| Multiple Linear Regression - Estimated Regression Equation |
| eu/us[t] = + 2.8265990970667 -0.0835405630382506Crisis[t] -1.23598378810765`us/ch`[t] -3.73098538767963e-05t + 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) | 2.8265990970667 | 0.062464 | 45.252 | 0 | 0 |
| Crisis | -0.0835405630382506 | 0.012012 | -6.9547 | 0 | 0 |
| `us/ch` | -1.23598378810765 | 0.057024 | -21.6749 | 0 | 0 |
| t | -3.73098538767963e-05 | 0.000174 | -0.214 | 0.830961 | 0.415481 |
| Multiple Linear Regression - Regression Statistics | |
| Multiple R | 0.9734892777905 |
| R-squared | 0.947681373973069 |
| Adjusted R-squared | 0.94612735537821 |
| F-TEST (value) | 609.826276923566 |
| F-TEST (DF numerator) | 3 |
| F-TEST (DF denominator) | 101 |
| p-value | 0 |
| Multiple Linear Regression - Residual Statistics | |
| Residual Standard Deviation | 0.0223779855757989 |
| Sum Squared Residuals | 0.050578198081497 |
| Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
| Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
| 1 | 1.3954 | 1.50591310961979 | -0.110513109619787 |
| 2 | 1.479 | 1.46570632665242 | 0.0132936733475817 |
| 3 | 1.4619 | 1.46739939410189 | -0.00549939410189227 |
| 4 | 1.467 | 1.46958685506661 | -0.00258685506660896 |
| 5 | 1.4799 | 1.48005540741165 | -0.000155407411647522 |
| 6 | 1.4508 | 1.46456830020643 | -0.013768300206425 |
| 7 | 1.4678 | 1.47528404930908 | -0.00748404930908482 |
| 8 | 1.4824 | 1.48624699516937 | -0.00384699516936607 |
| 9 | 1.5189 | 1.53972778334055 | -0.0208277833405508 |
| 10 | 1.5348 | 1.55996060761164 | -0.0251606076116395 |
| 11 | 1.5666 | 1.59094649083926 | -0.0243464908392647 |
| 12 | 1.5446 | 1.57904373661955 | -0.0344437366195546 |
| 13 | 1.5803 | 1.59668099493562 | -0.016380994935617 |
| 14 | 1.5718 | 1.58020510069991 | -0.00840510069990837 |
| 15 | 1.5832 | 1.59178603845424 | -0.00858603845424362 |
| 16 | 1.5801 | 1.56727624959584 | 0.0128237504041648 |
| 17 | 1.5605 | 1.5458564202077 | 0.014643579792304 |
| 18 | 1.5416 | 1.52122303297048 | 0.0203769670295232 |
| 19 | 1.5479 | 1.53935468480178 | 0.00854531519821726 |
| 20 | 1.558 | 1.53128348032521 | 0.026716519674794 |
| 21 | 1.579 | 1.56276375706807 | 0.0162362429319255 |
| 22 | 1.5554 | 1.53701798442156 | 0.0183820155784413 |
| 23 | 1.5761 | 1.56441951466367 | 0.0116804853363284 |
| 24 | 1.536 | 1.52915666684873 | 0.00684333315127321 |
| 25 | 1.5621 | 1.54716472030122 | 0.0149352796987784 |
| 26 | 1.5773 | 1.56579076564777 | 0.0115092343522296 |
| 27 | 1.571 | 1.56019152874741 | 0.0108084712525908 |
| 28 | 1.5925 | 1.56917690054672 | 0.0233230994532817 |
| 29 | 1.5844 | 1.56258887661587 | 0.0218111233841292 |
| 30 | 1.5696 | 1.54376461318276 | 0.0258353868172422 |
| 31 | 1.554 | 1.526670727053 | 0.0273292729470046 |
| 32 | 1.5012 | 1.48893591166184 | 0.0122640883381648 |
| 33 | 1.4676 | 1.46949365633467 | -0.00189365633466822 |
| 34 | 1.477 | 1.46710797728339 | 0.0098920227166132 |
| 35 | 1.466 | 1.463486314444 | 0.00251368555600195 |
| 36 | 1.4241 | 1.44515644452613 | -0.0210564445261279 |
| 37 | 1.4214 | 1.4262085827142 | -0.00480858271420407 |
| 38 | 1.4469 | 1.3795866250865 | 0.0673133749135048 |
| 39 | 1.4618 | 1.39635869475088 | 0.0654413052491173 |
| 40 | 1.3834 | 1.34947759932773 | 0.0339224006722742 |
| 41 | 1.3412 | 1.33930522241137 | 0.00189477758863372 |
| 42 | 1.3437 | 1.34025669958798 | 0.00344330041202418 |
| 43 | 1.263 | 1.30029711337822 | -0.0372971133782218 |
| 44 | 1.2759 | 1.31385562519353 | -0.0379556251935289 |
| 45 | 1.2743 | 1.28514349145555 | -0.0108434914555548 |
| 46 | 1.2797 | 1.27595990156968 | 0.00374009843031882 |
| 47 | 1.2573 | 1.2310563802075 | 0.0262436197925034 |
| 48 | 1.2705 | 1.24201932606778 | 0.0284806739322221 |
| 49 | 1.268 | 1.22962217833282 | 0.0383778216671755 |
| 50 | 1.3371 | 1.28681091786833 | 0.0502890821316679 |
| 51 | 1.3885 | 1.37205648939388 | 0.0164435106061165 |
| 52 | 1.406 | 1.42207652295837 | -0.0160765229583668 |
| 53 | 1.3855 | 1.40127468546428 | -0.0157746854642812 |
| 54 | 1.3431 | 1.36242748466382 | -0.0193274846638242 |
| 55 | 1.3257 | 1.35868222344562 | -0.0329822234456242 |
| 56 | 1.2978 | 1.31093593937079 | -0.013135939370792 |
| 57 | 1.2793 | 1.30410071868232 | -0.024800718682323 |
| 58 | 1.2945 | 1.30381621207082 | -0.00931621207082485 |
| 59 | 1.289 | 1.30983522277868 | -0.0208352227786758 |
| 60 | 1.2848 | 1.31535983997128 | -0.0305598399712833 |
| 61 | 1.2694 | 1.29665917491698 | -0.0272591749169807 |
| 62 | 1.2636 | 1.30737492401964 | -0.0437749240196407 |
| 63 | 1.29 | 1.27137048593183 | 0.0186295140681689 |
| 64 | 1.3559 | 1.34450341633393 | 0.0113965836660725 |
| 65 | 1.3305 | 1.32864551399227 | 0.00185448600772739 |
| 66 | 1.3482 | 1.34183323067115 | 0.00636676932885215 |
| 67 | 1.3146 | 1.30916594881123 | 0.00543405118877091 |
| 68 | 1.3027 | 1.29788118648557 | 0.00481881351442748 |
| 69 | 1.3247 | 1.33257502107752 | -0.0078750210775208 |
| 70 | 1.3267 | 1.33674005610321 | -0.0100400561032101 |
| 71 | 1.3621 | 1.37279347286208 | -0.0106934728620766 |
| 72 | 1.3479 | 1.3521152337468 | -0.00421523374680203 |
| 73 | 1.4011 | 1.39991049649269 | 0.00118950350730856 |
| 74 | 1.4135 | 1.42076131265783 | -0.00726131265783391 |
| 75 | 1.3964 | 1.39761110596634 | -0.00121110596634396 |
| 76 | 1.401 | 1.40634928100803 | -0.00534928100803171 |
| 77 | 1.3955 | 1.40544678250248 | -0.00994678250247943 |
| 78 | 1.4077 | 1.40318470183001 | 0.00451529816999115 |
| 79 | 1.3975 | 1.39672027627797 | 0.000779723722027607 |
| 80 | 1.3949 | 1.39989652427318 | -0.00499652427317535 |
| 81 | 1.4138 | 1.41172465878513 | 0.00207534121486782 |
| 82 | 1.421 | 1.41613689056844 | 0.0048631094315571 |
| 83 | 1.4253 | 1.41894234342721 | 0.00635765657278631 |
| 84 | 1.4169 | 1.40160126053983 | 0.0152987394601703 |
| 85 | 1.4174 | 1.41169901774844 | 0.0057009822515643 |
| 86 | 1.4346 | 1.43366221932288 | 0.000937780677124924 |
| 87 | 1.4296 | 1.42966976134705 | -6.97613470537839e-05 |
| 88 | 1.4311 | 1.43049764014485 | 0.000602359855147532 |
| 89 | 1.4594 | 1.45802276876578 | 0.00137723123422367 |
| 90 | 1.4722 | 1.46812052597438 | 0.00407947402561763 |
| 91 | 1.4669 | 1.46721802746883 | -0.000318027468829886 |
| 92 | 1.4571 | 1.46013561002274 | -0.00303561002273971 |
| 93 | 1.4709 | 1.46355905477556 | 0.00734094522443578 |
| 94 | 1.4893 | 1.48057832119757 | 0.0087216788024269 |
| 95 | 1.4997 | 1.49191206219429 | 0.0077879378057134 |
| 96 | 1.4713 | 1.47160461821544 | -0.000304618215444314 |
| 97 | 1.4846 | 1.48244396569692 | 0.00215603430308485 |
| 98 | 1.4914 | 1.48895736992001 | 0.0024426300799914 |
| 99 | 1.4859 | 1.48175135409511 | 0.00414864590489256 |
| 100 | 1.4957 | 1.49543346428923 | 0.000266535710774298 |
| 101 | 1.4843 | 1.48254192303903 | 0.00175807696097056 |
| 102 | 1.4619 | 1.4612456920297 | 0.000654307970299132 |
| 103 | 1.434 | 1.45094971673453 | -0.0169497167345306 |
| 104 | 1.4426 | 1.45919349826097 | -0.0165934982609748 |
| 105 | 1.4318 | 1.46014497543758 | -0.0283449754375845 |
| Goldfeld-Quandt test for Heteroskedasticity | |||
| p-values | Alternative Hypothesis | ||
| breakpoint index | greater | 2-sided | less |
| 7 | 0.77438339498394 | 0.451233210032119 | 0.225616605016059 |
| 8 | 0.757999239574625 | 0.48400152085075 | 0.242000760425375 |
| 9 | 0.946334611888813 | 0.107330776222375 | 0.0536653881111874 |
| 10 | 0.938708901738134 | 0.122582196523732 | 0.0612910982618662 |
| 11 | 0.940003654024696 | 0.119992691950608 | 0.0599963459753042 |
| 12 | 0.933967258302975 | 0.13206548339405 | 0.0660327416970248 |
| 13 | 0.920980260420663 | 0.158039479158673 | 0.0790197395793365 |
| 14 | 0.893288380464766 | 0.213423239070469 | 0.106711619535234 |
| 15 | 0.865137266203229 | 0.269725467593543 | 0.134862733796771 |
| 16 | 0.818342289229358 | 0.363315421541285 | 0.181657710770642 |
| 17 | 0.812516791047574 | 0.374966417904853 | 0.187483208952426 |
| 18 | 0.825648242945054 | 0.348703514109892 | 0.174351757054946 |
| 19 | 0.829912030467775 | 0.340175939064451 | 0.170087969532225 |
| 20 | 0.78752413879075 | 0.424951722418499 | 0.21247586120925 |
| 21 | 0.736759433912957 | 0.526481132174086 | 0.263240566087043 |
| 22 | 0.715072072567644 | 0.569855854864711 | 0.284927927432356 |
| 23 | 0.679674674067779 | 0.640650651864441 | 0.320325325932221 |
| 24 | 0.736277859605342 | 0.527444280789316 | 0.263722140394658 |
| 25 | 0.703414903762543 | 0.593170192474915 | 0.296585096237457 |
| 26 | 0.665310888350662 | 0.669378223298677 | 0.334689111649338 |
| 27 | 0.637450353198072 | 0.725099293603856 | 0.362549646801928 |
| 28 | 0.573993245972596 | 0.852013508054808 | 0.426006754027404 |
| 29 | 0.517034344839749 | 0.965931310320502 | 0.482965655160251 |
| 30 | 0.47222676118966 | 0.94445352237932 | 0.52777323881034 |
| 31 | 0.448102376815408 | 0.896204753630816 | 0.551897623184592 |
| 32 | 0.532036648138522 | 0.935926703722956 | 0.467963351861478 |
| 33 | 0.658066022595838 | 0.683867954808324 | 0.341933977404162 |
| 34 | 0.658320052900462 | 0.683359894199076 | 0.341679947099538 |
| 35 | 0.668280762584099 | 0.663438474831802 | 0.331719237415901 |
| 36 | 0.765670556433355 | 0.46865888713329 | 0.234329443566645 |
| 37 | 0.746437953725019 | 0.507124092549963 | 0.253562046274982 |
| 38 | 0.827831778847125 | 0.344336442305749 | 0.172168221152875 |
| 39 | 0.9313940194517 | 0.137211961096601 | 0.0686059805483005 |
| 40 | 0.964067767702191 | 0.071864464595618 | 0.035932232297809 |
| 41 | 0.98107723751329 | 0.03784552497342 | 0.01892276248671 |
| 42 | 0.985537793403855 | 0.0289244131922908 | 0.0144622065961454 |
| 43 | 0.997556698286251 | 0.00488660342749717 | 0.00244330171374859 |
| 44 | 0.999497116549567 | 0.00100576690086693 | 0.000502883450433463 |
| 45 | 0.999322548169708 | 0.00135490366058366 | 0.000677451830291829 |
| 46 | 0.998898700191496 | 0.00220259961700875 | 0.00110129980850438 |
| 47 | 0.999103213220306 | 0.00179357355938805 | 0.000896786779694024 |
| 48 | 0.999388006355366 | 0.00122398728926885 | 0.000611993644634427 |
| 49 | 0.999874294501066 | 0.00025141099786773 | 0.000125705498933865 |
| 50 | 0.999999084059317 | 1.83188136571279e-06 | 9.15940682856395e-07 |
| 51 | 0.999999639536443 | 7.20927113265874e-07 | 3.60463556632937e-07 |
| 52 | 0.999999754410521 | 4.91178957147809e-07 | 2.45589478573904e-07 |
| 53 | 0.999999759267462 | 4.81465075259227e-07 | 2.40732537629614e-07 |
| 54 | 0.999999779733563 | 4.40532873125863e-07 | 2.20266436562932e-07 |
| 55 | 0.999999968194616 | 6.36107680791894e-08 | 3.18053840395947e-08 |
| 56 | 0.999999949912205 | 1.0017559024552e-07 | 5.00877951227601e-08 |
| 57 | 0.999999968745664 | 6.250867205792e-08 | 3.125433602896e-08 |
| 58 | 0.999999937843727 | 1.24312545035866e-07 | 6.21562725179329e-08 |
| 59 | 0.999999942542782 | 1.14914435378617e-07 | 5.74572176893087e-08 |
| 60 | 0.99999998913661 | 2.17267800605479e-08 | 1.0863390030274e-08 |
| 61 | 0.999999996746206 | 6.5075882414319e-09 | 3.25379412071595e-09 |
| 62 | 0.999999999999383 | 1.23290746591488e-12 | 6.1645373295744e-13 |
| 63 | 0.999999999999896 | 2.08206348486043e-13 | 1.04103174243022e-13 |
| 64 | 0.99999999999978 | 4.39477377520254e-13 | 2.19738688760127e-13 |
| 65 | 0.999999999999218 | 1.56399654240196e-12 | 7.8199827120098e-13 |
| 66 | 0.999999999997818 | 4.36477102832621e-12 | 2.18238551416311e-12 |
| 67 | 0.99999999999668 | 6.6415370923481e-12 | 3.32076854617405e-12 |
| 68 | 0.999999999998465 | 3.06931001054293e-12 | 1.53465500527146e-12 |
| 69 | 0.999999999994537 | 1.09265163430817e-11 | 5.46325817154085e-12 |
| 70 | 0.999999999981732 | 3.6536406329531e-11 | 1.82682031647655e-11 |
| 71 | 0.999999999972228 | 5.55440681595651e-11 | 2.77720340797825e-11 |
| 72 | 0.99999999990068 | 1.98637474560796e-10 | 9.93187372803981e-11 |
| 73 | 0.999999999667523 | 6.64954652279563e-10 | 3.32477326139781e-10 |
| 74 | 0.999999999853847 | 2.92305850523509e-10 | 1.46152925261754e-10 |
| 75 | 0.999999999584464 | 8.3107224252552e-10 | 4.1553612126276e-10 |
| 76 | 0.999999999555019 | 8.89962929685978e-10 | 4.44981464842989e-10 |
| 77 | 0.999999999914596 | 1.70807535200674e-10 | 8.54037676003369e-11 |
| 78 | 0.999999999664378 | 6.71244236106391e-10 | 3.35622118053196e-10 |
| 79 | 0.999999998804318 | 2.39136310554524e-09 | 1.19568155277262e-09 |
| 80 | 0.999999998386167 | 3.22766664360217e-09 | 1.61383332180108e-09 |
| 81 | 0.999999995346982 | 9.30603576160273e-09 | 4.65301788080137e-09 |
| 82 | 0.999999983161316 | 3.36773679416142e-08 | 1.68386839708071e-08 |
| 83 | 0.99999993509882 | 1.29802361625884e-07 | 6.4901180812942e-08 |
| 84 | 0.999999984012312 | 3.19753762582353e-08 | 1.59876881291176e-08 |
| 85 | 0.999999976350928 | 4.72981442113844e-08 | 2.36490721056922e-08 |
| 86 | 0.999999893003077 | 2.13993845681972e-07 | 1.06996922840986e-07 |
| 87 | 0.999999555002997 | 8.89994006200225e-07 | 4.44997003100112e-07 |
| 88 | 0.999998726799907 | 2.54640018587547e-06 | 1.27320009293774e-06 |
| 89 | 0.999994901216426 | 1.01975671473276e-05 | 5.09878357366379e-06 |
| 90 | 0.999980883639132 | 3.82327217368198e-05 | 1.91163608684099e-05 |
| 91 | 0.999953535064205 | 9.29298715898294e-05 | 4.64649357949147e-05 |
| 92 | 0.999918445500926 | 0.000163108998148546 | 8.15544990742728e-05 |
| 93 | 0.999677321768294 | 0.000645356463412537 | 0.000322678231706268 |
| 94 | 0.998789084445309 | 0.00242183110938295 | 0.00121091555469147 |
| 95 | 0.99604885946725 | 0.00790228106549928 | 0.00395114053274964 |
| 96 | 0.990276754478945 | 0.0194464910421095 | 0.00972324552105474 |
| 97 | 0.980183056349163 | 0.0396338873016744 | 0.0198169436508372 |
| 98 | 0.962686362561575 | 0.0746272748768499 | 0.0373136374384249 |
| Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
| Description | # significant tests | % significant tests | OK/NOK |
| 1% type I error level | 53 | 0.576086956521739 | NOK |
| 5% type I error level | 57 | 0.619565217391304 | NOK |
| 10% type I error level | 59 | 0.641304347826087 | NOK |
