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Multiple_Regression_5

*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: Tue, 29 Dec 2009 07:59:39 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/29/t126209880923nqcylywsl0904.htm/, Retrieved Tue, 29 Dec 2009 16:00:21 +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/2009/Dec/29/t126209880923nqcylywsl0904.htm/},
    year = {2009},
}
@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 = {2009},
    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:
Paper
 
Dataseries X:
» Textbox « » Textfile « » CSV «
2354 330 2697 331 2651 332 2067 334 2641 334 2539 334 2294 339 2712 345 2314 346 3092 352 2677 355 2813 358 2668 361 2939 363 2617 364 2231 365 2481 366 2421 370 2408 371 2560 371 2100 372 3315 373 2801 373 2403 374 3024 375 2507 375 2980 376 2211 376 2471 377 2594 377 2452 378 2232 379 2373 380 3127 384 2802 389 2641 390 2787 391 2619 392 2806 393 2193 394 2323 394 2529 395 2412 396 2262 397 2154 398 3230 399 2295 400 2715 400 2733 401 2317 401 2730 406 1913 407 2390 423 2484 427
 
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] = + 632.244505651929 + 6.14920105647311X[t] + 70.0919714626187M1[t] -21.2602057945611M2[t] + 119.638415891786M3[t] -509.343601576689M4[t] -182.313541791994M5[t] -130.214920105647M6[t] -247.918507903497M7[t] -199.249726428445M8[t] -400.681743896919M9[t] + 547.587836521659M10[t] -2.53068226740704M11[t] -10.9671835879982t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)632.2445056519291461.4201210.43260.6676120.333806
X6.149201056473114.3346531.41860.1637570.081878
M170.0919714626187111.3402530.62950.5325820.266291
M2-21.2602057945611111.468448-0.19070.8497030.424852
M3119.638415891786111.2867231.0750.2887960.144398
M4-509.343601576689111.407597-4.57194.6e-052.3e-05
M5-182.313541791994110.911423-1.64380.1080610.05403
M6-130.214920105647110.898206-1.17420.2472650.123632
M7-247.918507903497117.494905-2.110.0411580.020579
M8-199.249726428445117.252797-1.69930.0970250.048513
M9-400.681743896919117.329468-3.4150.0014750.000738
M10547.587836521659116.9576974.68193.2e-051.6e-05
M11-2.53068226740704116.90892-0.02160.9828370.491419
t-10.96718358799826.5271-1.68030.1007030.050351


Multiple Linear Regression - Regression Statistics
Multiple R0.878170238609815
R-squared0.77118296798002
Adjusted R-squared0.696817432573527
F-TEST (value)10.3701662842151
F-TEST (DF numerator)13
F-TEST (DF denominator)40
p-value4.5114849633876e-09
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation165.316021337892
Sum Squared Residuals1093175.47643962


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
123542720.60564216268-366.60564216268
226972624.4354823739772.5645176260287
326512760.51612152879-109.516121528793
420672132.86532258527-65.8653225852655
526412448.92819878196192.071801218038
625392490.0596368803148.9403631196892
722942392.13487077683-98.1348707768288
827122466.73167500272245.268324997279
923142260.4816750027253.5183249972787
1030923234.67927817214-142.679278172141
1126772692.04117896450-15.0411789644958
1228132702.05228081332110.947719186676
1326682779.62467185736-111.624671857363
1429392689.60371312513249.396286874868
1526172825.68435227995-208.684352279953
1622312191.8843522799539.1156477200466
1724812514.09642953312-33.0964295331232
1824212579.82467185736-158.824671857364
1924082457.30310152799-49.3031015279895
2025602495.0046994150464.9953005849567
2121002288.75469941504-188.754699415043
2233153232.206297302182.793702697903
2328012671.12059492503129.879405074968
2424032668.83329466091-265.833294660914
2530242734.10728359201289.892716407992
2625072631.78792274683-124.78792274683
2729802767.86856190165212.131438098349
2822112127.9193608451883.0806391548213
2924712450.1314380983520.8685619016516
3025942491.26287619670102.737123803303
3124522368.7413058673283.2586941326776
3222322412.59210481085-180.592104810849
3323732206.34210481085166.657895189151
3431273168.24130586732-41.2413058673222
3528022637.90160877262164.098391227377
3626412635.614308508515.38569149149479
3727872700.888297439686.1117025604014
3826192604.7181376508914.2818623491061
3928062740.7987768057265.2012231942845
4021932106.9987768057286.0012231942845
4123232423.06165300241-100.061653002412
4225292470.3422921572358.6577078427661
4324122347.8207218278664.1792781721407
4422622391.67152077139-129.671520771386
4521542185.42152077139-31.4215207713861
4632303128.87311865844101.126881341560
4722952573.93661733785-278.936617337848
4827152565.50011601726149.499883982743
4927332630.77410494835102.225895051649
5023172528.45474410317-211.454744103173
5127302689.1321874838940.8678125161131
5219132055.33218748389-142.332187483887
5323902469.78228058415-79.7822805841535
5424842535.51052290839-51.5105229083943


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.487267219643240.974534439286480.51273278035676
180.487685564908620.975371129817240.51231443509138
190.3535186134167890.7070372268335780.646481386583211
200.5839489037006510.8321021925986990.416051096299349
210.6445590939269640.7108818121460730.355440906073036
220.6514226632090630.6971546735818740.348577336790937
230.5555471571760500.88890568564790.44445284282395
240.9232061284582560.1535877430834890.0767938715417443
250.9763518961001620.0472962077996750.0236481038998375
260.9862800745700880.02743985085982370.0137199254299119
270.9822939243052010.03541215138959780.0177060756947989
280.9647625984694040.07047480306119290.0352374015305964
290.9403821748539490.1192356502921020.0596178251460512
300.8963749880593730.2072500238812530.103625011940627
310.8327776371893250.3344447256213500.167222362810675
320.8439059807742980.3121880384514040.156094019225702
330.7829498861257180.4341002277485630.217050113874282
340.7668269998918480.4663460002163040.233173000108152
350.8891629395204210.2216741209591570.110837060479579
360.9188902150883240.1622195698233510.0811097849116756
370.9033474451049340.1933051097901330.0966525548950663


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level00OK
5% type I error level30.142857142857143NOK
10% type I error level40.190476190476190NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/29/t126209880923nqcylywsl0904/105yeu1262098773.png (open in new window)
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http://www.freestatistics.org/blog/date/2009/Dec/29/t126209880923nqcylywsl0904/8p0041262098773.png (open in new window)
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http://www.freestatistics.org/blog/date/2009/Dec/29/t126209880923nqcylywsl0904/9z3c41262098773.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/29/t126209880923nqcylywsl0904/9z3c41262098773.ps (open in new window)


 
Parameters (Session):
 
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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