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multiple lineair regression aantal werklozen en nationale consumptieprijsindex met lineaire trend en seinzonalteit

*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: Thu, 19 Nov 2009 03:31:14 -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/Nov/19/t12586268359tltg901o59th5o.htm/, Retrieved Thu, 19 Nov 2009 11:34:08 +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/Nov/19/t12586268359tltg901o59th5o.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:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
8.4 1.8 8.4 1.6 8.4 1.9 8.6 1.7 8.9 1.6 8.8 1.3 8.3 1.1 7.5 1.9 7.2 2.6 7.4 2.3 8.8 2.4 9.3 2.2 9.3 2 8.7 2.9 8.2 2.6 8.3 2.3 8.5 2.3 8.6 2.6 8.5 3.1 8.2 2.8 8.1 2.5 7.9 2.9 8.6 3.1 8.7 3.1 8.7 3.2 8.5 2.5 8.4 2.6 8.5 2.9 8.7 2.6 8.7 2.4 8.6 1.7 8.5 2 8.3 2.2 8 1.9 8.2 1.6 8.1 1.6 8.1 1.2 8 1.2 7.9 1.5 7.9 1.6 8 1.7 8 1.8 7.9 1.8 8 1.8 7.7 1.3 7.2 1.3 7.5 1.4 7.3 1.1 7 1.5 7 2.2 7 2.9 7.2 3.1 7.3 3.5 7.1 3.6 6.8 4.4 6.4 4.2 6.1 5.2 6.5 5.8 7.7 5.9 7.9 5.4 7.5 5.5
 
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'Gwilym Jenkins' @ 72.249.127.135


Multiple Linear Regression - Estimated Regression Equation
Twk[t] = + 9.32102219883499 -0.0434462039257918Ncp[t] -0.230897994952704M1[t] -0.428452825775995M2[t] -0.532656150570269M3[t] -0.385548716149701M4[t] -0.178441281729133M5[t] -0.192202771387081M6[t] -0.382488564730965M7[t] -0.651036509917819M8[t] -0.855239834712093M9[t] -0.905525628055978M10[t] -0.117549269556894M11[t] -0.0262385103420519t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)9.321022198834990.26478235.202600
Ncp-0.04344620392579180.059251-0.73330.4670430.233521
M1-0.2308979949527040.287762-0.80240.4263650.213183
M2-0.4284528257759950.30258-1.4160.163370.081685
M3-0.5326561505702690.301729-1.76530.0840020.042001
M4-0.3855487161497010.301396-1.27920.2071030.103552
M5-0.1784412817291330.301105-0.59260.5562760.278138
M6-0.1922027713870810.300892-0.63880.5260690.263034
M7-0.3824885647309650.300586-1.27250.2094630.104732
M8-0.6510365099178190.300331-2.16770.0352770.017639
M9-0.8552398347120930.300351-2.84750.0065150.003258
M10-0.9055256280559780.300363-3.01480.0041370.002069
M11-0.1175492695568940.30033-0.39140.697270.348635
t-0.02623851034205190.00391-6.709800


Multiple Linear Regression - Regression Statistics
Multiple R0.801550717980588
R-squared0.642483553495197
Adjusted R-squared0.543596025738549
F-TEST (value)6.49711412622514
F-TEST (DF numerator)13
F-TEST (DF denominator)47
p-value7.74234612421765e-07
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation0.474343937759637
Sum Squared Residuals10.5751020505980


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
18.48.98568252647378-0.58568252647378
28.48.77057842609363-0.370578426093626
38.48.62710272977956-0.227102729779563
48.68.75666089464324-0.156660894643237
58.98.94187443911433-0.0418744391143314
68.88.91490830029207-0.114908300292068
78.38.7070732373913-0.407073237391291
87.58.37752981872175-0.877529818721754
97.28.11667564083737-0.916675640837373
107.48.05318519832917-0.653185198329174
118.88.81057842609363-0.0105784260936254
129.38.910578426093630.389421573906375
139.38.662131161584030.637868838415972
148.78.399236236885470.300763763114525
158.28.28182826292689-0.0818282629268865
168.38.41573104818314-0.115731048183139
178.58.59659997226166-0.096599972261655
188.68.543566111083920.0564338889160823
198.58.305318705435090.194681294564915
208.28.023566111083920.176433888916082
218.17.806158137125330.293841862874671
227.97.712255351869080.187744648130924
238.68.465303959240950.134696040759050
248.78.55661471845580.143385281544209
258.78.295133592768450.404866407231544
268.58.101752594351170.398247405648832
278.47.966966138822260.433033861177738
288.58.074801201723040.425198798276959
298.78.26870398697930.431296013020705
308.78.237393227764450.462606772235547
318.68.051281266826570.54871873317343
328.57.743460950119930.756539049880073
338.37.504329874198440.795670125801557
3487.440839431690240.559160568309756
358.28.21561114102501-0.0156111410250142
368.18.30692190023986-0.206921900239855
378.18.067163876515420.0328361234845840
3887.843370535350070.156629464649926
397.97.699894839036010.20010516096399
407.97.816419142721950.083580857278053
4187.992943446407880.00705655359211643
4287.94859882601530.0514011739846958
437.97.732074522329370.167925477670632
4487.437288066800460.562711933199538
457.77.228569333627030.471430666372967
467.27.15204502994110.0479549700589036
477.57.90943825770555-0.409438257705548
487.38.01378287809813-0.713782878098128
4977.73926789123306-0.739267891233055
5077.48506220731966-0.485062207319659
5177.32420802943528-0.324208029435278
527.27.43638771272864-0.236387712728636
537.37.59987815523684-0.299878155236835
547.17.55553353484426-0.455533534844256
556.87.30425226801769-0.504252268017686
566.47.01815505327394-0.618155053273939
576.16.74426701421182-0.644267014211822
586.56.64167498817041-0.141674988170410
597.77.399068215934860.300931784065137
607.97.51210207711260.3878979228874
617.57.250620951425260.249379048574735


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.6649560180834720.6700879638330560.335043981916528
180.5102242244390320.9795515511219360.489775775560968
190.4393570033105650.878714006621130.560642996689435
200.4800909809968850.960181961993770.519909019003115
210.4685417682555430.9370835365110850.531458231744457
220.4034933179700340.8069866359400690.596506682029966
230.3941873581967840.7883747163935680.605812641803216
240.4793679718471250.958735943694250.520632028152875
250.4213808060501950.842761612100390.578619193949805
260.3782875145079640.7565750290159290.621712485492036
270.2984008135068590.5968016270137190.701599186493141
280.2315439807884700.4630879615769410.76845601921153
290.1717079297913650.3434158595827310.828292070208635
300.1202741114268560.2405482228537120.879725888573144
310.07742329025502890.1548465805100580.922576709744971
320.05887091830429590.1177418366085920.941129081695704
330.04202664818593710.08405329637187420.957973351814063
340.02462973316572950.0492594663314590.97537026683427
350.05571141833585080.1114228366717020.94428858166415
360.1594659228346100.3189318456692210.84053407716539
370.1843485355473620.3686970710947230.815651464452638
380.1352757819915630.2705515639831260.864724218008437
390.09064635950884420.1812927190176880.909353640491156
400.07152517643010830.1430503528602170.928474823569892
410.06418068522600760.1283613704520150.935819314773992
420.06496120017127130.1299224003425430.935038799828729
430.03806694898109840.07613389796219690.961933051018902
440.01710308433241800.03420616866483600.982896915667582


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level00OK
5% type I error level20.0714285714285714NOK
10% type I error level40.142857142857143NOK
 
Charts produced by software:
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http://www.freestatistics.org/blog/date/2009/Nov/19/t12586268359tltg901o59th5o/2ecwc1258626668.png (open in new window)
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http://www.freestatistics.org/blog/date/2009/Nov/19/t12586268359tltg901o59th5o/8pn1u1258626668.png (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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