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Meervoudig regressiemodel II Paper

*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, 21 Dec 2010 17:01:49 +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/21/t1292950784nb44umwfatutaxn.htm/, Retrieved Tue, 21 Dec 2010 17:59:55 +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/21/t1292950784nb44umwfatutaxn.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 «
8.8 8.1 0 8.5 9.9 0 8.6 11.5 0 8.7 23.4 0 9.1 25.4 0 8.8 27.9 0 6.3 26.1 0 2.5 18.8 0 -2.7 14.1 0 -4.5 11.5 0 -7 15.8 0 -9.3 12.4 0 -12.2 4.5 0 -13.2 -2.2 1 -13.7 -4.2 1 -15 -9.4 1 -16.9 -14.5 1 -16.3 -17.9 1 -16.7 -15.1 1 -16 -15.2 1 -14.5 -15.7 1 -12.2 -18 1 -7.5 -18.1 1 -4.4 -13.5 1 -1.1 -9.9 1 1.3 -4.8 1 -0.1 -1.7 0 0.4 -0.1 0 2.4 2.2 0 1 10.2 0 3.3 7.6 0 1.8 10.8 0 3.2 3.8 0 1.3 11 0 1.5 10.8 0 1.3 20.1 0 2 14.9 0 3 13 0 4.4 10.9 0 3.1 9.6 0 2.6 4 0 2.7 -1.1 0 4 -7.7 0 4.1 -8.9 0 3 -8 0 2.7 -7.1 0 4 -5.3 0 4.8 -2.5 0 6 -2.4 0 4.6 -2.9 0 4.4 -4.8 0 6.6 -7.2 0 4.7 1.7 0 7.6 2.2 0 5.3 13.4 0 6.6 12.3 0 4 13.7 0 3.8 4.4 0 1.2 -2.5 0
 
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 time7 seconds
R Server'George Udny Yule' @ 72.249.76.132


Multiple Linear Regression - Estimated Regression Equation
Industriƫle_productie[t] = + 1.52135612764115 + 0.0240283609530079registratie_personenwagens[t] -14.0818924662892crisis[t] + 1.92197614831955M1[t] + 4.88892712039673M2[t] + 1.95879600098666M3[t] + 1.97668990890989M4[t] + 1.58467572843338M5[t] + 1.95266154795688M6[t] + 1.61824453138508M7[t] + 1.00948140062399M8[t] -0.142942444689056M9[t] -0.493627844326387M10[t] -0.268341604916727M11[t] + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)1.521356127641152.7445990.55430.5821120.291056
registratie_personenwagens0.02402836095300790.0785810.30580.7611840.380592
crisis-14.08189246628922.264548-6.218400
M11.921976148319553.5180970.54630.5875510.293775
M24.888927120396733.5239431.38730.1721690.086085
M31.958796000986663.5210630.55630.5807560.290378
M41.976689908909893.5173420.5620.5769160.288458
M51.584675728433383.5159420.45070.6543620.327181
M61.952661547956883.5149810.55550.5812870.290643
M71.618244531385083.5144060.46050.6474030.323702
M81.009481400623993.516450.28710.7753730.387687
M9-0.1429424446890563.525252-0.04050.9678350.483918
M10-0.4936278443263873.534077-0.13970.8895390.444769
M11-0.2683416049167273.535943-0.07590.9398430.469922


Multiple Linear Regression - Regression Statistics
Multiple R0.798836521394294
R-squared0.638139787913337
Adjusted R-squared0.533602393310523
F-TEST (value)6.1044164180476
F-TEST (DF numerator)13
F-TEST (DF denominator)45
p-value2.23704555324389e-06
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation5.23742733164919
Sum Squared Residuals1234.37902744377


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
18.83.637961999680075.16203800031993
28.56.648164021472651.85183597852735
38.63.756478279587394.84352172041261
48.74.060309682851424.63969031714858
59.13.716352224280945.38364777571906
68.84.144408946186954.65559105381305
76.33.766740879899732.53325912010027
82.52.98257071418168-0.482570714181684
9-2.71.71721357238951-4.41721357238951
10-4.51.30405443427436-5.80405443427436
11-71.63266262578194-8.63266262578194
12-9.31.81930780345845-11.1193078034584
13-12.23.55145990024923-15.7514599002492
14-13.2-7.72447161234797-5.47552838765203
15-13.7-10.7026594536640-2.99734054633595
16-15-10.8097130226965-4.19028697730354
17-16.9-11.3242718440333-5.5757281559667
18-16.3-11.0379824517500-5.26201754824997
19-16.7-11.3051200576534-5.39487994234659
20-16-11.9162860245098-4.08371397549019
21-14.5-13.0807240502994-1.41927594970065
22-12.2-13.48667468012861.28667468012861
23-7.5-13.26379127681425.76379127681424
24-4.4-12.88491921151378.48491921151368
25-1.1-10.87644096376339.7764409637633
261.3-7.786945350825799.08694535082579
27-0.13.4393039150077-3.5393039150077
280.43.49564320045574-3.09564320045574
292.43.15889425017115-0.75889425017115
3013.71910695731871-2.71910695731871
313.33.32221620226909-0.0222162022690867
321.82.79034382655762-0.990343826557624
333.21.469721454573521.73027854542648
341.31.292040253797850.00795974620215367
351.51.51252082101691-0.0125208210169078
361.32.00432618279661-0.704326182796609
3723.80135485416052-1.80135485416052
3836.72265194042697-3.72265194042697
394.43.74206126301560.657938736984404
403.13.72871830169991-0.628718301699914
412.63.20214529988656-0.602145299886565
422.73.44758647854972-0.747586478549722
4342.954582279688061.04541772031194
444.12.316985115783371.78301488421663
4531.186186795328031.81381320467197
462.70.8571269205484061.84287307945159
4741.125664209673482.87433579032652
484.81.461285225258633.33871477474137
4963.385664209673482.61433579032652
504.66.34060100127415-1.74060100127415
514.43.364815996053371.03518400394663
526.63.325041837689383.27495816231062
534.73.146880069694651.55311993030535
547.63.526880069694654.07311993030535
555.33.461580695796531.83841930420347
566.62.826386367987143.77361363201286
5741.70760222800832.2923977719917
583.81.133453071507992.66654692849201
591.21.192943620341900.00705637965809747


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
170.9934969960491890.01300600790162210.00650300395081106
180.9899826619126360.02003467617472870.0100173380873643
190.990781889068040.01843622186392010.00921811093196005
200.996145516237830.0077089675243390.0038544837621695
210.9996153724867770.0007692550264464140.000384627513223207
220.9999853957320262.92085359483558e-051.46042679741779e-05
230.999999379874361.24025128069398e-066.20125640346991e-07
240.999999935928561.28142880803519e-076.40714404017597e-08
250.9999999099164351.80167131110397e-079.00835655551983e-08
260.999999741733035.16533939763787e-072.58266969881894e-07
270.999999781212434.37575140058389e-072.18787570029194e-07
280.9999998236883913.52623217563783e-071.76311608781891e-07
290.9999994028065771.19438684577047e-065.97193422885234e-07
300.9999990824713741.8350572517212e-069.175286258606e-07
310.999996828716976.34256605939192e-063.17128302969596e-06
320.9999943201854461.13596291074909e-055.67981455374543e-06
330.9999809930628143.80138743719335e-051.90069371859668e-05
340.9999377239070470.0001245521859053756.22760929526877e-05
350.9997769026569560.0004461946860886980.000223097343044349
360.9994934710272760.001013057945448710.000506528972724356
370.9992691468515220.001461706296955840.00073085314847792
380.9979589291523290.00408214169534310.00204107084767155
390.9931974466719990.01360510665600280.00680255332800138
400.991841420245450.01631715950910110.00815857975455053
410.978718094148780.04256381170243890.0212819058512195
420.9858074657097030.02838506858059430.0141925342902971


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level190.730769230769231NOK
5% type I error level261NOK
10% type I error level261NOK
 
Charts produced by software:
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Parameters (Session):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = No Linear Trend ;
 
Parameters (R input):
par1 = 1 ; par2 = Include Monthly 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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