Multiple Linear Regression - Estimated Regression Equation |
FACEBOOK[t] = + 110.317328010726 -5.29796186625743e-09VOLUME[t] + 0.529574074143094LINKEDIN[t] -0.0422051117111733NASDAQ[t] -715.090964814529INFLATION[t] -0.191049313170624CONS.CONF[t] + 57.0463126358806FED.FUNDS.RATE[t] + 0.496712339624463M1[t] + 0.617083335648218M2[t] + 0.0583013002444314M3[t] + 0.417080547551598M4[t] + 0.160868652950662M5[t] + 0.285573118946714M6[t] -0.0014167468113675M7[t] -0.434289053597319M8[t] -0.936679221719422M9[t] -1.4897352646202M10[t] -0.946967387637012M11[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) | 110.317328010726 | 11.0029 | 10.0262 | 0 | 0 |
VOLUME | -5.29796186625743e-09 | 0 | -0.8737 | 0.384228 | 0.192114 |
0.529574074143094 | 0.05862 | 9.034 | 0 | 0 | |
NASDAQ | -0.0422051117111733 | 0.004851 | -8.701 | 0 | 0 |
INFLATION | -715.090964814529 | 147.639234 | -4.8435 | 4e-06 | 2e-06 |
CONS.CONF | -0.191049313170624 | 0.06784 | -2.8162 | 0.005779 | 0.002889 |
FED.FUNDS.RATE | 57.0463126358806 | 15.806647 | 3.609 | 0.000467 | 0.000234 |
M1 | 0.496712339624463 | 0.992967 | 0.5002 | 0.617931 | 0.308965 |
M2 | 0.617083335648218 | 0.992751 | 0.6216 | 0.535522 | 0.267761 |
M3 | 0.0583013002444314 | 0.997573 | 0.0584 | 0.953504 | 0.476752 |
M4 | 0.417080547551598 | 0.996448 | 0.4186 | 0.676364 | 0.338182 |
M5 | 0.160868652950662 | 0.992406 | 0.1621 | 0.87153 | 0.435765 |
M6 | 0.285573118946714 | 1.009388 | 0.2829 | 0.777782 | 0.388891 |
M7 | -0.0014167468113675 | 1.042858 | -0.0014 | 0.998919 | 0.499459 |
M8 | -0.434289053597319 | 1.028114 | -0.4224 | 0.673563 | 0.336782 |
M9 | -0.936679221719422 | 1.016687 | -0.9213 | 0.358945 | 0.179472 |
M10 | -1.4897352646202 | 1.012796 | -1.4709 | 0.144222 | 0.072111 |
M11 | -0.946967387637012 | 1.009266 | -0.9383 | 0.350197 | 0.175099 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.884693869679452 |
R-squared | 0.782683243048404 |
Adjusted R-squared | 0.748475975750467 |
F-TEST (value) | 22.8806129478697 |
F-TEST (DF numerator) | 17 |
F-TEST (DF denominator) | 108 |
p-value | 0 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 2.24680394762341 |
Sum Squared Residuals | 545.197821738064 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 27.72 | 28.8031745216087 | -1.0831745216087 |
2 | 26.9 | 28.7778957383713 | -1.8778957383713 |
3 | 25.86 | 28.4287384147402 | -2.5687384147402 |
4 | 26.81 | 25.3471577577755 | 1.46284224222447 |
5 | 26.31 | 26.412204738805 | -0.102204738805046 |
6 | 27.1 | 27.1972611034376 | -0.0972611034376203 |
7 | 27 | 27.7926936228178 | -0.79269362281779 |
8 | 27.4 | 25.537922827071 | 1.86207717292901 |
9 | 27.27 | 27.1980869717298 | 0.0719130282701972 |
10 | 28.29 | 27.3602358791685 | 0.929764120831449 |
11 | 30.01 | 28.762900948027 | 1.24709905197303 |
12 | 31.41 | 29.859645102238 | 1.55035489776196 |
13 | 31.91 | 29.0628316391285 | 2.84716836087152 |
14 | 31.6 | 28.6274852367701 | 2.9725147632299 |
15 | 31.84 | 29.9864931287219 | 1.85350687127807 |
16 | 33.05 | 31.1331126728504 | 1.91688732714964 |
17 | 32.06 | 31.4990778159326 | 0.560922184067391 |
18 | 33.1 | 32.0801004946217 | 1.0198995053783 |
19 | 32.23 | 29.6434366734732 | 2.58656332652681 |
20 | 31.36 | 29.0715779548374 | 2.28842204516265 |
21 | 31.09 | 23.3949354526231 | 7.69506454737686 |
22 | 30.77 | 28.8848316395118 | 1.88516836048818 |
23 | 31.2 | 28.3185679579051 | 2.88143204209486 |
24 | 31.47 | 29.0982902048501 | 2.3717097951499 |
25 | 31.73 | 31.555621290854 | 0.174378709145987 |
26 | 32.17 | 28.7606653695924 | 3.40933463040757 |
27 | 31.47 | 27.6360071129346 | 3.83399288706544 |
28 | 30.97 | 29.4278412790566 | 1.54215872094338 |
29 | 30.81 | 32.5560242931394 | -1.74602429313945 |
30 | 30.72 | 31.98679052881 | -1.26679052881002 |
31 | 28.24 | 30.2684398206477 | -2.02843982064765 |
32 | 28.09 | 29.0147991667483 | -0.924799166748252 |
33 | 29.11 | 27.047586587716 | 2.06241341228395 |
34 | 29 | 25.955858538739 | 3.04414146126102 |
35 | 28.76 | 26.9560978338882 | 1.80390216611177 |
36 | 28.75 | 28.863311114622 | -0.113311114621973 |
37 | 28.45 | 30.4406086872232 | -1.99060868722317 |
38 | 29.34 | 30.478866334416 | -1.13886633441603 |
39 | 26.84 | 26.7431991995973 | 0.0968008004027293 |
40 | 23.7 | 25.4138073117127 | -1.71380731171269 |
41 | 23.15 | 26.57380910417 | -3.42380910417 |
42 | 21.71 | 25.442844267331 | -3.73284426733102 |
43 | 20.88 | 21.6710123234214 | -0.791012323421387 |
44 | 20.04 | 20.4883793292217 | -0.448379329221684 |
45 | 21.09 | 25.3471494540006 | -4.25714945400056 |
46 | 21.92 | 25.7552859529671 | -3.83528595296709 |
47 | 20.72 | 22.0164346530825 | -1.29643465308248 |
48 | 20.72 | 22.2586864498303 | -1.53868644983028 |
49 | 21.01 | 22.6760624155855 | -1.66606241558551 |
50 | 21.8 | 22.4850164477953 | -0.685016447795306 |
51 | 21.6 | 21.6909995061317 | -0.0909995061317235 |
52 | 20.38 | 20.7050802854053 | -0.325080285405276 |
53 | 21.2 | 20.0628577819135 | 1.13714221808653 |
54 | 19.87 | 19.2116803971472 | 0.65831960285282 |
55 | 19.05 | 17.0816340357614 | 1.9683659642386 |
56 | 20.01 | 17.6405449020264 | 2.36945509797364 |
57 | 19.15 | 18.9105115907467 | 0.239488409253275 |
58 | 19.43 | 18.4402132226067 | 0.989786777393278 |
59 | 19.44 | 19.7751395030628 | -0.335139503062833 |
60 | 19.4 | 19.8829297527112 | -0.482929752711182 |
61 | 19.15 | 20.0504189195931 | -0.900418919593117 |
62 | 19.34 | 21.4829590271889 | -2.14295902718892 |
63 | 19.1 | 21.591751127392 | -2.491751127392 |
64 | 19.08 | 22.9517880700121 | -3.87178807001207 |
65 | 18.05 | 21.169239373462 | -3.11923937346204 |
66 | 17.72 | 17.7607815200774 | -0.0407815200773515 |
67 | 18.58 | 21.9121490260412 | -3.33214902604117 |
68 | 18.96 | 21.8305737935665 | -2.8705737935665 |
69 | 18.98 | 20.7516069545223 | -1.77160695452225 |
70 | 18.81 | 20.9706408527037 | -2.16064085270366 |
71 | 19.43 | 21.4251569689556 | -1.99515696895562 |
72 | 20.93 | 22.4408077092004 | -1.51080770920041 |
73 | 20.71 | 21.4421472465046 | -0.732147246504564 |
74 | 22 | 22.8959909847409 | -0.895990984740864 |
75 | 21.52 | 21.7080900883637 | -0.188090088363669 |
76 | 21.87 | 22.1931017347724 | -0.323101734772358 |
77 | 23.29 | 21.5133289398006 | 1.77667106019941 |
78 | 22.59 | 22.7459985291156 | -0.155998529115623 |
79 | 22.86 | 21.7830332155491 | 1.07696678445093 |
80 | 20.79 | 22.5086665002008 | -1.71866650020081 |
81 | 20.28 | 21.9384075439583 | -1.65840754395825 |
82 | 20.62 | 22.0112648740713 | -1.39126487407134 |
83 | 20.32 | 20.498306794838 | -0.178306794837998 |
84 | 21.66 | 19.6837343556432 | 1.97626564435684 |
85 | 21.99 | 20.7391566049903 | 1.25084339500965 |
86 | 22.27 | 21.7109210437843 | 0.559078956215745 |
87 | 21.83 | 22.037989934914 | -0.207989934913971 |
88 | 21.94 | 21.3072033088989 | 0.632796691101102 |
89 | 20.91 | 19.9750303366097 | 0.934969663390306 |
90 | 20.4 | 20.6944100326118 | -0.29441003261182 |
91 | 20.22 | 20.4073699540117 | -0.187369954011728 |
92 | 19.64 | 19.8916515875481 | -0.251651587548112 |
93 | 19.75 | 20.529826665949 | -0.779826665949009 |
94 | 19.51 | 18.4372994767354 | 1.0727005232646 |
95 | 19.52 | 18.3585482479827 | 1.16145175201727 |
96 | 19.48 | 17.91030681172 | 1.56969318828004 |
97 | 19.88 | 16.6623627753808 | 3.21763722461922 |
98 | 18.97 | 17.7677852839928 | 1.20221471600721 |
99 | 19 | 19.5707790162542 | -0.570779016254242 |
100 | 19.32 | 19.1902962453187 | 0.129703754681291 |
101 | 19.5 | 18.1723819173625 | 1.3276180826375 |
102 | 23.22 | 20.7919472576911 | 2.42805274230892 |
103 | 22.56 | 19.5857841645624 | 2.97421583543757 |
104 | 21.94 | 18.8060056469988 | 3.13399435300118 |
105 | 21.11 | 20.6841980050417 | 0.425801994958305 |
106 | 21.21 | 20.8978126654517 | 0.312187334548324 |
107 | 21.18 | 22.4302974840284 | -1.25029748402836 |
108 | 21.25 | 23.5126892942705 | -2.26268929427053 |
109 | 21.17 | 21.267342598223 | -0.0973425982230165 |
110 | 20.47 | 22.9633525622289 | -2.49335256222885 |
111 | 19.99 | 21.5872214965525 | -1.59722149655246 |
112 | 19.21 | 21.1241427596646 | -1.9141427596646 |
113 | 20.07 | 22.5513846562342 | -2.48138465623421 |
114 | 19.86 | 23.6506942381306 | -3.79069423813057 |
115 | 22.36 | 23.8344471637142 | -1.47444716371418 |
116 | 22.17 | 25.6098782917811 | -3.43987829178111 |
117 | 23.56 | 25.5876907737125 | -2.02769077371251 |
118 | 22.92 | 23.7665568980448 | -0.846556898044766 |
119 | 23.1 | 25.1385496082296 | -2.03854960822963 |
120 | 24.32 | 25.8795992049144 | -1.55959920491437 |
121 | 23.99 | 25.0102733009083 | -1.02027330090829 |
122 | 25.94 | 24.8490619711192 | 1.09093802888085 |
123 | 26.15 | 24.218730974398 | 1.93126902560204 |
124 | 26.36 | 23.8964685745329 | 2.46353142546711 |
125 | 27.32 | 22.1846610425704 | 5.13533895742962 |
126 | 28 | 22.727491631026 | 5.27250836897399 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
21 | 0.0645414221287039 | 0.129082844257408 | 0.935458577871296 |
22 | 0.0196117079416961 | 0.0392234158833922 | 0.980388292058304 |
23 | 0.0117215992877539 | 0.0234431985755078 | 0.988278400712246 |
24 | 0.00367569876118179 | 0.00735139752236357 | 0.996324301238818 |
25 | 0.0055243554633096 | 0.0110487109266192 | 0.99447564453669 |
26 | 0.0279747662797428 | 0.0559495325594855 | 0.972025233720257 |
27 | 0.0843249179602182 | 0.168649835920436 | 0.915675082039782 |
28 | 0.0619926568683416 | 0.123985313736683 | 0.938007343131658 |
29 | 0.0447836403409481 | 0.0895672806818962 | 0.955216359659052 |
30 | 0.0295395911850445 | 0.059079182370089 | 0.970460408814956 |
31 | 0.0319761183514184 | 0.0639522367028369 | 0.968023881648582 |
32 | 0.0323148922169607 | 0.0646297844339214 | 0.967685107783039 |
33 | 0.0287368909325533 | 0.0574737818651066 | 0.971263109067447 |
34 | 0.0449940051350498 | 0.0899880102700996 | 0.95500599486495 |
35 | 0.0613486966310529 | 0.122697393262106 | 0.938651303368947 |
36 | 0.0633252313548281 | 0.126650462709656 | 0.936674768645172 |
37 | 0.0701445287552289 | 0.140289057510458 | 0.929855471244771 |
38 | 0.0788614092438967 | 0.157722818487793 | 0.921138590756103 |
39 | 0.0720692064722961 | 0.144138412944592 | 0.927930793527704 |
40 | 0.0768018808933697 | 0.153603761786739 | 0.92319811910663 |
41 | 0.257888999077411 | 0.515777998154822 | 0.742111000922589 |
42 | 0.252098956914643 | 0.504197913829285 | 0.747901043085357 |
43 | 0.211265683358205 | 0.422531366716409 | 0.788734316641795 |
44 | 0.17429300733329 | 0.34858601466658 | 0.82570699266671 |
45 | 0.286869078736889 | 0.573738157473778 | 0.713130921263111 |
46 | 0.505478211967128 | 0.989043576065744 | 0.494521788032872 |
47 | 0.500053088236544 | 0.999893823526913 | 0.499946911763456 |
48 | 0.478431268708441 | 0.956862537416883 | 0.521568731291559 |
49 | 0.466888128322414 | 0.933776256644828 | 0.533111871677586 |
50 | 0.446033770072452 | 0.892067540144904 | 0.553966229927548 |
51 | 0.433701418200562 | 0.867402836401125 | 0.566298581799438 |
52 | 0.396118425234236 | 0.792236850468473 | 0.603881574765764 |
53 | 0.525773027871128 | 0.948453944257745 | 0.474226972128872 |
54 | 0.702697482720423 | 0.594605034559155 | 0.297302517279577 |
55 | 0.65906747327007 | 0.68186505345986 | 0.34093252672993 |
56 | 0.611154110573633 | 0.777691778852734 | 0.388845889426367 |
57 | 0.575693235871305 | 0.84861352825739 | 0.424306764128695 |
58 | 0.542206839042936 | 0.915586321914128 | 0.457793160957064 |
59 | 0.539701124843114 | 0.920597750313772 | 0.460298875156886 |
60 | 0.552873912450499 | 0.894252175099002 | 0.447126087549501 |
61 | 0.561487769230037 | 0.877024461539927 | 0.438512230769963 |
62 | 0.644330030965197 | 0.711339938069606 | 0.355669969034803 |
63 | 0.736070296438989 | 0.527859407122022 | 0.263929703561011 |
64 | 0.801034021910459 | 0.397931956179081 | 0.198965978089541 |
65 | 0.895067645824874 | 0.209864708350253 | 0.104932354175127 |
66 | 0.997993414621073 | 0.00401317075785345 | 0.00200658537892672 |
67 | 0.997807824242725 | 0.00438435151454951 | 0.00219217575727475 |
68 | 0.99770891748654 | 0.00458216502692092 | 0.00229108251346046 |
69 | 0.996856468234951 | 0.00628706353009705 | 0.00314353176504853 |
70 | 0.995165636203892 | 0.00966872759221596 | 0.00483436379610798 |
71 | 0.992586827036556 | 0.0148263459268889 | 0.00741317296344447 |
72 | 0.989643091808487 | 0.0207138163830256 | 0.0103569081915128 |
73 | 0.9863866737875 | 0.0272266524250009 | 0.0136133262125005 |
74 | 0.980642673413846 | 0.0387146531723088 | 0.0193573265861544 |
75 | 0.973648750197601 | 0.0527024996047976 | 0.0263512498023988 |
76 | 0.963976997502624 | 0.0720460049947518 | 0.0360230024973759 |
77 | 0.964745874587935 | 0.0705082508241298 | 0.0352541254120649 |
78 | 0.952888273893118 | 0.0942234522137632 | 0.0471117261068816 |
79 | 0.942907348490021 | 0.114185303019958 | 0.0570926515099792 |
80 | 0.947990041548729 | 0.104019916902543 | 0.0520099584512713 |
81 | 0.937212849334721 | 0.125574301330557 | 0.0627871506652786 |
82 | 0.913306140265902 | 0.173387719468196 | 0.0866938597340982 |
83 | 0.892681660941714 | 0.214636678116571 | 0.107318339058286 |
84 | 0.86663998785053 | 0.266720024298941 | 0.13336001214947 |
85 | 0.839576501596241 | 0.320846996807517 | 0.160423498403759 |
86 | 0.798271585639551 | 0.403456828720898 | 0.201728414360449 |
87 | 0.773150924748442 | 0.453698150503116 | 0.226849075251558 |
88 | 0.775507426348451 | 0.448985147303098 | 0.224492573651549 |
89 | 0.810427379886832 | 0.379145240226335 | 0.189572620113168 |
90 | 0.831267655491913 | 0.337464689016174 | 0.168732344508087 |
91 | 0.8411248496315 | 0.317750300737 | 0.1588751503685 |
92 | 0.945647749662933 | 0.108704500674134 | 0.0543522503370669 |
93 | 0.984933322495558 | 0.030133355008885 | 0.0150666775044425 |
94 | 0.97429770994057 | 0.0514045801188594 | 0.0257022900594297 |
95 | 0.956953882476154 | 0.0860922350476924 | 0.0430461175238462 |
96 | 0.931045207223 | 0.137909585553999 | 0.0689547927769997 |
97 | 0.900864500668895 | 0.19827099866221 | 0.0991354993311051 |
98 | 0.872797381965312 | 0.254405236069377 | 0.127202618034688 |
99 | 0.871449470427328 | 0.257101059145344 | 0.128550529572672 |
100 | 0.934032521649848 | 0.131934956700304 | 0.0659674783501521 |
101 | 0.970358242847448 | 0.059283514305103 | 0.0296417571525515 |
102 | 0.953907199057413 | 0.0921856018851742 | 0.0460928009425871 |
103 | 0.904795779509167 | 0.190408440981667 | 0.0952042204908334 |
104 | 0.820687875850153 | 0.358624248299694 | 0.179312124149847 |
105 | 0.672811036370008 | 0.654377927259983 | 0.327188963629992 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 6 | 0.0705882352941176 | NOK |
5% type I error level | 14 | 0.164705882352941 | NOK |
10% type I error level | 29 | 0.341176470588235 | NOK |