Multiple Linear Regression - Estimated Regression Equation |
FACEBOOK[t] = + 85.9756592322684 + 1.90325628911773e-09VOLUME[t] + 0.438801118310016LINKEDIN[t] -0.0369269949431735NASDAQ[t] -774.467044172896INF[t] + 0.272431324933638CONS.CONF[t] + 0.596948599091314M1[t] + 0.823550469426125M2[t] + 0.365714817839769M3[t] + 0.552409971340473M4[t] + 0.341399818151287M5[t] + 0.254862661878107M6[t] + 0.0360978280852299M7[t] -0.224271486135876M8[t] -0.8544600280423M9[t] -1.03147905303689M10[t] -0.674991700684208M11[t] -0.0584015367812884t + 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) | 85.9756592322684 | 13.819214 | 6.2215 | 0 | 0 |
VOLUME | 1.90325628911773e-09 | 0 | 0.3004 | 0.764425 | 0.382213 |
0.438801118310016 | 0.064853 | 6.7661 | 0 | 0 | |
NASDAQ | -0.0369269949431735 | 0.005207 | -7.0919 | 0 | 0 |
INF | -774.467044172896 | 145.001685 | -5.3411 | 1e-06 | 0 |
CONS.CONF | 0.272431324933638 | 0.108057 | 2.5212 | 0.013157 | 0.006578 |
M1 | 0.596948599091314 | 0.968134 | 0.6166 | 0.538798 | 0.269399 |
M2 | 0.823550469426125 | 0.965108 | 0.8533 | 0.395368 | 0.197684 |
M3 | 0.365714817839769 | 0.968942 | 0.3774 | 0.706589 | 0.353295 |
M4 | 0.552409971340473 | 0.969169 | 0.57 | 0.569873 | 0.284936 |
M5 | 0.341399818151287 | 0.966467 | 0.3532 | 0.724593 | 0.362297 |
M6 | 0.254862661878107 | 0.984587 | 0.2589 | 0.796242 | 0.398121 |
M7 | 0.0360978280852299 | 1.015167 | 0.0356 | 0.9717 | 0.48585 |
M8 | -0.224271486135876 | 0.999239 | -0.2244 | 0.822837 | 0.411419 |
M9 | -0.8544600280423 | 0.993639 | -0.8599 | 0.391732 | 0.195866 |
M10 | -1.03147905303689 | 0.985483 | -1.0467 | 0.297587 | 0.148793 |
M11 | -0.674991700684208 | 0.985763 | -0.6847 | 0.494974 | 0.247487 |
t | -0.0584015367812884 | 0.013502 | -4.3254 | 3.4e-05 | 1.7e-05 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.890186496366389 |
R-squared | 0.792431998313068 |
Adjusted R-squared | 0.759759257306791 |
F-TEST (value) | 24.2536124581908 |
F-TEST (DF numerator) | 17 |
F-TEST (DF denominator) | 108 |
p-value | 0 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 2.1958302956722 |
Sum Squared Residuals | 520.740434238323 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 27.72 | 29.9823147691194 | -2.2623147691194 |
2 | 26.9 | 29.4909002103 | -2.59090021030004 |
3 | 25.86 | 29.1580275551995 | -3.29802755519948 |
4 | 26.81 | 26.8979945737408 | -0.0879945737407575 |
5 | 26.31 | 27.528046840225 | -1.21804684022501 |
6 | 27.1 | 27.263450640268 | -0.163450640268006 |
7 | 27 | 27.9662656848405 | -0.966265684840503 |
8 | 27.4 | 26.4673587376894 | 0.93264126231056 |
9 | 27.27 | 27.1539953747726 | 0.116004625227404 |
10 | 28.29 | 27.4747968197995 | 0.815203180200473 |
11 | 30.01 | 28.1092782787339 | 1.90072172126612 |
12 | 31.41 | 29.2750624302617 | 2.13493756973834 |
13 | 31.91 | 28.5981076759118 | 3.31189232408817 |
14 | 31.6 | 28.681036087051 | 2.91896391294905 |
15 | 31.84 | 29.4603796333353 | 2.3796203666647 |
16 | 33.05 | 30.5008831432426 | 2.54911685675744 |
17 | 32.06 | 30.5481011894506 | 1.51189881054941 |
18 | 33.1 | 31.2217954749786 | 1.87820452502144 |
19 | 32.23 | 29.6182312066247 | 2.61176879337529 |
20 | 31.36 | 29.1662622066971 | 2.1937377933029 |
21 | 31.09 | 26.870687222115 | 4.21931277788496 |
22 | 30.77 | 28.8313341594187 | 1.93866584058131 |
23 | 31.2 | 28.6009207735217 | 2.5990792264783 |
24 | 31.47 | 29.0867949595632 | 2.38320504043681 |
25 | 31.73 | 31.3315404221576 | 0.398459577842413 |
26 | 32.17 | 29.1378699960437 | 3.03213000395632 |
27 | 31.47 | 28.1882048814737 | 3.28179511852627 |
28 | 30.97 | 29.5241817528095 | 1.44581824719051 |
29 | 30.81 | 31.6183085449622 | -0.808308544962234 |
30 | 30.72 | 30.3228736437935 | 0.397126356206547 |
31 | 28.24 | 29.458431999302 | -1.21843199930202 |
32 | 28.09 | 28.9435166903107 | -0.853516690310692 |
33 | 29.11 | 27.3645709027224 | 1.74542909727765 |
34 | 29 | 28.0355382562945 | 0.964461743705518 |
35 | 28.76 | 28.7806673484135 | -0.0206673484135191 |
36 | 28.75 | 29.7923185124693 | -1.04231851246931 |
37 | 28.45 | 30.8011951732064 | -2.35119517320637 |
38 | 29.34 | 30.9514343891348 | -1.61143438913478 |
39 | 26.84 | 28.4777543870262 | -1.63775438702615 |
40 | 23.7 | 27.4705902747067 | -3.77059027470668 |
41 | 23.15 | 27.8085781714949 | -4.65857817149492 |
42 | 21.71 | 27.2765550220171 | -5.56655502201713 |
43 | 20.88 | 21.3290699728286 | -0.449069972828584 |
44 | 20.04 | 20.4835834843863 | -0.443583484386308 |
45 | 21.09 | 24.2768106372361 | -3.18681063723613 |
46 | 21.92 | 24.4619145425095 | -2.54191454250949 |
47 | 20.72 | 21.6906231549248 | -0.970623154924845 |
48 | 20.72 | 21.6870942132233 | -0.967094213223332 |
49 | 21.01 | 22.0579195070061 | -1.04791950700605 |
50 | 21.8 | 22.0273523458197 | -0.227352345819716 |
51 | 21.6 | 21.307859092663 | 0.292140907337033 |
52 | 20.38 | 20.4213054683488 | -0.0413054683487533 |
53 | 21.2 | 19.859577476182 | 1.34042252381797 |
54 | 19.87 | 19.5336237591255 | 0.336376240874489 |
55 | 19.05 | 17.524506997185 | 1.52549300281498 |
56 | 20.01 | 17.8505519041506 | 2.15944809584936 |
57 | 19.15 | 18.457129813434 | 0.692870186566039 |
58 | 19.43 | 18.1474509386758 | 1.28254906132419 |
59 | 19.44 | 19.0343774998538 | 0.405622500146155 |
60 | 19.4 | 18.9036947965916 | 0.496305203408431 |
61 | 19.15 | 19.1066301271276 | 0.0433698728724361 |
62 | 19.34 | 20.3841849846849 | -1.04418498468491 |
63 | 19.1 | 20.3544463450731 | -1.2544463450731 |
64 | 19.08 | 20.9944806076752 | -1.91448060767519 |
65 | 18.05 | 20.0738044103458 | -2.0238044103458 |
66 | 17.72 | 19.7652860990294 | -2.04528609902945 |
67 | 18.58 | 22.3228025023855 | -3.74280250238553 |
68 | 18.96 | 22.0728891040449 | -3.11288910404491 |
69 | 18.98 | 21.3169782336351 | -2.33697823363508 |
70 | 18.81 | 21.7118515085212 | -2.90185150852124 |
71 | 19.43 | 22.0779805222881 | -2.64798052228806 |
72 | 20.93 | 23.1983947918426 | -2.26839479184257 |
73 | 20.71 | 22.0610897393898 | -1.35108973938985 |
74 | 22 | 22.8556610771123 | -0.855661077112348 |
75 | 21.52 | 21.6893039182203 | -0.169303918220276 |
76 | 21.87 | 21.8364381588535 | 0.0335618411464532 |
77 | 23.29 | 21.9425551157726 | 1.34744488422737 |
78 | 22.59 | 22.1212772228565 | 0.468722777143505 |
79 | 22.86 | 21.7114026820452 | 1.14859731795484 |
80 | 20.79 | 22.092379973455 | -1.30237997345498 |
81 | 20.28 | 21.6980411338535 | -1.41804113385347 |
82 | 20.62 | 21.505497746338 | -0.885497746337992 |
83 | 20.32 | 20.9103712473043 | -0.590371247304318 |
84 | 21.66 | 22.6931055135521 | -1.03310551355207 |
85 | 21.99 | 21.6710594325075 | 0.318940567492488 |
86 | 22.27 | 21.9213477815341 | 0.348652218465912 |
87 | 21.83 | 22.1261711451463 | -0.296171145146252 |
88 | 21.94 | 21.888438021403 | 0.0515619785969844 |
89 | 20.91 | 20.7152796022395 | 0.194720397760498 |
90 | 20.4 | 21.0575266985894 | -0.657526698589383 |
91 | 20.22 | 20.3683504203826 | -0.148350420382611 |
92 | 19.64 | 20.0833371743626 | -0.443337174362646 |
93 | 19.75 | 20.234451610732 | -0.484451610732027 |
94 | 19.51 | 18.7145488000724 | 0.79545119992758 |
95 | 19.52 | 18.4672676996193 | 1.05273230038069 |
96 | 19.48 | 17.8658944550943 | 1.61410554490572 |
97 | 19.88 | 17.5654774828796 | 2.31452251712041 |
98 | 18.97 | 18.6616068509801 | 0.308393149019929 |
99 | 19 | 19.6523798720888 | -0.65237987208883 |
100 | 19.32 | 19.6028916042602 | -0.282891604260149 |
101 | 19.5 | 19.0059739537169 | 0.494026046283057 |
102 | 23.22 | 20.9822828446387 | 2.2377171553613 |
103 | 22.56 | 19.4489993514688 | 3.1110006485312 |
104 | 21.94 | 18.4235445592377 | 3.5164554407623 |
105 | 21.11 | 19.3451411658223 | 1.76485883417769 |
106 | 21.21 | 20.4735077363813 | 0.736492263618715 |
107 | 21.18 | 22.1428079431642 | -0.962807943164242 |
108 | 21.25 | 22.3233784603967 | -1.07337846039668 |
109 | 21.17 | 21.0214277936307 | 0.148572206369307 |
110 | 20.47 | 22.6683978932318 | -2.19839789323178 |
111 | 19.99 | 21.5612471319387 | -1.57124713193872 |
112 | 19.21 | 21.0416774961195 | -1.83167749611953 |
113 | 20.07 | 22.3254495638834 | -2.25544956388341 |
114 | 19.86 | 23.0549936065527 | -3.19499360655268 |
115 | 22.36 | 24.2319391829371 | -1.87193918293706 |
116 | 22.17 | 24.8165761656656 | -2.6465761656656 |
117 | 23.56 | 24.672193905677 | -1.11219390567703 |
118 | 22.92 | 23.1235594919891 | -0.203559491989067 |
119 | 23.1 | 23.8657055321763 | -0.76570553217628 |
120 | 24.32 | 24.5642618670053 | -0.244261867005345 |
121 | 23.99 | 23.5132378770636 | 0.476762122936433 |
122 | 25.94 | 24.0202083841076 | 1.91979161589237 |
123 | 26.15 | 23.2242260378352 | 2.92577396216481 |
124 | 26.36 | 22.5111188988403 | 3.84888110115968 |
125 | 27.32 | 21.2443251317269 | 6.07567486827306 |
126 | 28 | 21.6903349881506 | 6.30966501184936 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
21 | 0.0522735936202696 | 0.104547187240539 | 0.94772640637973 |
22 | 0.0149128193001948 | 0.0298256386003897 | 0.985087180699805 |
23 | 0.00793427757367219 | 0.0158685551473444 | 0.992065722426328 |
24 | 0.00267436078347514 | 0.00534872156695028 | 0.997325639216525 |
25 | 0.00464960414853553 | 0.00929920829707106 | 0.995350395851464 |
26 | 0.00326594927187462 | 0.00653189854374924 | 0.996734050728125 |
27 | 0.00172873005814521 | 0.00345746011629043 | 0.998271269941855 |
28 | 0.000870879708060668 | 0.00174175941612134 | 0.999129120291939 |
29 | 0.000834600182235725 | 0.00166920036447145 | 0.999165399817764 |
30 | 0.00153142955550883 | 0.00306285911101767 | 0.998468570444491 |
31 | 0.00932723351684983 | 0.0186544670336997 | 0.99067276648315 |
32 | 0.014558173676982 | 0.029116347353964 | 0.985441826323018 |
33 | 0.012529449592097 | 0.0250588991841941 | 0.987470550407903 |
34 | 0.0361495217243728 | 0.0722990434487457 | 0.963850478275627 |
35 | 0.0737404938743687 | 0.147480987748737 | 0.926259506125631 |
36 | 0.0855008975109029 | 0.171001795021806 | 0.914499102489097 |
37 | 0.0898450271078226 | 0.179690054215645 | 0.910154972892177 |
38 | 0.119435746112087 | 0.238871492224174 | 0.880564253887913 |
39 | 0.149623839214101 | 0.299247678428202 | 0.850376160785899 |
40 | 0.162873579480098 | 0.325747158960197 | 0.837126420519902 |
41 | 0.369256660506483 | 0.738513321012965 | 0.630743339493517 |
42 | 0.371005445527474 | 0.742010891054948 | 0.628994554472526 |
43 | 0.365034096781125 | 0.73006819356225 | 0.634965903218875 |
44 | 0.385627145282866 | 0.771254290565732 | 0.614372854717134 |
45 | 0.678370312475486 | 0.643259375049028 | 0.321629687524514 |
46 | 0.872384799952043 | 0.255230400095913 | 0.127615200047957 |
47 | 0.882282403858687 | 0.235435192282626 | 0.117717596141313 |
48 | 0.890033390580605 | 0.219933218838791 | 0.109966609419395 |
49 | 0.897716212241946 | 0.204567575516107 | 0.102283787758054 |
50 | 0.932627131989296 | 0.134745736021409 | 0.0673728680107044 |
51 | 0.966612047086571 | 0.0667759058268585 | 0.0333879529134293 |
52 | 0.981515364474503 | 0.0369692710509948 | 0.0184846355254974 |
53 | 0.999525270529124 | 0.000949458941752788 | 0.000474729470876394 |
54 | 0.999926938712127 | 0.000146122575745508 | 7.30612878727538e-05 |
55 | 0.999902543403966 | 0.000194913192068224 | 9.7456596034112e-05 |
56 | 0.999874508050343 | 0.000250983899314401 | 0.0001254919496572 |
57 | 0.999798623542466 | 0.000402752915067852 | 0.000201376457533926 |
58 | 0.999755693724304 | 0.000488612551392483 | 0.000244306275696242 |
59 | 0.999786125033545 | 0.000427749932910535 | 0.000213874966455267 |
60 | 0.999836086985487 | 0.000327826029025532 | 0.000163913014512766 |
61 | 0.999820600462511 | 0.000358799074977675 | 0.000179399537488838 |
62 | 0.999852601094025 | 0.000294797811950466 | 0.000147398905975233 |
63 | 0.999882208434902 | 0.000235583130195864 | 0.000117791565097932 |
64 | 0.999854200073752 | 0.000291599852495746 | 0.000145799926247873 |
65 | 0.999809567437003 | 0.000380865125993565 | 0.000190432562996782 |
66 | 0.999922293528737 | 0.000155412942525533 | 7.77064712627663e-05 |
67 | 0.999917894209804 | 0.000164211580392637 | 8.21057901963185e-05 |
68 | 0.999916684120519 | 0.000166631758961609 | 8.33158794808046e-05 |
69 | 0.999856511857933 | 0.000286976284133427 | 0.000143488142066714 |
70 | 0.9997751740603 | 0.000449651879399809 | 0.000224825939699904 |
71 | 0.999738067695465 | 0.000523864609070331 | 0.000261932304535166 |
72 | 0.999740716772441 | 0.000518566455117904 | 0.000259283227558952 |
73 | 0.999614987003658 | 0.000770025992684486 | 0.000385012996342243 |
74 | 0.999377889393374 | 0.00124422121325114 | 0.000622110606625572 |
75 | 0.999014978015087 | 0.00197004396982516 | 0.000985021984912578 |
76 | 0.998912225668484 | 0.00217554866303179 | 0.0010877743315159 |
77 | 0.999521601868562 | 0.000956796262875386 | 0.000478398131437693 |
78 | 0.999555418778738 | 0.000889162442524157 | 0.000444581221262078 |
79 | 0.999359375661866 | 0.00128124867626903 | 0.000640624338134516 |
80 | 0.99959794865159 | 0.000804102696819914 | 0.000402051348409957 |
81 | 0.999416819400527 | 0.00116636119894645 | 0.000583180599473226 |
82 | 0.999370625954225 | 0.00125874809154947 | 0.000629374045774737 |
83 | 0.999069530493252 | 0.00186093901349567 | 0.000930469506747836 |
84 | 0.998524389223354 | 0.00295122155329293 | 0.00147561077664647 |
85 | 0.999769211969423 | 0.000461576061153517 | 0.000230788030576759 |
86 | 0.999991901505383 | 1.61969892339661e-05 | 8.09849461698304e-06 |
87 | 0.99998580683403 | 2.838633194025e-05 | 1.4193165970125e-05 |
88 | 0.999979221354791 | 4.1557290417699e-05 | 2.07786452088495e-05 |
89 | 0.999965604344017 | 6.87913119661885e-05 | 3.43956559830943e-05 |
90 | 0.999925047343157 | 0.000149905313685385 | 7.49526568426927e-05 |
91 | 0.999850010159679 | 0.000299979680642657 | 0.000149989840321328 |
92 | 0.999796536895336 | 0.000406926209327945 | 0.000203463104663972 |
93 | 0.99961068393492 | 0.000778632130160565 | 0.000389316065080282 |
94 | 0.999511572134956 | 0.000976855730088292 | 0.000488427865044146 |
95 | 0.998999693704072 | 0.00200061259185574 | 0.00100030629592787 |
96 | 0.998170973061344 | 0.00365805387731139 | 0.0018290269386557 |
97 | 0.996666749812071 | 0.00666650037585829 | 0.00333325018792914 |
98 | 0.997206956417023 | 0.0055860871659543 | 0.00279304358297715 |
99 | 0.995915705067804 | 0.00816858986439174 | 0.00408429493219587 |
100 | 0.993755572228394 | 0.0124888555432127 | 0.00624442777160637 |
101 | 0.987273932855901 | 0.025452134288197 | 0.0127260671440985 |
102 | 0.998876603604886 | 0.00224679279022876 | 0.00112339639511438 |
103 | 0.997718075159497 | 0.00456384968100527 | 0.00228192484050264 |
104 | 0.997811108688537 | 0.0043777826229263 | 0.00218889131146315 |
105 | 0.987364664433373 | 0.0252706711332534 | 0.0126353355666267 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 57 | 0.670588235294118 | NOK |
5% type I error level | 66 | 0.776470588235294 | NOK |
10% type I error level | 68 | 0.8 | NOK |