Multiple Linear Regression - Estimated Regression Equation |
FACEBOOK[t] = + 79.7010977883764 + 3.05029590367439e-09VOLUME[t] + 0.400014655840251LINKEDIN[t] -0.0342246195908013NASDAQ[t] -803.557770895446INF[t] + 0.319319243588694CONS.CONF[t] -0.0633668104448436t + 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) | 79.7010977883764 | 13.352216 | 5.9691 | 0 | 0 |
VOLUME | 3.05029590367439e-09 | 0 | 0.5284 | 0.59819 | 0.299095 |
0.400014655840251 | 0.061861 | 6.4663 | 0 | 0 | |
NASDAQ | -0.0342246195908013 | 0.005021 | -6.8166 | 0 | 0 |
INF | -803.557770895446 | 139.432064 | -5.7631 | 0 | 0 |
CONS.CONF | 0.319319243588694 | 0.104566 | 3.0538 | 0.002789 | 0.001394 |
t | -0.0633668104448436 | 0.012988 | -4.879 | 3e-06 | 2e-06 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.881418047339051 |
R-squared | 0.776897774174985 |
Adjusted R-squared | 0.765648922452715 |
F-TEST (value) | 69.0646292934006 |
F-TEST (DF numerator) | 6 |
F-TEST (DF denominator) | 119 |
p-value | 0 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 2.16874713884635 |
Sum Squared Residuals | 559.712234118255 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 27.72 | 29.5036222569916 | -1.78362225699164 |
2 | 26.9 | 28.8231839945665 | -1.92318399456647 |
3 | 25.86 | 28.9262288012381 | -3.06622880123807 |
4 | 26.81 | 26.6733005023004 | 0.13669949769961 |
5 | 26.31 | 27.3911635822101 | -1.08116358221007 |
6 | 27.1 | 27.1739530690861 | -0.0739530690860762 |
7 | 27 | 28.063388996905 | -1.06338899690502 |
8 | 27.4 | 26.8891747942828 | 0.510825205717217 |
9 | 27.27 | 28.0949248316067 | -0.824924831606657 |
10 | 28.29 | 28.528300448362 | -0.238300448361971 |
11 | 30.01 | 28.7862047645155 | 1.22379523548449 |
12 | 31.41 | 29.2100976541115 | 2.19990234588854 |
13 | 31.91 | 28.0033747984156 | 3.90662520158437 |
14 | 31.6 | 27.8417923294973 | 3.75820767050274 |
15 | 31.84 | 29.0078457517835 | 2.83215424821651 |
16 | 33.05 | 29.8251804808429 | 3.22481951915712 |
17 | 32.06 | 30.0174833917442 | 2.04251660825581 |
18 | 33.1 | 30.6909338670099 | 2.40906613299012 |
19 | 32.23 | 29.4114267477204 | 2.81857325227955 |
20 | 31.36 | 29.2268137007851 | 2.1331862992149 |
21 | 31.09 | 27.6528829156596 | 3.43711708434043 |
22 | 30.77 | 29.9522356295592 | 0.817764370440828 |
23 | 31.2 | 29.3860973449717 | 1.81390265502829 |
24 | 31.47 | 29.2052058699482 | 2.26479413005179 |
25 | 31.73 | 30.7202155161289 | 1.00978448387114 |
26 | 32.17 | 28.5158312195794 | 3.65416878042057 |
27 | 31.47 | 28.0692570788829 | 3.40074292111705 |
28 | 30.97 | 29.1132525975707 | 1.85674740242931 |
29 | 30.81 | 31.2145114342024 | -0.404511434202393 |
30 | 30.72 | 30.0743910942749 | 0.645608905725121 |
31 | 28.24 | 29.5037679319334 | -1.2637679319334 |
32 | 28.09 | 29.26194479874 | -1.17194479873996 |
33 | 29.11 | 28.3507430942971 | 0.759256905702883 |
34 | 29 | 29.0964345123705 | -0.0964345123704614 |
35 | 28.76 | 29.4610101167236 | -0.701010116723602 |
36 | 28.75 | 29.7782230764922 | -1.02822307649224 |
37 | 28.45 | 30.1577215997578 | -1.70772159975783 |
38 | 29.34 | 30.0897848378972 | -0.749784837897223 |
39 | 26.84 | 28.2782995002036 | -1.43829950020356 |
40 | 23.7 | 27.2249709377984 | -3.52497093779839 |
41 | 23.15 | 27.5988780970286 | -4.44887809702857 |
42 | 21.71 | 27.2213687144147 | -5.51136871441465 |
43 | 20.88 | 21.4204962451819 | -0.540496245181856 |
44 | 20.04 | 20.8983238054135 | -0.858323805413548 |
45 | 21.09 | 24.9200102724935 | -3.83001027249348 |
46 | 21.92 | 25.1580666980569 | -3.23806669805692 |
47 | 20.72 | 22.2938475088447 | -1.57384750884475 |
48 | 20.72 | 21.6583143963587 | -0.938314396358663 |
49 | 21.01 | 21.419606728787 | -0.409606728786986 |
50 | 21.8 | 21.187090178138 | 0.612909821862015 |
51 | 21.6 | 20.936436259237 | 0.663563740763042 |
52 | 20.38 | 19.9695395721034 | 0.41046042789661 |
53 | 21.2 | 19.6433165106488 | 1.55668348935119 |
54 | 19.87 | 19.5412951229283 | 0.328704877071659 |
55 | 19.05 | 17.8540929054272 | 1.19590709457283 |
56 | 20.01 | 18.3416167024842 | 1.66838329751583 |
57 | 19.15 | 19.4240637507557 | -0.274063750755696 |
58 | 19.43 | 19.2621709100662 | 0.167829089933833 |
59 | 19.44 | 19.7245788760687 | -0.284578876068655 |
60 | 19.4 | 18.9666322271646 | 0.433367772835427 |
61 | 19.15 | 18.5836699369619 | 0.566330063038076 |
62 | 19.34 | 19.5356151722321 | -0.195615172232134 |
63 | 19.1 | 19.9011957688356 | -0.801195768835559 |
64 | 19.08 | 20.3416507363546 | -1.26165073635464 |
65 | 18.05 | 19.7112169704067 | -1.66121697040674 |
66 | 17.72 | 19.8238998751047 | -2.10389987510475 |
67 | 18.58 | 22.366951258058 | -3.78695125805804 |
68 | 18.96 | 22.3097406562448 | -3.34974065624485 |
69 | 18.98 | 22.1718989883518 | -3.19189898835177 |
70 | 18.81 | 22.686088957754 | -3.87608895775396 |
71 | 19.43 | 22.714177315567 | -3.28417731556705 |
72 | 20.93 | 23.2020117802155 | -2.27201178021554 |
73 | 20.71 | 21.513287515525 | -0.803287515525031 |
74 | 22 | 22.0154046678817 | -0.0154046678817468 |
75 | 21.52 | 21.3332630290985 | 0.186736970901515 |
76 | 21.87 | 21.2692815661462 | 0.600718433853786 |
77 | 23.29 | 21.6005591414745 | 1.68944085852554 |
78 | 22.59 | 21.8078245041948 | 0.78217549580523 |
79 | 22.86 | 21.6134046115066 | 1.24659538849337 |
80 | 20.79 | 22.2352782236743 | -1.44527822367432 |
81 | 20.28 | 22.4211936923814 | -2.14119369238142 |
82 | 20.62 | 22.3999452816303 | -1.77994528163034 |
83 | 20.32 | 21.4875019791403 | -1.16750197914034 |
84 | 21.66 | 22.5451433853471 | -0.885143385347113 |
85 | 21.99 | 21.0748259380289 | 0.915174061971145 |
86 | 22.27 | 21.0538020482518 | 1.21619795174821 |
87 | 21.83 | 21.642732025017 | 0.187267974982968 |
88 | 21.94 | 21.2569140713092 | 0.683085928690755 |
89 | 20.91 | 20.3691598610983 | 0.540840138901703 |
90 | 20.4 | 20.7523975045748 | -0.352397504574753 |
91 | 20.22 | 20.3333618106323 | -0.113361810632265 |
92 | 19.64 | 20.3241946734307 | -0.684194673430748 |
93 | 19.75 | 21.0046512078556 | -1.25465120785565 |
94 | 19.51 | 19.7692923727157 | -0.259292372715693 |
95 | 19.52 | 19.1993476801555 | 0.320652319844481 |
96 | 19.48 | 18.0070843010412 | 1.47291569895877 |
97 | 19.88 | 17.2064589063734 | 2.67354109362656 |
98 | 18.97 | 18.01712597682 | 0.952874023180039 |
99 | 19 | 19.3425929145485 | -0.3425929145485 |
100 | 19.32 | 19.1075009889169 | 0.212499011083149 |
101 | 19.5 | 18.8130874377902 | 0.686912562209804 |
102 | 23.22 | 20.8936798886748 | 2.32632011132522 |
103 | 22.56 | 19.4824087779952 | 3.07759122200479 |
104 | 21.94 | 18.6869214748545 | 3.25307852514555 |
105 | 21.11 | 20.2149039119682 | 0.895096088031816 |
106 | 21.21 | 21.6797828400832 | -0.46978284008321 |
107 | 21.18 | 22.8886215527982 | -1.70862155279818 |
108 | 21.25 | 22.4093064989222 | -1.15930649892217 |
109 | 21.17 | 20.6576556328581 | 0.51234436714188 |
110 | 20.47 | 21.9899552929959 | -1.51995529299586 |
111 | 19.99 | 21.4123258173874 | -1.42232581738742 |
112 | 19.21 | 20.7638644015767 | -1.5538644015767 |
113 | 20.07 | 22.1495679198917 | -2.07956791989173 |
114 | 19.86 | 22.9004888030905 | -3.04048880309053 |
115 | 22.36 | 24.3907594519327 | -2.03075945193273 |
116 | 22.17 | 24.9588405920462 | -2.7888405920462 |
117 | 23.56 | 25.4196839273442 | -1.85968392734424 |
118 | 22.92 | 24.0946997389834 | -1.17469973898341 |
119 | 23.1 | 24.3852550005752 | -1.28525500057521 |
120 | 24.32 | 24.4478921867117 | -0.127892186711741 |
121 | 23.99 | 22.8336439723511 | 1.15635602764888 |
122 | 25.94 | 23.1971525389266 | 2.74284746107344 |
123 | 26.15 | 22.8340651054281 | 3.31593489457194 |
124 | 26.36 | 21.942090769522 | 4.41790923047804 |
125 | 27.32 | 21.0100290908858 | 6.3099709091142 |
126 | 28 | 21.5367487269806 | 6.46325127301941 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
10 | 0.101207748507319 | 0.202415497014638 | 0.898792251492681 |
11 | 0.0487487189410441 | 0.0974974378820882 | 0.951251281058956 |
12 | 0.0195015997113481 | 0.0390031994226963 | 0.980498400288652 |
13 | 0.0128179790378975 | 0.025635958075795 | 0.987182020962103 |
14 | 0.00603881202877778 | 0.0120776240575556 | 0.993961187971222 |
15 | 0.0054362599974892 | 0.0108725199949784 | 0.994563740002511 |
16 | 0.00230092199787983 | 0.00460184399575965 | 0.99769907800212 |
17 | 0.000891531507059209 | 0.00178306301411842 | 0.999108468492941 |
18 | 0.000352502113745689 | 0.000705004227491378 | 0.999647497886254 |
19 | 0.00014980596765297 | 0.00029961193530594 | 0.999850194032347 |
20 | 6.2378103624103e-05 | 0.000124756207248206 | 0.999937621896376 |
21 | 5.44292083757177e-05 | 0.000108858416751435 | 0.999945570791624 |
22 | 1.88768092840499e-05 | 3.77536185680998e-05 | 0.999981123190716 |
23 | 7.2686628941184e-06 | 1.45373257882368e-05 | 0.999992731337106 |
24 | 3.41872013235863e-06 | 6.83744026471726e-06 | 0.999996581279868 |
25 | 1.35533009257876e-06 | 2.71066018515752e-06 | 0.999998644669907 |
26 | 2.77701394268301e-05 | 5.55402788536601e-05 | 0.999972229860573 |
27 | 3.85678231706312e-05 | 7.71356463412623e-05 | 0.999961432176829 |
28 | 2.64915652662776e-05 | 5.29831305325551e-05 | 0.999973508434734 |
29 | 5.78388112489787e-05 | 0.000115677622497957 | 0.999942161188751 |
30 | 0.000104856204250677 | 0.000209712408501355 | 0.999895143795749 |
31 | 0.00284415419415261 | 0.00568830838830523 | 0.997155845805847 |
32 | 0.0122861642534483 | 0.0245723285068966 | 0.987713835746552 |
33 | 0.0157633554663113 | 0.0315267109326225 | 0.984236644533689 |
34 | 0.0423605132453073 | 0.0847210264906147 | 0.957639486754693 |
35 | 0.0642898287497229 | 0.128579657499446 | 0.935710171250277 |
36 | 0.0755980620673561 | 0.151196124134712 | 0.924401937932644 |
37 | 0.0890830406867035 | 0.178166081373407 | 0.910916959313297 |
38 | 0.164430243990686 | 0.328860487981371 | 0.835569756009314 |
39 | 0.258405497621372 | 0.516810995242745 | 0.741594502378628 |
40 | 0.351923600404053 | 0.703847200808106 | 0.648076399595947 |
41 | 0.709053709151405 | 0.58189258169719 | 0.290946290848595 |
42 | 0.844315063756225 | 0.31136987248755 | 0.155684936243775 |
43 | 0.866353057723156 | 0.267293884553687 | 0.133646942276844 |
44 | 0.888777609523072 | 0.222444780953855 | 0.111222390476927 |
45 | 0.968915774205065 | 0.0621684515898705 | 0.0310842257949352 |
46 | 0.990068567877963 | 0.0198628642440747 | 0.00993143212203737 |
47 | 0.989655567100389 | 0.0206888657992215 | 0.0103444328996107 |
48 | 0.989920408500464 | 0.0201591829990713 | 0.0100795914995356 |
49 | 0.992398346288808 | 0.0152033074223839 | 0.00760165371119196 |
50 | 0.997475205103963 | 0.00504958979207374 | 0.00252479489603687 |
51 | 0.999523953692922 | 0.000952092614155842 | 0.000476046307077921 |
52 | 0.999894075994735 | 0.000211848010529658 | 0.000105924005264829 |
53 | 0.999997492267613 | 5.01546477297479e-06 | 2.50773238648739e-06 |
54 | 0.999998134490253 | 3.7310194935707e-06 | 1.86550974678535e-06 |
55 | 0.999997512138452 | 4.97572309628935e-06 | 2.48786154814468e-06 |
56 | 0.999997471363896 | 5.05727220795855e-06 | 2.52863610397927e-06 |
57 | 0.999995902705526 | 8.19458894823363e-06 | 4.09729447411681e-06 |
58 | 0.999994238364481 | 1.15232710378569e-05 | 5.76163551892847e-06 |
59 | 0.999994026280446 | 1.1947439108708e-05 | 5.97371955435399e-06 |
60 | 0.999993350100418 | 1.32997991637347e-05 | 6.64989958186733e-06 |
61 | 0.9999929010921 | 1.41978157991102e-05 | 7.0989078995551e-06 |
62 | 0.999991146966099 | 1.77060678019167e-05 | 8.85303390095833e-06 |
63 | 0.999988984549168 | 2.20309016631703e-05 | 1.10154508315852e-05 |
64 | 0.999987055008405 | 2.58899831893241e-05 | 1.2944991594662e-05 |
65 | 0.999982474626702 | 3.50507465968246e-05 | 1.75253732984123e-05 |
66 | 0.999995396554397 | 9.20689120623793e-06 | 4.60344560311897e-06 |
67 | 0.99999653880433 | 6.92239133904953e-06 | 3.46119566952476e-06 |
68 | 0.99999500109775 | 9.99780450005468e-06 | 4.99890225002734e-06 |
69 | 0.999991427905967 | 1.71441880668044e-05 | 8.5720940334022e-06 |
70 | 0.999985960814739 | 2.80783705221547e-05 | 1.40391852610773e-05 |
71 | 0.999977617432662 | 4.4765134676904e-05 | 2.2382567338452e-05 |
72 | 0.999968830386064 | 6.233922787223e-05 | 3.1169613936115e-05 |
73 | 0.999958415826205 | 8.31683475898855e-05 | 4.15841737949428e-05 |
74 | 0.999940922436049 | 0.000118155127901959 | 5.90775639509796e-05 |
75 | 0.999925999518411 | 0.000148000963178072 | 7.40004815890359e-05 |
76 | 0.999934570026722 | 0.000130859946555948 | 6.5429973277974e-05 |
77 | 0.999977263818275 | 4.54723634505834e-05 | 2.27361817252917e-05 |
78 | 0.999982724437042 | 3.45511259166251e-05 | 1.72755629583125e-05 |
79 | 0.999992561764592 | 1.4876470815601e-05 | 7.43823540780048e-06 |
80 | 0.999988352377178 | 2.32952456445109e-05 | 1.16476228222555e-05 |
81 | 0.999978306465898 | 4.33870682047114e-05 | 2.16935341023557e-05 |
82 | 0.999969417362694 | 6.11652746126115e-05 | 3.05826373063058e-05 |
83 | 0.999947631338239 | 0.00010473732352217 | 5.23686617610851e-05 |
84 | 0.999919821579379 | 0.000160356841241108 | 8.01784206205538e-05 |
85 | 0.999986055325365 | 2.78893492698543e-05 | 1.39446746349272e-05 |
86 | 0.999998818396223 | 2.36320755433676e-06 | 1.18160377716838e-06 |
87 | 0.999998692514792 | 2.61497041565656e-06 | 1.30748520782828e-06 |
88 | 0.999998267225723 | 3.4655485530142e-06 | 1.7327742765071e-06 |
89 | 0.9999972545412 | 5.49091759902609e-06 | 2.74545879951304e-06 |
90 | 0.999994531580776 | 1.09368384479518e-05 | 5.4684192239759e-06 |
91 | 0.999995745770607 | 8.50845878499629e-06 | 4.25422939249815e-06 |
92 | 0.999993561233237 | 1.28775335252117e-05 | 6.43876676260583e-06 |
93 | 0.999987443574904 | 2.5112850191491e-05 | 1.25564250957455e-05 |
94 | 0.999981802568168 | 3.63948636630227e-05 | 1.81974318315114e-05 |
95 | 0.999966568754247 | 6.68624915060665e-05 | 3.34312457530333e-05 |
96 | 0.999945526197265 | 0.000108947605470757 | 5.44738027353785e-05 |
97 | 0.999928007048569 | 0.00014398590286174 | 7.199295143087e-05 |
98 | 0.999964350970204 | 7.12980595912195e-05 | 3.56490297956097e-05 |
99 | 0.999948874640183 | 0.000102250719634552 | 5.1125359817276e-05 |
100 | 0.999957327013121 | 8.53459737573831e-05 | 4.26729868786915e-05 |
101 | 0.999970804909058 | 5.83901818846306e-05 | 2.91950909423153e-05 |
102 | 0.999955294798184 | 8.94104036328457e-05 | 4.47052018164229e-05 |
103 | 0.999956456923054 | 8.70861538928921e-05 | 4.3543076946446e-05 |
104 | 0.999990547534967 | 1.89049300657396e-05 | 9.45246503286981e-06 |
105 | 0.999970823157946 | 5.83536841069447e-05 | 2.91768420534724e-05 |
106 | 0.99991629902071 | 0.000167401958579181 | 8.37009792895904e-05 |
107 | 0.999799480743413 | 0.000401038513174177 | 0.000200519256587089 |
108 | 0.999458255723603 | 0.00108348855279457 | 0.000541744276397283 |
109 | 0.998921187669703 | 0.00215762466059452 | 0.00107881233029726 |
110 | 0.999558348335348 | 0.00088330332930346 | 0.00044165166465173 |
111 | 0.999939260227595 | 0.000121479544810499 | 6.07397724052496e-05 |
112 | 0.999805279288177 | 0.000389441423647021 | 0.000194720711823511 |
113 | 0.99992321751026 | 0.000153564979480016 | 7.67824897400079e-05 |
114 | 0.999530690207503 | 0.000938619584993393 | 0.000469309792496697 |
115 | 0.998357887645941 | 0.00328422470811766 | 0.00164211235405883 |
116 | 0.992509508051673 | 0.0149809838966548 | 0.00749049194832739 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 82 | 0.766355140186916 | NOK |
5% type I error level | 93 | 0.869158878504673 | NOK |
10% type I error level | 96 | 0.897196261682243 | NOK |