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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: Tue, 21 Dec 2010 19:18:27 +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/t1292958969jl88ltc2ps165cl.htm/, Retrieved Tue, 21 Dec 2010 20:16:23 +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/t1292958969jl88ltc2ps165cl.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 time50 seconds
R Server'George Udny Yule' @ 72.249.76.132
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] = + 17.3425380893823 -0.172973901455077cylinders[t] -0.00823600695068293engine.displacement[t] -0.0787884360084219horsepower[t] + 0.00303601366592021weight[t] + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)17.34253808938230.4807836.071700
cylinders-0.1729739014550770.129703-1.33360.1828160.091408
engine.displacement-0.008236006950682930.002869-2.87110.0042280.002114
horsepower-0.07878843600842190.00413-19.076100
weight0.003036013665920210.00022713.397600


Multiple Linear Regression - Regression Statistics
Multiple R0.776356439088369
R-squared0.602729320513972
Adjusted R-squared0.600194898316294
F-TEST (value)237.817251232325
F-TEST (DF numerator)4
F-TEST (DF denominator)627
p-value0
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation1.72021529453132
Sum Squared Residuals1855.38119353126


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
111.511.28805097185590.211949028144124
21111.9531742222632-0.953174222263184
310.512.9123028712151-2.41230287121514
41010.0047248899907-0.00472488999073533
58.58.486681005078380.0133189949216213
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161410.06547370190683.93452629809317
171510.95820134426444.04179865573557
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261214.4814780388245-2.4814780388245
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291415.6099944771972-1.60999447719718
301415.0497634492733-1.04976344927333
3114.516.207320955387-1.70732095538699
321916.32748987919252.67251012080746
331916.69249271213802.30750728786197
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3291416.6043874174823-2.60438741748225
3301316.9499012981751-3.94990129817514
3311515.9646676852002-0.964667685200227
3321516.5546671725613-1.55466717256127
3331416.5698472408909-2.56984724089087
3341517.5469605552229-2.54696055522290
3351716.04098793837290.95901206162708
3361415.6099944771972-1.60999447719718
3371716.05335269894340.94664730105661
3381717.0644812807431-0.0644812807431272
3391715.62821055919271.37178944080730
3401414.9993107250049-0.999310725004895
3411516.6470395281106-1.64703952811064
3421313.5334469032434-0.533446903243357
3431717.0618138922895-0.0618138922895006
3441416.6050196703078-2.60501967030785
3452418.44034906787505.55965093212495
3461816.46543817437971.53456182562026
3471615.28017720935170.719822790648308
3481615.62912551494630.370874485053704
3491816.81918806202331.18081193797669
3501516.7285919855658-1.72859198556580
3511615.15111140830090.848888591699095
3521915.83744258523673.16255741476329
3531715.54961296419631.4503870358037
3541717.0490936421897-0.0490936421897493
3551215.8882042837992-3.88820428379916
3561615.06499121038660.935008789613419
3571516.6890832323053-1.68908323230525
3581515.0109107952302-0.0109107952302081
3591915.96202414313843.03797585686158
3601415.6785294472464-1.67852944724635
3612419.21664883951994.78335116048011
3621716.9866531471690.0133468528309868
3631316.1159053087432-3.11590530874318
3641515.4364966928974-0.436496692897405
3651815.51972879645132.48027120354869
3661715.57771725932071.42228274067932
3672117.94797798673773.05202201326233
3681316.161445513732-3.16144551373198
3691615.69293785932010.307062140679853
3701616.1412968687332-0.141296868733221
3711816.06608006622321.93391993377679
3722017.11430292973442.88569707026565
3731515.3296922301518-0.32969223015183
3741917.13555502539581.86444497460420
3752015.71736317724424.2826368227558
3761315.7154053691539-2.71540536915390
3771516.0559437072670-1.05594370726698
3781515.8116788065056-0.811678806505626
3791716.78404425007530.215955749924716
3801616.4743219159420-0.474321915941959
3811414.1027767325495-0.102776732549536
3821515.5764813711384-0.576481371138445
3831616.4802269486536-0.480226948653606
3841516.302501431638-1.302501431638
3851515.6280936034591-0.628093603459089
3861817.28959482101490.710405178985133
3871515.6976905011597-0.697690501159653
3881616.5864874269608-0.586487426960813
3891717.3060155486038-0.306015548603839
3901817.47073568761750.529264312382501
3911715.75473414338071.24526585661934
3921316.0760971233429-3.07609712334288
3931415.8343111161261-1.83431111612606
3941417.6122091709453-3.61220917094527
3951516.0576925464383-1.05769254643827
3961616.8489278341141-0.84892783411411
3971416.3809772998237-2.38097729982365
3981515.9653846128843-0.965384612884309
3991615.81464358353490.185356416465091
4001917.22145092387461.77854907612542
4011113.6976508002781-2.69765080027805
4021314.8809932129954-1.88099321299542
4032016.70364293606653.29635706393355
4041515.7308897919698-0.73088979196981
4051416.0716450911915-2.07164509119152
4061917.40757107785521.59242892214481
4071314.5119574632850-1.51195746328498
4081616.7886728190011-0.78867281900111
4091817.83187339455650.1681266054435
4101716.97020138613070.0297986138692754
4111916.80990341437372.19009658562634
4121515.6141342440646-0.614134244064615
4131415.0631540329506-1.06315403295063
4141415.9919440455324-1.99194404553243
4151517.4571672498625-2.45716724986249
4161616.4222026812578-0.422202681257785
4171414.7026080032336-0.702608003233646
4181817.00231630159290.997683698407108
4191716.44649079058510.553509209414853
4201516.3976210794223-1.39762107942235
4211314.0164322351997-1.01643223519967
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4231616.6866913597221-0.686691359722124
4241516.8221763130282-1.82217631302815
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4261415.7559650393389-1.75596503933892
4271314.4862747568898-1.48627475688979
4281816.61954356954261.3804564304574
4291616.7923005098890-0.792300509889044
4301715.42689713132211.57310286867794
4311616.8496483553269-0.849648355326938
4321615.44515291391160.554847086088392
4331514.98253958150260.0174604184973918
4341617.1922741416594-1.19227414165941
4351615.07907369780780.920926302192248
4361415.5938778829477-1.59387788294767
4371413.92977876355580.0702212364442056
4381516.0061378426005-1.00613784260053
4391615.87546143725410.124538562745879
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4411514.17673497803390.823265021966125
4421817.37780738949510.622192610504866
4431616.9472445505529-0.947244550552895
4441615.53706800344520.462931996554807
4451817.27757836291620.722421637083816
4461717.3382986362346-0.338298636234588
4471314.5860265671287-1.58602656712871
4481615.32257311208570.677426887914328
4491616.0056475694488-0.00564756944876255
4501113.3557717276532-2.35577172765316
4511615.36204128974260.637958710257365
4521615.40624654858190.593753451418113
4531414.5431453859877-0.543145385987653
4541515.73440889173-0.734408891730007
4551615.45615771338620.543842286613839
4561615.08830970778680.911690292213227
4571516.8738791598390-1.87387915983896
4581717.2722865077154-0.272286507715444
4592019.15852684297460.841473157025435
4601717.7064316908649-0.706431690864901
4611414.5057494049048-0.505749404904829
4621616.9622567492527-0.962256749252749
4632017.85201242752362.14798757247643
4641516.3133239783740-1.31332397837398
4651817.03815709090080.961842909099246
4662017.43319523200922.56680476799078
4671817.42010313558470.579896864415314
4681716.60342500160640.396574998393584
4691716.48410785898490.515892141015132
4701514.96189464484910.0381053551508750
4711717.0143127394899-0.0143127394899031
4721717.2810381841744-0.281038184174371
4731816.66908398669921.33091601330079
474103.853103786315736.14689621368427
4751716.60677827530100.393221724699036
4761715.65420598720081.34579401279921
4771516.8423574715635-1.84235747156345
4781414.6467539576272-0.646753957627178
4791617.1069841547628-1.10698415476277
4801816.75121498569341.24878501430663
4812018.16065670735071.83934329264931
4822018.71635572047051.28364427952945
4831212.9288918408501-0.928891840850102
4842519.58027014120315.41972985879686
4851816.38889510185871.61110489814127
4861112.250303972739-1.25030397273901
4871717.0485856949392-0.048585694939236
4881717.0516217086052-0.0516217086051562
4891414.9131851136653-0.913185113665288
4902018.99261476376421.00738523623585
4911516.3881816978260-1.38818169782596
4921515.1933712799866-0.193371279986579
4932220.03640467043861.96359532956137
4941616.8762403015116-0.876240301511599
4951817.21556644656480.784433553435153
4962218.65670396829793.34329603170207
4971816.31890213902531.6810978609747
4981516.3310461936890-1.33104619368898
4991616.4975104007968-0.497510400796794
5001617.3372276991084-1.33722769910845
5011616.4737388359872-0.473738835987229
5021716.49499093164870.505009068351329
5031516.1526609839272-1.15266098392721
5041715.98587107331361.01412892668639
5051615.36684309545920.633156904540836
5061616.3911174849700-0.391117484970027
5071917.62539608046641.37460391953363
5081111.8408417166240-0.840841716623964
5091515.0779991671529-0.0779991671528646
5101614.83617015935831.16382984064174
5111616.1034357832351-0.103435783235124
5122217.10959256725324.89040743274679
5131716.52773809993640.472261900063564
5141312.42078834233890.579211657661123
5151716.98627639001220.0137236099877556
5162118.99252445181282.00747554818718
5171212.0593702785748-0.0593702785748125
5181111.9531742222630-0.953174222263012
5191616.6196583329634-0.619658332963417
5201311.86115221274951.13884778725047
5211112.9123028712151-1.91230287121512
5221616.4744784325147-0.474478432514748
5231718.2743634084458-1.27436340844578
5241213.8259879481715-1.82598794817154
5251616.2657330860938-0.265733086093771
5261917.22637438652441.77362561347557
5272019.62089797818170.379102021818275
5281916.86169960318772.13830039681234
5291010.2276387858720-0.227638785872049
5301313.3584489607999-0.358448960799888
5312118.95090777632302.04909222367704
5321514.85600778649890.143992213501094
533811.5093280734680-3.50932807346796
5341717.1479247108335-0.147924710833533
5351916.77523462645292.22476537354714
5361817.59347912319630.406520876803713
5371816.53987856107141.46012143892863
5381616.6452347943338-0.645234794333797
5391817.65723541018060.342764589819389
5401110.01818003541830.981819964581691
5411212.7849775447297-0.784977544729743
5421212.7849775447297-0.784977544729743
5431211.28805097185630.711949028143677
5441314.6169154391017-1.61691543910174
5451916.11250956967112.88749043032892
5461916.83740790033162.16259209966845
5471313.6488266684574-0.648826668457374
5481412.92166258169161.07833741830844
5491012.2645260937311-2.26452609373108
5501312.98845488234180.0115451176581960
5511717.8460170129832-0.846017012983165
5521918.45800342145600.541996578543971
5531717.0640053957416-0.0640053957416167
5541110.80641629150310.193583708496938
5551514.33119014676190.668809853238096
5561514.86256055382210.137439446177906
55799.46555393916793-0.465553939167929
5581514.97834898465170.0216510153482510
5591313.8021745603326-0.802174560332574
5601313.4529005512322-0.452900551232190
5611917.80425241818781.1957475818122
5621715.06804324103871.93195675896132
5632117.59715450686793.40284549313213
5641313.4833251098868-0.483325109886798
5651313.1374128179581-0.137412817958115
5661314.2025383176041-1.20253831760413
5671416.0290745880993-2.02907458809926
5681313.7594437234712-0.759443723471224
5691514.94902428313110.0509757168689282
5701414.1879499264965-0.187949926496540
5711213.9628566390879-1.96285663908788
5721917.47687259327371.52312740672629
5731413.89925898211790.100741017882133
5741414.6962513831998-0.696251383199847
5751314.0448290080677-1.04482900806772
5761313.9569432417704-0.956943241770351
5771415.6293800657281-1.62938006572814
5781311.73582417380161.26417582619837
5791313.5489781553479-0.548978155347915
5801414.0753477747412-0.0753477747412397
5811414.4844700231129-0.48447002311295
5821415.0132243280319-1.01322432803191
5831413.62487849699590.375121503004080
5841112.3271072421286-1.32710724212855
5851314.2423285263669-1.24232852636685
5861212.8546340234712-0.854634023471152
5871315.2131813184580-2.21318131845795
5881313.8888637666255-0.888863766625475
5891111.2944032861358-0.294403286135798
5901514.38502116866510.614978831334899
5911614.56104553929311.43895446070693
5921213.0519749117560-1.05197491175597
593107.531070278338082.46892972166192
5941615.47773441891770.5222655810823
5951516.2686547926678-1.26865479266784
59698.486681005078370.513318994921628
5971210.82530036097321.1746996390268
5981514.48955071456120.510449285438834
5991010.0047248899907-0.00472488999074368
60098.104947301695350.89505269830465
6011514.10095644710930.899043552890677
6021313.8654631731311-0.865463173131135
6031510.95820134426444.04179865573557
6041212.1919658202172-0.19196582021718
6051410.09793698971823.90206301028178
6061212.1892877210547-0.189287721054743
6071311.11979368656751.88020631343254
608107.91832608498292.08167391501711
6091415.1317219004672-1.13172190046716
6101413.99847157899560.00152842100444603
6111415.0529441751675-1.05294417516755
6121212.4291328006624-0.429132800662439
6131214.398843700873-2.39884370087299
6141515.1774207354703-0.177420735470276
6151312.55325144646170.446748553538315
6161414.53207038767-0.532070387669993
6171410.06547370190683.93452629809317
6181110.10335652035520.896643479644774
6191616.5221231199943-0.522123119994252
6201313.7293578552567-0.729357855256707
6211415.5459355509959-1.54593555099590
6221213.4424217685523-1.44242176855227
6231515.5241072598984-0.524107259898384
6241912.61524928224306.38475071775698
625119.770914785762621.22908521423738
6261213.6792308344940-1.67923083449405
6271314.4013583290665-1.40135832906655
628119.515269273256921.48473072674308
6291211.8597292398680.140270760132007
6301213.6658854487488-1.66588544874876
6311416.0170389848085-2.01703898480846
6321214.4814780388245-2.4814780388245


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
80.5907283191313410.8185433617373170.409271680868659
90.4428714510886460.8857429021772930.557128548911354
100.3003234043654710.6006468087309420.699676595634529
110.3271420130102380.6542840260204760.672857986989762
120.2436701505391970.4873403010783940.756329849460803
130.1975079730182550.3950159460365110.802492026981745
140.1754796114988510.3509592229977010.82452038850115
150.3137581819907170.6275163639814330.686241818009283
160.9279110587223510.1441778825552980.0720889412776489
170.9612848053137060.07743038937258730.0387151946862936
180.9907549244921190.01849015101576220.00924507550788108
190.990362567697070.01927486460586070.00963743230293035
200.9896168445928950.02076631081420970.0103831554071049
210.9856100707815580.02877985843688450.0143899292184422
220.9789851667234350.04202966655312930.0210148332765646
230.9725270710453970.05494585790920660.0274729289546033
240.9625253396461230.07494932070775490.0374746603538774
250.9524468200605220.09510635987895580.0475531799394779
260.9467981778944250.1064036442111490.0532018221055746
270.9663272865007170.06734542699856610.0336727134992831
280.955508569826940.088982860346120.04449143017306
290.9566393448926480.08672131021470310.0433606551073516
300.9532010689523060.09359786209538870.0467989310476943
310.9509858673405910.09802826531881770.0490141326594089
320.9658647675141970.06827046497160590.0341352324858029
330.977065977502940.04586804499411910.0229340224970595
340.9918132896613050.01637342067738970.00818671033869483
350.9887443568980170.02251128620396530.0112556431019827
360.9847509254629760.0304981490740480.015249074537024
370.9804961756228630.03900764875427460.0195038243771373
380.9741205908053940.05175881838921130.0258794091946057
390.9664421953894250.06711560922114980.0335578046105749
400.9571598056030930.08568038879381430.0428401943969071
410.9457854081568050.108429183686390.054214591843195
420.9373380123606460.1253239752787090.0626619876393544
430.9702581859349740.05948362813005260.0297418140650263
440.9629774511852220.07404509762955660.0370225488147783
450.957963452026180.08407309594763870.0420365479738194
460.959037879975810.08192424004838110.0409621200241905
470.9537701249221590.09245975015568250.0462298750778412
480.9425195571474070.1149608857051860.0574804428525928
490.9390042983516020.1219914032967960.0609957016483981
500.9334357147572620.1331285704854760.066564285242738
510.9213887611443340.1572224777113310.0786112388556657
520.9204178276393360.1591643447213290.0795821723606644
530.9042584981520030.1914830036959950.0957415018479973
540.8877453367790490.2245093264419020.112254663220951
550.873465961061810.2530680778763810.126534038938191
560.8520157920046730.2959684159906540.147984207995327
570.8319481515313520.3361036969372950.168051848468648
580.8124389350519480.3751221298961040.187561064948052
590.8051958776281830.3896082447436330.194804122371817
600.846443735817720.3071125283645600.153556264182280
610.8352713131278960.3294573737442080.164728686872104
620.8115481412484810.3769037175030390.188451858751519
630.7890987166410770.4218025667178460.210901283358923
640.7613930586061680.4772138827876640.238606941393832
650.7320656963352040.5358686073295920.267934303664796
660.7792496505314170.4415006989371650.220750349468583
670.7521690985852950.495661802829410.247830901414705
680.7700940813070150.4598118373859710.229905918692985
690.7479282499012490.5041435001975030.252071750098751
700.7203085788256970.5593828423486070.279691421174303
710.697030941772170.6059381164556620.302969058227831
720.675823562558740.6483528748825210.324176437441261
730.716821557089910.566356885820180.28317844291009
740.7009251860146670.5981496279706650.299074813985333
750.7017689928032650.596462014393470.298231007196735
760.6728243327908710.6543513344182570.327175667209129
770.6435390820577690.7129218358844630.356460917942231
780.6217150859363780.7565698281272430.378284914063622
790.588426995257470.823146009485060.41157300474253
800.7408807938753440.5182384122493120.259119206124656
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6230.6082707647941140.7834584704117710.391729235205886
6240.969398367709630.06120326458073990.0306016322903700


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level2430.393841166936791NOK
5% type I error level2800.453808752025932NOK
10% type I error level3130.507293354943274NOK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/10if2t1292959055.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/10if2t1292959055.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/1twn01292959055.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/1twn01292959055.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/23nm21292959055.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/23nm21292959055.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/33nm21292959055.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/33nm21292959055.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/43nm21292959055.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/43nm21292959055.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/53nm21292959055.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/53nm21292959055.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/6wemn1292959055.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/6wemn1292959055.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/7p5381292959055.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/7p5381292959055.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/8p5381292959055.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/8p5381292959055.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/9p5381292959055.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/21/t1292958969jl88ltc2ps165cl/9p5381292959055.ps (open in new window)


 
Parameters (Session):
par1 = kendall ;
 
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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