 0 595 0 591 0 589 0 584 0 573 0 567 0 569 0 621 0 629 0 628 0 612 0 595 0 597 0 593 0 590 0 580 0 574 0 573 0 573 0 620 0 626 0 620 0 588 0 566 0 557 0 561 0 549 0 532 0 526 0 511 0 499 0 555 0 565 0 542 0 527 0 510 0 514 0 517 0 508 0 493 1 490 1 469 1 478 1 528 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 time4 seconds
R Server'George Udny Yule' @ 72.249.76.132


Multiple Linear Regression - Estimated Regression Equation
werkloosheid_in_duizenden[t] = + 566.687128712872 -47.1485148514851dummy[t] + 43.7426292629265M1[t] + 53.4654565456546M2[t] + 48.1559405940593M3[t] + 33.2464246424642M4[t] + 15.7369086908691M5[t] + 17.6273927392739M6[t] + 19.5178767876787M7[t] + 14.8083608360836M8[t] + 14.3285478547854M9[t] + 7.6190319031903M10[t] -1.69048404840486M11[t] -0.690484048404842t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)566.68712871287214.7403538.444600
dummy-47.148514851485115.898554-2.96560.0047350.002368
M143.742629262926517.1685662.54780.0141690.007085
M253.465456545654618.1408562.94720.0049780.002489
M348.155940594059318.1308992.6560.0107640.005382
M433.246424642464218.1240011.83440.0729310.036466
M515.736908690869118.1201650.86850.3895480.194774
M617.627392739273918.1193920.97280.335610.167805
M719.517876787678718.1216841.0770.2869570.143479
M814.808360836083618.1270390.81690.4180950.209048
M914.328547854785417.9127260.79990.4277880.213894
M107.619031903190317.9049740.42550.6723950.336198
M11-1.6904840484048617.900322-0.09440.9251620.462581
t-0.6904840484048420.235642-2.93020.0052140.002607


Multiple Linear Regression - Regression Statistics
Multiple R0.772445428045574
R-squared0.59667193930851
Adjusted R-squared0.485113114010864
F-TEST (value)5.34849607564934
F-TEST (DF numerator)13
F-TEST (DF denominator)47
p-value9.02126592139396e-06
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation28.3004415499957
Sum Squared Residuals37643.004620462


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1569609.739273927392-40.7392739273918
2580618.771617161716-38.7716171617163
3578612.771617161716-34.7716171617163
4565597.171617161716-32.1716171617163
5547578.971617161716-31.9716171617161
6555580.171617161716-25.1716171617162
7562581.371617161716-19.3716171617162
8561575.971617161716-14.9716171617162
9555574.801320132013-19.8013201320132
10544567.401320132013-23.4013201320132
11537557.401320132013-20.4013201320132
12543558.401320132013-15.4013201320133
13594601.453465346535-7.45346534653489
14611610.4858085808580.51419141914192
15613604.4858085808588.51419141914189
16611588.88580858085822.1141914191419
17594570.68580858085823.3141914191419
18595571.88580858085823.1141914191419
19591573.08580858085817.9141914191419
20589567.68580858085821.3141914191419
21584566.51551155115517.4844884488449
22573559.11551155115513.8844884488449
23567549.11551155115517.8844884488449
24569550.11551155115518.8844884488448
25621593.16765676567727.8323432343232
26629602.226.8000000000000
27628596.231.8
28612580.631.4000000000000
29595562.432.6
30597563.633.4
31593564.828.2
32590559.430.6
33580558.22970297029721.7702970297030
34574550.82970297029723.1702970297030
35573540.82970297029732.170297029703
36573541.82970297029731.1702970297029
37620584.88184818481935.1181518151813
38626593.91419141914232.0858085808581
39620587.91419141914232.0858085808581
40588572.31419141914215.6858085808582
41566554.11419141914211.8858085808581
42557555.3141914191421.68580858085812
43561556.5141914191424.4858085808581
44549551.114191419142-2.11419141914190
45532549.943894389439-17.9438943894389
46526542.543894389439-16.5438943894389
47511532.543894389439-21.5438943894389
48499533.543894389439-34.5438943894390
49555576.59603960396-21.5960396039606
50565585.628382838284-20.6283828382837
51542579.628382838284-37.6283828382838
52527564.028382838284-37.0283828382837
53510545.828382838284-35.8283828382838
54514547.028382838284-33.0283828382838
55517548.228382838284-31.2283828382838
56508542.828382838284-34.8283828382838
57493494.509570957096-1.50957095709567
58490487.1095709570962.89042904290434
59469477.109570957096-8.10957095709567
60478478.109570957096-0.109570957095683
61528521.1617161716176.8382838283827


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.1251310083416010.2502620166832020.874868991658399
180.05328488025736080.1065697605147220.94671511974264
190.03205902838522850.0641180567704570.967940971614772
200.02032488121229310.04064976242458620.979675118787707
210.01101337223113010.02202674446226020.98898662776887
220.007508644952676390.01501728990535280.992491355047324
230.004841645235339060.009683290470678120.99515835476466
240.004583865598670160.009167731197340330.99541613440133
250.008076954572150380.01615390914430080.99192304542785
260.03036023875436570.06072047750873140.969639761245634
270.05431004209413830.1086200841882770.945689957905862
280.1345570661335150.2691141322670300.865442933866485
290.2036992245389860.4073984490779710.796300775461015
300.2728669840995990.5457339681991980.727133015900401
310.5484991813395440.9030016373209110.451500818660456
320.7774830127398210.4450339745203570.222516987260179
330.8239645644099960.3520708711800080.176035435590004
340.8291161694667380.3417676610665240.170883830533262
350.7944118104324640.4111763791350720.205588189567536
360.7928214855717190.4143570288565630.207178514428281
370.7568470795119840.4863058409760320.243152920488016
380.7294928673559770.5410142652880460.270507132644023
390.9474761893923340.1050476212153310.0525238106076655
400.983242924160780.03351415167843880.0167570758392194
410.991705075031210.01658984993757830.00829492496878915
420.9872755373799440.02544892524011220.0127244626200561
430.971386947385910.05722610522817830.0286130526140892
440.932240365596790.1355192688064180.067759634403209


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level20.0714285714285714NOK
5% type I error level90.321428571428571NOK
10% type I error level120.428571428571429NOK
 
Charts produced by software:
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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227112331zgk9xjyuyny1zzd/103rhg1227112102.ps (open in new window)


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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227112331zgk9xjyuyny1zzd/1a29a1227112102.ps (open in new window)


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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227112331zgk9xjyuyny1zzd/3u5621227112102.ps (open in new window)


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http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/19/t1227112331zgk9xjyuyny1zzd/8eqbg1227112102.ps (open in new window)


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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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