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*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: Sun, 12 Dec 2010 18:38:54 +0000
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e.htm/, Retrieved Sun, 12 Dec 2010 19:38:57 +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/2010/Dec/12/t1292179006m4kafl8s7ugzr0e.htm/},
    year = {2010},
}
@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 = {2010},
    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 «
8 350 165 3693 11,5 8 318 150 3436 11 8 302 140 3449 10,5 8 429 198 4341 10 8 440 215 4312 8,5 8 455 225 4425 10 8 383 170 3563 10 8 340 160 3609 8 8 455 225 3086 10 4 113 95 2372 15 6 199 97 2774 15,5 4 97 46 1835 20,5 4 110 87 2672 17,5 4 104 95 2375 17,5 4 121 113 2234 12,5 8 360 215 4615 14 8 307 200 4376 15 8 304 193 4732 18,5 4 97 88 2130 14,5 4 113 95 2228 14 6 250 100 3329 15,5 6 232 100 3288 15,5 8 350 165 4209 12 8 318 150 4096 13 8 400 170 4746 12 8 400 175 5140 12 4 140 72 2408 19 6 250 100 3282 15 4 122 86 2220 14 4 116 90 2123 14 4 88 76 2065 14,5 4 71 65 1773 19 4 97 60 1834 19 4 91 70 1955 20,5 4 97,5 80 2126 17 4 122 86 2226 16,5 8 350 165 4274 12 8 318 150 4135 13,5 8 351 153 4129 13 8 429 208 4633 11 8 350 155 4502 13,5 8 400 190 4422 12,5 3 70 97 2330 13,5 8 307 130 4098 14 8 302 140 4294 16 4 121 112 2933 14,5 4 121 76 2511 18 4 122 86 2395 16 4 120 97 2506 14,5 4 98 80 2164 15 8 350 175 4100 13 8 304 150 3672 11,5 8 302 137 4042 14,5 8 etc...
 
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 time13 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135
R Framework
error message
The field 'Names of X columns' contains a hard return which cannot be interpreted.
Please, resubmit your request without hard returns in the 'Names of X columns'.


Multiple Linear Regression - Estimated Regression Equation
acceleration [t] = + 17.2587244715863 -0.184751272787248cylinders[t] -0.00730185636427856engine.displacement[t] -0.0732603848551417horsepower[t] + 0.00278578297645537weight[t] + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)17.25872447158630.76421222.583700
cylinders-0.1847512727872480.206326-0.89540.3714720.185736
engine.displacement-0.007301856364278560.004611-1.58350.1146530.057326
horsepower-0.07326038485514170.006727-10.891100
weight0.002785782976455370.000367.747500


Multiple Linear Regression - Regression Statistics
Multiple R0.768262915498146
R-squared0.590227907329712
Adjusted R-squared0.583253063199153
F-TEST (value)84.6223795516537
F-TEST (DF numerator)4
F-TEST (DF denominator)235
p-value0
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation1.70721080842101
Sum Squared Residuals684.923654931535


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
111.511.42499759274230.075002407257699
21112.0416165442772-1.0416165442772
310.512.9272652733510-2.42726527335098
41010.2357456084876-0.235745608487573
58.58.82921093962588-0.329210939625876
6108.301872721949741.69812727805026
71010.4555826215061-0.455582621506065
8811.6303123106384-3.63031231063841
9104.5717093164765.42829068352400
101515.3427502701875-0.342750270187548
1115.515.31865206410990.181347935890127
1220.517.55337337156142.94662662843859
1317.516.78647381105810.713526188941872
1417.515.41682432639542.08317567360458
1512.513.5812104411299-1.08121044112993
161410.25745169063413.74254830936585
171511.07755371939523.9224462806048
1818.512.60402072209215.89597927790786
1914.515.2982431856998-0.798243185699798
201414.9415975215780-0.941597521577975
2115.516.2725857868990-0.772585786898968
2215.516.2898020994213-0.789802099421313
231212.8624616085931-0.862461608593136
241313.8802333087377-0.880233308737719
251213.6270323244600-1.62703232446003
261214.3583288929077-2.35832889290774
271916.93087718717272.06912281282732
281516.1416539870056-1.14165398700557
291415.5129380141841-1.5129380141841
301414.9934866642330-0.993486664233034
3114.516.0620086177704-1.56200861777041
321916.17855578024472.82144421975527
331916.52494220061302.47505779938702
3420.516.17322923039834.32677076960167
351715.86953220445301.13046779554703
3616.515.52965271204280.970347287957169
371213.0435375020627-1.04353750206273
3813.513.9888788448195-0.488878844819479
391313.5114217323741-0.511421732374127
401110.31659038906110.68340961093889
4113.514.4112998692460-0.911299869245975
4212.511.25923094298571.24076905701434
4313.515.5779577119174-2.07795771191736
441415.4313329918005-1.43133299180053
451615.28125188845580.718748111544243
4614.515.6017331265274-1.10173312652737
471817.06350656524830.936493434751694
481616.0004500350638-0.000450035063788784
4914.515.5184114247723-1.01841142477233
501515.9717410293761-0.971741029376135
511311.82620741560811.17379258439192
5211.512.8012873158205-1.30128731582054
5314.514.7990157329544-0.299015732954429
5412.512.9915685392485-0.491568539248457
551214.3066492222024-2.30664922220245
561313.7969930245890-0.796993024588975
571110.00759713866650.992402861333498
58119.767194567565271.23280543243473
5916.515.50938741262750.99061258737249
601816.13051085509971.86948914490026
6116.516.29368924841240.206310751587585
621615.83462647712360.165373522876367
631415.7914715486532-1.79147154865316
6412.512.5714328989381-0.0714328989380675
651514.89969639417010.100303605829915
6619.516.91137670633752.58862329366251
6716.515.47202041769931.02797958230073
6818.515.83691886692022.66308113307978
691414.0660234366972-0.0660234366971941
701313.9738748676861-0.973874867686137
719.57.927662800170421.57233719982958
7215.516.1898948412361-0.689894841236096
731416.2135043782995-2.21350437829946
741111.9385425741483-0.938542574148328
751414.9877351436653-0.98773514366534
761110.24530411359780.754695886402165
7716.516.38621150646180.113788493538204
781615.21170408753310.788295912466914
7916.516.5960161908761-0.0960161908761392
802116.35406010776144.64593989223858
811717.5317596922568-0.531759692256794
821816.32565932929931.6743406707007
831414.8550270930581-0.855027093058085
8414.515.3264010398834-0.82640103988339
851616.2395612323564-0.239561232356403
8615.514.43097035704691.06902964295307
8715.516.5029189251467-1.00291892514674
8814.516.5044301402486-2.00443014024863
891917.02470512787871.97529487212131
9014.516.2878122684843-1.78781226848431
911416.4350437431642-2.43504374316417
921515.4710531141726-0.471053114172592
931616.6059928952756-0.60599289527559
941616.6403582268120-0.640358226812043
9519.517.84750767386911.65249232613093
9611.513.4097412522965-1.90974125229651
971414.9711851732572-0.971185173257158
9813.515.3486170682183-1.84861706821827
992117.28889976966003.71110023033995
1001916.59866606099192.40133393900808
1011918.09175115754530.90824884245471
10213.514.7819925549445-1.28199255494454
1031212.9531102733500-0.953110273350026
1041716.76852882132730.231471178672692
1051615.2479192662270.752080733772994
10613.516.0354592839128-2.53545928391283
10716.516.8538605395975-0.353860539597506
10814.516.1081184673653-1.60811846736530
1091516.2251686758776-1.22516867587762
1101717.4341430108500-0.434143010849979
11113.514.6520768321306-1.15207683213064
11217.516.97293049670290.527069503297121
11316.915.92305107664550.97694892335452
11414.915.9225378982085-1.02253789820852
11515.315.8359140588232-0.535914058823178
1161315.0392694642229-2.03926946422295
11713.915.8069759246468-1.90697592464685
11812.813.8242594532044-1.02425945320443
11914.515.9731426540582-1.47314265405819
12017.617.14653271382420.453467286175763
12122.217.75858993409304.44141006590702
12222.117.43694872647904.66305127352103
12317.717.35215431442460.347845685575438
12416.216.4202893589074-0.220289358907449
12517.816.20160637546251.59839362453748
1261716.31454277275990.68545722724006
12716.416.32027276322800.0797272367719747
12815.716.8731351736911-1.17313517369110
12913.213.4456511644107-0.245651164410682
13016.716.7739497531066-0.0739497531065677
13112.112.2399247247399-0.139924724739879
1321514.83268375499010.167316245009903
1331412.93028131376641.06971868623356
13414.815.8517448498524-1.05174484985241
13518.616.77782433809221.82217566190783
13616.816.18918253881940.610817461180553
13712.513.7397302428347-1.23973024283469
13813.714.3691096839775-0.669109683977464
13916.916.31245429928430.58754570071573
14017.717.2936528719190.406347128081
14111.111.4291066302931-0.32910663029309
14211.412.3735852333534-0.97358523335339
14314.514.37833456494450.121665435055500
14414.515.5015482687247-1.00154826872469
14518.216.62670889063811.57329110936189
14615.816.6521173374653-0.85211733746528
14715.915.50402518990620.395974810093818
14816.416.4327727360717-0.0327727360717458
14914.515.8198675534513-1.31986755345131
15012.814.8205881650780-2.02058816507802
15121.517.87583304286943.62416695713061
15214.415.9833614139184-1.58336141391836
15318.616.53740541087642.06259458912363
15413.213.6071695027887-0.407169502788748
15512.813.3376053983572-0.537605398357211
15618.216.51925429148541.68074570851463
15715.816.7225593745103-0.922559374510269
15817.216.73649627662790.463503723372074
15917.216.80511487580920.394885124190789
16016.717.0150665870381-0.315066587038084
16118.716.53319119360302.16680880639697
16213.212.47219898854750.727801011452502
16313.411.97254686750491.42745313249512
16413.714.5682646296658-0.86826462966585
16516.516.8257936008497-0.325793600849737
16614.714.9518419879868-0.251841987986807
16714.516.4707916355479-1.97079163554795
16817.617.14341675452430.456583245475682
16915.915.71637110721870.183628892781287
17013.614.5498246866626-0.949824686662602
17115.814.71590301146441.08409698853558
17214.916.2120749624477-1.31207496244768
17316.616.7700779413206-0.170077941320628
17418.216.79220394892171.40779605107835
17517.317.10145842414190.198541575858103
17616.615.80888761972460.791112380275368
17715.414.72720469660360.672795303396401
17813.214.1256012672980-0.925601267298019
17915.214.23812080982770.961879190172283
18014.314.10835224254650.191647757453468
1811514.71631816325490.283681836745116
1821416.0309990689781-2.03099906897808
18315.216.6317560960245-1.43175609602454
1841517.2134045190841-2.21340451908414
18524.819.17531800325165.62468199674836
18622.216.81617477709055.38382522290945
18714.916.6142309217072-1.71423092170723
18819.216.76441818632932.43558181367069
1891616.2617449796044-0.261744979604369
19011.313.6911582494031-2.39115824940305
19113.215.9441657202885-2.74416572028846
19214.716.2090669092676-1.50906690926760
19315.516.5817704269635-1.08177042696352
19416.416.7543305469886-0.354330546988576
19518.117.04574276461281.05425723538721
19620.117.1894107107642.91058928923600
19715.816.1924224468856-0.392422446885625
19815.516.5000936398318-1.00009363983178
1991515.6914388311075-0.691438831107534
20015.216.5463884706311-1.34638847063105
20114.415.4884817118950-1.08848171189505
20219.217.01513865421032.18486134578971
20319.918.76105748282121.13894251717876
20413.816.1005031724359-2.30050317243594
20515.316.4674798945579-1.16747989455793
20615.116.1464364778813-1.04643647788132
20715.716.3166960548017-0.616696054801711
20816.416.6038048845593-0.203804884559282
20912.614.4196119606180-1.81961196061796
21012.916.0241888422739-3.12418884227390
21116.416.4264381832341-0.0264381832341449
21216.116.4356239621837-0.335623962183735
21319.416.63905795238882.76094204761118
21417.317.03856540473130.261434595268720
21514.917.3081295091628-2.40812950916282
21616.216.7391386280051-0.539138628005072
21714.216.4326207013449-2.23262070134488
21814.815.6095824710048-0.809582471004822
21920.418.62740585861361.77259414138642
22013.814.4552437440754-0.655243744075418
22115.815.918294545244-0.118294545244007
22217.116.76742760270810.332572397291897
22316.617.932904453631-1.33290445363099
22418.616.60946465822791.99053534177214
2251815.92694782899632.07305217100371
2261616.4141984589776-0.414198458977648
2271816.44282087307401.55717912692603
22815.315.8476062762892-0.547606276289246
22917.616.36153674475541.23846325524456
23014.717.0574090412818-2.35740904128183
23114.515.2138739786151-0.713873978615051
23214.516.386543348408-1.88654334840801
23315.716.4208682147283-0.72086821472831
23416.414.97406936452391.42593063547608
2351716.40913342874780.590866571252236
23613.915.8593667501412-1.95936675014119
23717.317.04176421301190.258235786988129
23815.616.9694008962066-1.36940089620664
23911.615.7734683743929-4.17346837439291
24018.617.16860652636311.43139347363693


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
80.5974464076232320.8051071847535350.402553592376768
90.4667384944291240.9334769888582470.533261505570876
100.3218997447269420.6437994894538840.678100255273058
110.3508942885469050.7017885770938090.649105711453095
120.2699682612339950.5399365224679910.730031738766004
130.2214927201465260.4429854402930520.778507279853474
140.2006592598243170.4013185196486340.799340740175683
150.3492153127594810.6984306255189620.650784687240519
160.9445527251200530.1108945497598930.0554472748799466
170.9744938438455380.05101231230892360.0255061561544618
180.9965128415859810.006974316828037770.00348715841401889
190.9963117901009580.007376419798083450.00368820989904172
200.9959481776740560.00810364465188730.00405182232594365
210.9941779530175720.01164409396485560.00582204698242778
220.9911134480665260.01777310386694740.0088865519334737
230.987862432802040.02427513439592240.0121375671979612
240.9826477534252940.03470449314941230.0173522465747062
250.9774215450767470.04515690984650660.0225784549232533
260.9751880136675340.04962397266493210.0248119863324660
270.9854982232297460.02900355354050720.0145017767702536
280.980303585264310.03939282947137960.0196964147356898
290.980826941094550.03834611781090110.0191730589054505
300.9787628652811750.042474269437650.021237134718825
310.9776515035956050.04469699280878920.0223484964043946
320.9863357980546150.02732840389076910.0136642019453845
330.9917090820014220.01658183599715610.00829091799857804
340.9980930802846340.003813839430733150.00190691971536657
350.997301980998110.005396038003780310.00269801900189015
360.9962059415261330.007588116947733660.00379405847386683
370.994864668039450.01027066392110060.00513533196055029
380.9926998506715510.01460029865689720.0073001493284486
390.989897337851480.02020532429703890.0101026621485195
400.9867600490150060.02647990196998810.0132399509849940
410.9823366527948240.03532669441035180.0176633472051759
420.9798246784180270.04035064316394540.0201753215819727
430.9913270340316140.01734593193677120.00867296596838558
440.9890596815972370.02188063680552520.0109403184027626
450.9869724407602520.02605511847949510.0130275592397476
460.9869133999820490.02617320003590220.0130866000179511
470.984684565460460.03063086907907810.0153154345395391
480.9797339088089780.04053218238204400.0202660911910220
490.977607257155120.04478548568975850.0223927428448793
500.9745334560200510.05093308795989780.0254665439799489
510.9700836834840180.05983263303196340.0299163165159817
520.9688300387778150.06233992244437070.0311699612221853
530.9603349227997930.07933015440041330.0396650772002066
540.9508857815741460.09822843685170850.0491142184258542
550.9468780525495480.1062438949009050.0531219474504524
560.934746166774820.1305076664503590.0652538332251797
570.9271357246048170.1457285507903660.0728642753951829
580.9247014755015360.1505970489969280.0752985244984638
590.9199867148825340.1600265702349330.0800132851174663
600.940568327203770.1188633455924620.0594316727962309
610.933153038156460.1336939236870810.0668469618435407
620.9189801361422520.1620397277154960.081019863857748
630.9105202108755760.1789595782488480.0894797891244238
640.8935488487781910.2129023024436170.106451151221809
650.8738342211289050.2523315577421890.126165778871095
660.9068052965186430.1863894069627150.0931947034813575
670.8936670585096680.2126658829806630.106332941490332
680.9145567193918260.1708865612163480.0854432806081738
690.9010795926792310.1978408146415380.0989204073207688
700.884438143262580.2311237134748390.115561856737419
710.9102001366808540.1795997266382920.089799863319146
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1600.8461142815543120.3077714368913760.153885718445688
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1860.9027158284745770.1945683430508460.097284171525423
1870.897423164339190.2051536713216210.102576835660811
1880.9286946468826060.1426107062347890.0713053531173944
1890.9125402424864350.1749195150271300.0874597575135648
1900.904787282112240.1904254357755210.0952127178877603
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1920.903057900983720.1938841980325610.0969420990162803
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1950.8370714300458140.3258571399083710.162928569954186
1960.8898208177455270.2203583645089470.110179182254473
1970.8637686861784840.2724626276430310.136231313821516
1980.8406244427065120.3187511145869760.159375557293488
1990.8076326992140820.3847346015718370.192367300785918
2000.7852722995128660.4294554009742690.214727700487134
2010.7471047991105470.5057904017789060.252895200889453
2020.780316047894210.439367904211580.21968395210579
2030.7448447247018080.5103105505963830.255155275298192
2040.7402197360579550.5195605278840910.259780263942045
2050.7001840115788120.5996319768423760.299815988421188
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2090.5358734131884910.9282531736230190.464126586811509
2100.592318665471430.815362669057140.40768133452857
2110.5352549923290440.9294900153419110.464745007670956
2120.4745710285949080.9491420571898170.525428971405092
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2140.5983982551185980.8032034897628040.401601744881402
2150.6143647132333380.7712705735333240.385635286766662
2160.5487707107808220.9024585784383570.451229289219178
2170.5523417067602130.8953165864795750.447658293239787
2180.4959966542412390.9919933084824770.504003345758761
2190.444558697669090.889117395338180.55544130233091
2200.4691344463069720.9382688926139440.530865553693028
2210.4100187743326040.8200375486652080.589981225667396
2220.3357256723315510.6714513446631010.66427432766845
2230.4508220294653170.9016440589306340.549177970534683
2240.4098777536516290.8197555073032570.590122246348371
2250.5062859125156650.9874281749686690.493714087484335
2260.4150974229498450.830194845899690.584902577050155
2270.5517443390447760.8965113219104470.448255660955224
2280.480506948336340.961013896672680.51949305166366
2290.598420516225080.803158967549840.40157948377492
2300.5831541081809120.8336917836381760.416845891819088
2310.8657047784103080.2685904431793850.134295221589692
2320.768852904952170.462294190095660.23114709504783


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level60.0266666666666667NOK
5% type I error level390.173333333333333NOK
10% type I error level630.28NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/10nkjk1292179119.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/10nkjk1292179119.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/19t4c1292179119.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/19t4c1292179119.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/29t4c1292179119.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/29t4c1292179119.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/39t4c1292179119.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/39t4c1292179119.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/4j23w1292179119.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/4j23w1292179119.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/5j23w1292179119.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/5j23w1292179119.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/6j23w1292179119.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/6j23w1292179119.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/7utk01292179119.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/7utk01292179119.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/8nkjk1292179119.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/8nkjk1292179119.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/9nkjk1292179119.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/12/t1292179006m4kafl8s7ugzr0e/9nkjk1292179119.ps (open in new window)


 
Parameters (Session):
par1 = 5 ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ;
 
Parameters (R input):
par1 = 5 ; 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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