| Multiple Linear Regression - Estimated Regression Equation |
| eu/us[t] = + 2.81718821954907 -0.0858813976806043Crisis[t] -1.22772246144353`us/ch`[t] + e[t] |
| Multiple Linear Regression - Ordinary Least Squares | |||||
| Variable | Parameter | S.D. | T-STAT H0: parameter = 0 | 2-tail p-value | 1-tail p-value |
| (Intercept) | 2.81718821954907 | 0.044156 | 63.8003 | 0 | 0 |
| Crisis | -0.0858813976806043 | 0.004943 | -17.3734 | 0 | 0 |
| `us/ch` | -1.22772246144353 | 0.041776 | -29.3883 | 0 | 0 |
| Multiple Linear Regression - Regression Statistics | |
| Multiple R | 0.97347709088338 |
| R-squared | 0.947657646474767 |
| Adjusted R-squared | 0.94663132581741 |
| F-TEST (value) | 923.354352931696 |
| F-TEST (DF numerator) | 2 |
| F-TEST (DF denominator) | 102 |
| p-value | 0 |
| Multiple Linear Regression - Residual Statistics | |
| Residual Standard Deviation | 0.0222730682933475 |
| Sum Squared Residuals | 0.0506011362624124 |
| Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
| Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
| 1 | 1.3954 | 1.50536676949665 | -0.109966769496650 |
| 2 | 1.479 | 1.46546578949974 | 0.0135342105002572 |
| 3 | 1.4619 | 1.46718460094576 | -0.00528460094576385 |
| 4 | 1.467 | 1.46939450137636 | -0.00239450137636192 |
| 5 | 1.4799 | 1.47983014229863 | 6.98577013677639e-05 |
| 6 | 1.4508 | 1.46448361153059 | -0.0136836115305881 |
| 7 | 1.4678 | 1.47516479694515 | -0.00736479694514679 |
| 8 | 1.4824 | 1.48609152685199 | -0.00369152685199415 |
| 9 | 1.5189 | 1.5392519094325 | -0.0203519094324992 |
| 10 | 1.5348 | 1.55938655780017 | -0.0245865578001731 |
| 11 | 1.5666 | 1.59020239158241 | -0.0236023915824056 |
| 12 | 1.5446 | 1.57841625595255 | -0.0338162559525478 |
| 13 | 1.5803 | 1.59597268715119 | -0.0156726871511901 |
| 14 | 1.5718 | 1.57964397841399 | -0.0078439784139911 |
| 15 | 1.5832 | 1.59118456955156 | -0.00798456955156039 |
| 16 | 1.5801 | 1.56687566481498 | 0.0132243351850216 |
| 17 | 1.5605 | 1.54563606623201 | 0.0148639337679947 |
| 18 | 1.5416 | 1.52120438924928 | 0.0203956107507211 |
| 19 | 1.5479 | 1.5392519094325 | 0.00864809056750093 |
| 20 | 1.558 | 1.53127171343312 | 0.0267282865668841 |
| 21 | 1.579 | 1.56257863619993 | 0.0164213638000739 |
| 22 | 1.5554 | 1.5370420090019 | 0.0183579909980992 |
| 23 | 1.5761 | 1.56429744764595 | 0.0118025523540529 |
| 24 | 1.536 | 1.52930735749481 | 0.0066926425051935 |
| 25 | 1.5621 | 1.54723210543188 | 0.0148678945681180 |
| 26 | 1.5773 | 1.56577071459968 | 0.0115292854003207 |
| 27 | 1.571 | 1.56024596352318 | 0.0107540364768166 |
| 28 | 1.5925 | 1.56920833749172 | 0.0232916625082788 |
| 29 | 1.5844 | 1.56270140844607 | 0.0216985915539296 |
| 30 | 1.5696 | 1.54404002703213 | 0.0255599729678712 |
| 31 | 1.554 | 1.52709745706421 | 0.0269025429357919 |
| 32 | 1.5012 | 1.48965192199018 | 0.0115480780098196 |
| 33 | 1.4676 | 1.47037667934552 | -0.00277667934551697 |
| 34 | 1.477 | 1.46804400666877 | 0.00895599333122582 |
| 35 | 1.466 | 1.46448361153059 | 0.00151638846941182 |
| 36 | 1.4241 | 1.44631331910122 | -0.0222133191012238 |
| 37 | 1.4214 | 1.42752916544114 | -0.00612916544113788 |
| 38 | 1.4469 | 1.37835666935769 | 0.0685433306423051 |
| 39 | 1.4618 | 1.39505369483333 | 0.066746305166673 |
| 40 | 1.3834 | 1.34852301354462 | 0.0348769864553828 |
| 41 | 1.3412 | 1.33845568936078 | 0.00274431063921973 |
| 42 | 1.3437 | 1.33943786732994 | 0.00426213267006469 |
| 43 | 1.263 | 1.29978243182531 | -0.0367824318253092 |
| 44 | 1.2759 | 1.31328737890119 | -0.0373873789011878 |
| 45 | 1.2743 | 1.28480421779570 | -0.0105042177956981 |
| 46 | 1.2797 | 1.27571907158102 | 0.0039809284189842 |
| 47 | 1.2573 | 1.23115274623062 | 0.0261472537693844 |
| 48 | 1.2705 | 1.24207947613746 | 0.0284205238625369 |
| 49 | 1.268 | 1.22980225152303 | 0.0381977484769723 |
| 50 | 1.3371 | 1.28664580148786 | 0.0504541985121368 |
| 51 | 1.3885 | 1.37135865132747 | 0.0171413486725330 |
| 52 | 1.406 | 1.42108141101593 | -0.0150814110159301 |
| 53 | 1.3855 | 1.40045567366368 | -0.0149556736636785 |
| 54 | 1.3431 | 1.36190518837435 | -0.0188051883743518 |
| 55 | 1.3257 | 1.35822202099002 | -0.0325220209900210 |
| 56 | 1.2978 | 1.3108319339783 | -0.0130319339783007 |
| 57 | 1.2793 | 1.30407946044036 | -0.0247794604403612 |
| 58 | 1.2945 | 1.30383391594807 | -0.00933391594807263 |
| 59 | 1.289 | 1.30984975600915 | -0.0208497560091461 |
| 60 | 1.2848 | 1.31537450708564 | -0.0305745070856420 |
| 61 | 1.2694 | 1.29683589791784 | -0.0274358979178444 |
| 62 | 1.2636 | 1.30751708333240 | -0.0439170833324033 |
| 63 | 1.29 | 1.27179035970440 | 0.0182096402956036 |
| 64 | 1.3559 | 1.34447152942185 | 0.0114284705781464 |
| 65 | 1.3305 | 1.32875668191538 | 0.00174331808462372 |
| 66 | 1.3482 | 1.34189331225282 | 0.0063066877471778 |
| 67 | 1.3146 | 1.30948143927071 | 0.00511856072928693 |
| 68 | 1.3027 | 1.29830916487158 | 0.00439083512842319 |
| 69 | 1.3247 | 1.33280816603814 | -0.00810816603814005 |
| 70 | 1.3267 | 1.33698242240705 | -0.0102824224070481 |
| 71 | 1.3621 | 1.3728319182812 | -0.010731918281199 |
| 72 | 1.3479 | 1.35232895317509 | -0.00442895317509212 |
| 73 | 1.4011 | 1.39984181243296 | 0.00125818756704322 |
| 74 | 1.4135 | 1.42059032203135 | -0.00709032203135238 |
| 75 | 1.3964 | 1.39763191200236 | -0.00123191200235833 |
| 76 | 1.401 | 1.40634874147861 | -0.00534874147860759 |
| 77 | 1.3955 | 1.40548933575560 | -0.009989335755597 |
| 78 | 1.4077 | 1.403279435325 | 0.00442056467500137 |
| 79 | 1.3975 | 1.39689527852549 | 0.000604721474507587 |
| 80 | 1.3949 | 1.40008735692525 | -0.00518735692524544 |
| 81 | 1.4138 | 1.41187349255510 | 0.00192650744489651 |
| 82 | 1.421 | 1.4162932934163 | 0.00470670658369984 |
| 83 | 1.4253 | 1.41911705507762 | 0.00618294492237972 |
| 84 | 1.4169 | 1.40192894061741 | 0.0149710593825892 |
| 85 | 1.4174 | 1.41199626480125 | 0.00540373519875222 |
| 86 | 1.4346 | 1.43384972461494 | 0.00075027538505742 |
| 87 | 1.4296 | 1.42992101273832 | -0.000321012738323278 |
| 88 | 1.4311 | 1.43078041846133 | 0.000319581538666129 |
| 89 | 1.4594 | 1.45815862935152 | 0.00124137064847540 |
| 90 | 1.4722 | 1.46822595353536 | 0.00397404646463837 |
| 91 | 1.4669 | 1.46736654781235 | -0.00046654781235083 |
| 92 | 1.4571 | 1.46036852978212 | -0.00326852978212295 |
| 93 | 1.4709 | 1.46380615267416 | 0.0070938473258353 |
| 94 | 1.4893 | 1.48074872264209 | 0.0085512773579145 |
| 95 | 1.4997 | 1.49204376928737 | 0.00765623071263413 |
| 96 | 1.4713 | 1.47190912091969 | -0.000609120919691987 |
| 97 | 1.4846 | 1.48271307858040 | 0.00188692141960465 |
| 98 | 1.4914 | 1.48922000762605 | 0.00217999237395426 |
| 99 | 1.4859 | 1.48209921734967 | 0.00380078265032672 |
| 100 | 1.4957 | 1.49572693667170 | -2.69366716965853e-05 |
| 101 | 1.4843 | 1.48295862307268 | 0.00134137692731601 |
| 102 | 1.4619 | 1.46184179673586 | 5.82032641448777e-05 |
| 103 | 1.434 | 1.45165170030587 | -0.0176517003058739 |
| 104 | 1.4426 | 1.45987744079755 | -0.0172774407975453 |
| 105 | 1.4318 | 1.4608596187667 | -0.0290596187667004 |
| Goldfeld-Quandt test for Heteroskedasticity | |||
| p-values | Alternative Hypothesis | ||
| breakpoint index | greater | 2-sided | less |
| 6 | 0.774473470982979 | 0.451053058034042 | 0.225526529017021 |
| 7 | 0.674568253599246 | 0.650863492801508 | 0.325431746400754 |
| 8 | 0.849625749123968 | 0.300748501752064 | 0.150374250876032 |
| 9 | 0.996015287858395 | 0.00796942428320951 | 0.00398471214160476 |
| 10 | 0.996597232781375 | 0.00680553443725056 | 0.00340276721862528 |
| 11 | 0.996224567505728 | 0.0075508649885448 | 0.0037754324942724 |
| 12 | 0.995100942342104 | 0.00979811531579118 | 0.00489905765789559 |
| 13 | 0.994301710723888 | 0.0113965785522248 | 0.0056982892761124 |
| 14 | 0.99303478540588 | 0.0139304291882397 | 0.00696521459411985 |
| 15 | 0.991201208939544 | 0.0175975821209115 | 0.00879879106045577 |
| 16 | 0.992959374624313 | 0.0140812507513744 | 0.0070406253756872 |
| 17 | 0.9935833313375 | 0.0128333373249999 | 0.00641666866249996 |
| 18 | 0.994678438502153 | 0.0106431229956942 | 0.00532156149784708 |
| 19 | 0.99315662466166 | 0.0136867506766799 | 0.00684337533833993 |
| 20 | 0.995215094605126 | 0.0095698107897471 | 0.00478490539487355 |
| 21 | 0.99464707574589 | 0.0107058485082216 | 0.0053529242541108 |
| 22 | 0.994025073918578 | 0.0119498521628436 | 0.0059749260814218 |
| 23 | 0.991989627023242 | 0.0160207459535154 | 0.0080103729767577 |
| 24 | 0.988408033986796 | 0.0231839320264077 | 0.0115919660132039 |
| 25 | 0.985373619286154 | 0.0292527614276922 | 0.0146263807138461 |
| 26 | 0.980346529342542 | 0.039306941314916 | 0.019653470657458 |
| 27 | 0.973489472240153 | 0.0530210555196937 | 0.0265105277598468 |
| 28 | 0.971939754036665 | 0.0561204919266707 | 0.0280602459633353 |
| 29 | 0.968846263713574 | 0.062307472572852 | 0.031153736286426 |
| 30 | 0.969611722769592 | 0.0607765544608167 | 0.0303882772304083 |
| 31 | 0.972875334382297 | 0.0542493312354068 | 0.0271246656177034 |
| 32 | 0.965885042539543 | 0.068229914920914 | 0.034114957460457 |
| 33 | 0.952702066654112 | 0.094595866691776 | 0.047297933345888 |
| 34 | 0.941341999364612 | 0.117316001270777 | 0.0586580006353884 |
| 35 | 0.924564711224938 | 0.150870577550124 | 0.075435288775062 |
| 36 | 0.913685316529471 | 0.172629366941057 | 0.0863146834705287 |
| 37 | 0.88783550930476 | 0.224328981390478 | 0.112164490695239 |
| 38 | 0.954249991012774 | 0.0915000179744513 | 0.0457500089872257 |
| 39 | 0.989034917703384 | 0.0219301645932321 | 0.0109650822966160 |
| 40 | 0.993759729422393 | 0.0124805411552133 | 0.00624027057760664 |
| 41 | 0.996085027662017 | 0.00782994467596522 | 0.00391497233798261 |
| 42 | 0.996287706537415 | 0.00742458692516961 | 0.00371229346258480 |
| 43 | 0.99941974496814 | 0.00116051006372124 | 0.000580255031860619 |
| 44 | 0.999892863842208 | 0.000214272315583212 | 0.000107136157791606 |
| 45 | 0.999848331914522 | 0.000303336170956784 | 0.000151668085478392 |
| 46 | 0.999739386132474 | 0.000521227735052353 | 0.000260613867526177 |
| 47 | 0.999802978508538 | 0.00039404298292475 | 0.000197021491462375 |
| 48 | 0.999878877556572 | 0.000242244886856422 | 0.000121122443428211 |
| 49 | 0.999981360680259 | 3.72786394822724e-05 | 1.86393197411362e-05 |
| 50 | 0.999999915421997 | 1.69156005363751e-07 | 8.45780026818756e-08 |
| 51 | 0.999999941693555 | 1.16612889958859e-07 | 5.83064449794297e-08 |
| 52 | 0.999999951923418 | 9.6153163122692e-08 | 4.8076581561346e-08 |
| 53 | 0.999999947154967 | 1.05690066754035e-07 | 5.28450333770177e-08 |
| 54 | 0.999999945213838 | 1.09572323338713e-07 | 5.47861616693566e-08 |
| 55 | 0.999999988664025 | 2.26719502176061e-08 | 1.13359751088031e-08 |
| 56 | 0.999999978727227 | 4.25455462903868e-08 | 2.12727731451934e-08 |
| 57 | 0.999999982889846 | 3.4220307354708e-08 | 1.7110153677354e-08 |
| 58 | 0.999999962841042 | 7.43179169981619e-08 | 3.71589584990810e-08 |
| 59 | 0.999999958130704 | 8.37385919195317e-08 | 4.18692959597659e-08 |
| 60 | 0.999999988369864 | 2.32602714549755e-08 | 1.16301357274877e-08 |
| 61 | 0.999999996234346 | 7.53130776529066e-09 | 3.76565388264533e-09 |
| 62 | 0.999999999998649 | 2.70243123690686e-12 | 1.35121561845343e-12 |
| 63 | 0.999999999999158 | 1.68357519050097e-12 | 8.41787595250484e-13 |
| 64 | 0.99999999999885 | 2.30036156786169e-12 | 1.15018078393085e-12 |
| 65 | 0.999999999996247 | 7.5063015720683e-12 | 3.75315078603415e-12 |
| 66 | 0.999999999991414 | 1.71712684685565e-11 | 8.58563423427826e-12 |
| 67 | 0.999999999980855 | 3.82891355668212e-11 | 1.91445677834106e-11 |
| 68 | 0.999999999963527 | 7.29454010259258e-11 | 3.64727005129629e-11 |
| 69 | 0.999999999890606 | 2.18788857636447e-10 | 1.09394428818224e-10 |
| 70 | 0.999999999737343 | 5.25314208593428e-10 | 2.62657104296714e-10 |
| 71 | 0.99999999950357 | 9.9286071683529e-10 | 4.96430358417645e-10 |
| 72 | 0.99999999854467 | 2.91065992221818e-09 | 1.45532996110909e-09 |
| 73 | 0.999999995536004 | 8.9279920791385e-09 | 4.46399603956925e-09 |
| 74 | 0.999999989460623 | 2.10787534049645e-08 | 1.05393767024822e-08 |
| 75 | 0.999999968469854 | 6.30602911966023e-08 | 3.15301455983012e-08 |
| 76 | 0.99999992095781 | 1.58084379509086e-07 | 7.90421897545432e-08 |
| 77 | 0.999999877867945 | 2.44264109674761e-07 | 1.22132054837381e-07 |
| 78 | 0.99999966354758 | 6.72904838162752e-07 | 3.36452419081376e-07 |
| 79 | 0.999999049911353 | 1.90017729437751e-06 | 9.50088647188754e-07 |
| 80 | 0.999997947055111 | 4.10588977777465e-06 | 2.05294488888733e-06 |
| 81 | 0.999994426294634 | 1.11474107323444e-05 | 5.57370536617218e-06 |
| 82 | 0.999985859973245 | 2.82800535091542e-05 | 1.41400267545771e-05 |
| 83 | 0.999967516538734 | 6.49669225314508e-05 | 3.24834612657254e-05 |
| 84 | 0.99997529226243 | 4.94154751398216e-05 | 2.47077375699108e-05 |
| 85 | 0.999965551808562 | 6.88963828765884e-05 | 3.44481914382942e-05 |
| 86 | 0.999928704104387 | 0.000142591791226031 | 7.12958956130153e-05 |
| 87 | 0.999874254796085 | 0.000251490407830391 | 0.000125745203915196 |
| 88 | 0.999886195157746 | 0.000227609684507569 | 0.000113804842253784 |
| 89 | 0.999803048193981 | 0.000393903612037528 | 0.000196951806018764 |
| 90 | 0.99962891683152 | 0.000742166336959546 | 0.000371083168479773 |
| 91 | 0.999111501743233 | 0.00177699651353296 | 0.00088849825676648 |
| 92 | 0.998065058572729 | 0.00386988285454253 | 0.00193494142727126 |
| 93 | 0.99877080557817 | 0.00245838884366056 | 0.00122919442183028 |
| 94 | 0.99789488009228 | 0.00421023981544188 | 0.00210511990772094 |
| 95 | 0.994068086793608 | 0.0118638264127837 | 0.00593191320639184 |
| 96 | 0.98663874442864 | 0.0267225111427197 | 0.0133612555713599 |
| 97 | 0.965976812202101 | 0.0680463755957972 | 0.0340231877978986 |
| 98 | 0.91554704926288 | 0.168905901474239 | 0.0844529507371193 |
| 99 | 0.830285184244428 | 0.339429631511143 | 0.169714815755572 |
| Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
| Description | # significant tests | % significant tests | OK/NOK |
| 1% type I error level | 59 | 0.627659574468085 | NOK |
| 5% type I error level | 76 | 0.808510638297872 | NOK |
| 10% type I error level | 85 | 0.904255319148936 | NOK |
