Multiple Linear Regression - Estimated Regression Equation |
status[t] = -0.362655 -0.027902HNR[t] -0.540888NHR[t] + 0.760755RPDE[t] + 1.89576DFA[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) | -0.362655 | 0.584227 | -0.6207 | 0.535512 | 0.267756 |
HNR | -0.027902 | 0.0107456 | -2.597 | 0.0101518 | 0.00507589 |
NHR | -0.540888 | 1.01519 | -0.5328 | 0.594797 | 0.297399 |
RPDE | 0.760755 | 0.341881 | 2.225 | 0.0272436 | 0.0136218 |
DFA | 1.89576 | 0.521994 | 3.632 | 0.00036202 | 0.00018101 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.454495 |
R-squared | 0.206566 |
Adjusted R-squared | 0.189862 |
F-TEST (value) | 12.3663 |
F-TEST (DF numerator) | 4 |
F-TEST (DF denominator) | 190 |
p-value | 5.86005e-09 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 0.388723 |
Sum Squared Residuals | 28.7101 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 1 | 0.899652 | 0.100348 |
2 | 1 | 0.996711 | 0.0032886 |
3 | 1 | 0.945649 | 0.054351 |
4 | 1 | 0.937991 | 0.0620086 |
5 | 1 | 0.958171 | 0.0418295 |
6 | 1 | 0.914517 | 0.0854827 |
7 | 1 | 0.841702 | 0.158298 |
8 | 1 | 0.817022 | 0.182978 |
9 | 1 | 0.957774 | 0.0422261 |
10 | 1 | 0.951675 | 0.0483252 |
11 | 1 | 0.978131 | 0.0218692 |
12 | 1 | 0.979921 | 0.0200795 |
13 | 1 | 0.493702 | 0.506298 |
14 | 1 | 0.526768 | 0.473232 |
15 | 1 | 0.539752 | 0.460248 |
16 | 1 | 0.608775 | 0.391225 |
17 | 1 | 0.65797 | 0.34203 |
18 | 1 | 0.680859 | 0.319141 |
19 | 1 | 1.00818 | -0.00818344 |
20 | 1 | 0.935332 | 0.064668 |
21 | 1 | 0.964087 | 0.0359125 |
22 | 1 | 0.887018 | 0.112982 |
23 | 1 | 0.763271 | 0.236729 |
24 | 1 | 0.768487 | 0.231513 |
25 | 1 | 0.654129 | 0.345871 |
26 | 1 | 0.802694 | 0.197306 |
27 | 1 | 0.593686 | 0.406314 |
28 | 1 | 0.579784 | 0.420216 |
29 | 1 | 0.549006 | 0.450994 |
30 | 1 | 0.61213 | 0.38787 |
31 | 0 | 0.615098 | -0.615098 |
32 | 0 | 0.508888 | -0.508888 |
33 | 0 | 0.532888 | -0.532888 |
34 | 0 | 0.412274 | -0.412274 |
35 | 0 | 0.380083 | -0.380083 |
36 | 0 | 0.421167 | -0.421167 |
37 | 1 | 0.736865 | 0.263135 |
38 | 1 | 0.684634 | 0.315366 |
39 | 1 | 0.649853 | 0.350147 |
40 | 1 | 0.641269 | 0.358731 |
41 | 1 | 0.587513 | 0.412487 |
42 | 1 | 0.570254 | 0.429746 |
43 | 0 | 0.47119 | -0.47119 |
44 | 0 | 0.538516 | -0.538516 |
45 | 0 | 0.464852 | -0.464852 |
46 | 0 | 0.47568 | -0.47568 |
47 | 0 | 0.501429 | -0.501429 |
48 | 0 | 0.555626 | -0.555626 |
49 | 0 | 0.81831 | -0.81831 |
50 | 0 | 0.777452 | -0.777452 |
51 | 0 | 0.825216 | -0.825216 |
52 | 0 | 0.763938 | -0.763938 |
53 | 0 | 0.748091 | -0.748091 |
54 | 0 | 0.734537 | -0.734537 |
55 | 1 | 1.00547 | -0.00547355 |
56 | 1 | 1.01552 | -0.0155241 |
57 | 1 | 1.00365 | -0.00365454 |
58 | 1 | 0.950889 | 0.0491109 |
59 | 1 | 0.955337 | 0.0446627 |
60 | 1 | 0.993262 | 0.00673753 |
61 | 0 | 0.466622 | -0.466622 |
62 | 0 | 0.548205 | -0.548205 |
63 | 0 | 0.508056 | -0.508056 |
64 | 0 | 0.401547 | -0.401547 |
65 | 0 | 0.386355 | -0.386355 |
66 | 0 | 0.475066 | -0.475066 |
67 | 1 | 0.796492 | 0.203508 |
68 | 1 | 0.826598 | 0.173402 |
69 | 1 | 0.820554 | 0.179446 |
70 | 1 | 0.767825 | 0.232175 |
71 | 1 | 0.814787 | 0.185213 |
72 | 1 | 0.904371 | 0.0956289 |
73 | 1 | 0.740384 | 0.259616 |
74 | 1 | 0.843441 | 0.156559 |
75 | 1 | 0.804218 | 0.195782 |
76 | 1 | 0.814651 | 0.185349 |
77 | 1 | 0.850401 | 0.149599 |
78 | 1 | 0.788956 | 0.211044 |
79 | 1 | 0.98985 | 0.0101503 |
80 | 1 | 1.03967 | -0.0396699 |
81 | 1 | 0.97089 | 0.0291102 |
82 | 1 | 0.993521 | 0.00647944 |
83 | 1 | 0.973239 | 0.0267613 |
84 | 1 | 0.914918 | 0.0850816 |
85 | 1 | 1.02659 | -0.0265877 |
86 | 1 | 0.994541 | 0.00545852 |
87 | 1 | 0.98162 | 0.0183805 |
88 | 1 | 1.08589 | -0.0858857 |
89 | 1 | 1.0696 | -0.0696011 |
90 | 1 | 1.1301 | -0.130095 |
91 | 1 | 1.14946 | -0.149458 |
92 | 1 | 0.81513 | 0.18487 |
93 | 1 | 0.841153 | 0.158847 |
94 | 1 | 0.708961 | 0.291039 |
95 | 1 | 0.745081 | 0.254919 |
96 | 1 | 0.704589 | 0.295411 |
97 | 1 | 0.593652 | 0.406348 |
98 | 1 | 0.998736 | 0.00126368 |
99 | 1 | 0.895058 | 0.104942 |
100 | 1 | 0.965139 | 0.0348609 |
101 | 1 | 0.975569 | 0.0244313 |
102 | 1 | 0.859411 | 0.140589 |
103 | 1 | 0.874085 | 0.125915 |
104 | 1 | 0.483307 | 0.516693 |
105 | 1 | 0.354821 | 0.645179 |
106 | 1 | 0.512059 | 0.487941 |
107 | 1 | 0.345523 | 0.654477 |
108 | 1 | 0.511986 | 0.488014 |
109 | 1 | 0.319537 | 0.680463 |
110 | 1 | 0.802617 | 0.197383 |
111 | 1 | 0.696725 | 0.303275 |
112 | 1 | 0.615525 | 0.384475 |
113 | 1 | 0.784194 | 0.215806 |
114 | 1 | 0.678306 | 0.321694 |
115 | 1 | 0.629518 | 0.370482 |
116 | 1 | 0.50995 | 0.49005 |
117 | 1 | 0.475989 | 0.524011 |
118 | 1 | 0.562658 | 0.437342 |
119 | 1 | 0.534655 | 0.465345 |
120 | 1 | 0.404339 | 0.595661 |
121 | 1 | 0.60226 | 0.39774 |
122 | 1 | 0.421409 | 0.578591 |
123 | 1 | 0.930917 | 0.0690831 |
124 | 1 | 0.941644 | 0.0583561 |
125 | 1 | 0.942371 | 0.0576291 |
126 | 1 | 0.980471 | 0.0195294 |
127 | 1 | 0.99408 | 0.00592018 |
128 | 1 | 0.95846 | 0.0415397 |
129 | 1 | 0.553776 | 0.446224 |
130 | 1 | 0.635499 | 0.364501 |
131 | 1 | 0.688418 | 0.311582 |
132 | 1 | 0.656072 | 0.343928 |
133 | 1 | 0.705578 | 0.294422 |
134 | 1 | 0.657519 | 0.342481 |
135 | 1 | 1.04073 | -0.0407257 |
136 | 1 | 0.966408 | 0.0335916 |
137 | 1 | 0.929883 | 0.0701166 |
138 | 1 | 0.969223 | 0.0307772 |
139 | 1 | 0.955871 | 0.0441289 |
140 | 1 | 0.897744 | 0.102256 |
141 | 1 | 0.920432 | 0.0795682 |
142 | 1 | 0.901559 | 0.0984407 |
143 | 1 | 0.821888 | 0.178112 |
144 | 1 | 0.712224 | 0.287776 |
145 | 1 | 0.628219 | 0.371781 |
146 | 1 | 0.580948 | 0.419052 |
147 | 1 | 1.18332 | -0.183322 |
148 | 1 | 1.02516 | -0.0251607 |
149 | 1 | 1.11959 | -0.119586 |
150 | 1 | 0.972323 | 0.0276772 |
151 | 1 | 1.0608 | -0.0607955 |
152 | 1 | 1.21706 | -0.217058 |
153 | 1 | 1.16038 | -0.16038 |
154 | 1 | 0.716593 | 0.283407 |
155 | 1 | 0.749174 | 0.250826 |
156 | 1 | 0.711306 | 0.288694 |
157 | 1 | 0.62743 | 0.37257 |
158 | 1 | 0.752819 | 0.247181 |
159 | 1 | 0.688166 | 0.311834 |
160 | 1 | 0.854166 | 0.145834 |
161 | 1 | 0.869514 | 0.130486 |
162 | 1 | 0.818151 | 0.181849 |
163 | 1 | 0.97922 | 0.0207796 |
164 | 1 | 0.737311 | 0.262689 |
165 | 1 | 0.891198 | 0.108802 |
166 | 0 | 0.510641 | -0.510641 |
167 | 0 | 0.426747 | -0.426747 |
168 | 0 | 0.570293 | -0.570293 |
169 | 0 | 0.750471 | -0.750471 |
170 | 0 | 0.553476 | -0.553476 |
171 | 0 | 0.654937 | -0.654937 |
172 | 0 | 0.646309 | -0.646309 |
173 | 0 | 0.646413 | -0.646413 |
174 | 0 | 0.6368 | -0.6368 |
175 | 0 | 0.653071 | -0.653071 |
176 | 0 | 0.661597 | -0.661597 |
177 | 0 | 0.627387 | -0.627387 |
178 | 1 | 0.676275 | 0.323725 |
179 | 1 | 0.705363 | 0.294637 |
180 | 1 | 0.75234 | 0.24766 |
181 | 1 | 0.696155 | 0.303845 |
182 | 1 | 0.764266 | 0.235734 |
183 | 1 | 0.678312 | 0.321688 |
184 | 0 | 0.716687 | -0.716687 |
185 | 0 | 0.764367 | -0.764367 |
186 | 0 | 0.653933 | -0.653933 |
187 | 0 | 0.657931 | -0.657931 |
188 | 0 | 0.596084 | -0.596084 |
189 | 0 | 0.614273 | -0.614273 |
190 | 0 | 0.755989 | -0.755989 |
191 | 0 | 0.666199 | -0.666199 |
192 | 0 | 0.716977 | -0.716977 |
193 | 0 | 0.63349 | -0.63349 |
194 | 0 | 0.631632 | -0.631632 |
195 | 0 | 0.633321 | -0.633321 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
8 | 4.39888e-48 | 8.79776e-48 | 1 |
9 | 5.6114e-65 | 1.12228e-64 | 1 |
10 | 8.3199e-81 | 1.66398e-80 | 1 |
11 | 1.20902e-94 | 2.41803e-94 | 1 |
12 | 2.83547e-107 | 5.67094e-107 | 1 |
13 | 9.17441e-143 | 1.83488e-142 | 1 |
14 | 1.88764e-140 | 3.77528e-140 | 1 |
15 | 1.12319e-154 | 2.24637e-154 | 1 |
16 | 0 | 0 | 1 |
17 | 4.49195e-200 | 8.98391e-200 | 1 |
18 | 2.64057e-198 | 5.28115e-198 | 1 |
19 | 2.80252e-214 | 5.60503e-214 | 1 |
20 | 9.74994e-244 | 1.94999e-243 | 1 |
21 | 9.48401e-280 | 1.8968e-279 | 1 |
22 | 1.76907e-257 | 3.53814e-257 | 1 |
23 | 3.61254e-277 | 7.22507e-277 | 1 |
24 | 5.11939e-288 | 1.02388e-287 | 1 |
25 | 7.30300000047781e-315 | 1.46060000009556e-314 | 1 |
26 | 0 | 0 | 1 |
27 | 0 | 0 | 1 |
28 | 0 | 0 | 1 |
29 | 0 | 0 | 1 |
30 | 0 | 0 | 1 |
31 | 9.51424e-06 | 1.90285e-05 | 0.99999 |
32 | 0.000216986 | 0.000433972 | 0.999783 |
33 | 0.000504314 | 0.00100863 | 0.999496 |
34 | 0.000397879 | 0.000795758 | 0.999602 |
35 | 0.000264554 | 0.000529108 | 0.999735 |
36 | 0.00022037 | 0.00044074 | 0.99978 |
37 | 0.000123193 | 0.000246387 | 0.999877 |
38 | 7.94036e-05 | 0.000158807 | 0.999921 |
39 | 8.37099e-05 | 0.00016742 | 0.999916 |
40 | 6.77279e-05 | 0.000135456 | 0.999932 |
41 | 5.76946e-05 | 0.000115389 | 0.999942 |
42 | 4.05859e-05 | 8.11719e-05 | 0.999959 |
43 | 0.0088614 | 0.0177228 | 0.991139 |
44 | 0.0431418 | 0.0862836 | 0.956858 |
45 | 0.0689636 | 0.137927 | 0.931036 |
46 | 0.093828 | 0.187656 | 0.906172 |
47 | 0.11819 | 0.23638 | 0.88181 |
48 | 0.137301 | 0.274601 | 0.862699 |
49 | 0.263295 | 0.526591 | 0.736705 |
50 | 0.373833 | 0.747666 | 0.626167 |
51 | 0.499888 | 0.999777 | 0.500112 |
52 | 0.601541 | 0.796919 | 0.398459 |
53 | 0.697583 | 0.604835 | 0.302417 |
54 | 0.781208 | 0.437584 | 0.218792 |
55 | 0.747482 | 0.505036 | 0.252518 |
56 | 0.710738 | 0.578525 | 0.289262 |
57 | 0.673165 | 0.65367 | 0.326835 |
58 | 0.639871 | 0.720258 | 0.360129 |
59 | 0.603385 | 0.793229 | 0.396615 |
60 | 0.560732 | 0.878535 | 0.439268 |
61 | 0.594506 | 0.810988 | 0.405494 |
62 | 0.620047 | 0.759907 | 0.379953 |
63 | 0.640706 | 0.718588 | 0.359294 |
64 | 0.639313 | 0.721373 | 0.360687 |
65 | 0.631272 | 0.737456 | 0.368728 |
66 | 0.64019 | 0.71962 | 0.35981 |
67 | 0.603396 | 0.793208 | 0.396604 |
68 | 0.564204 | 0.871593 | 0.435796 |
69 | 0.551214 | 0.897571 | 0.448786 |
70 | 0.513006 | 0.973987 | 0.486994 |
71 | 0.472755 | 0.94551 | 0.527245 |
72 | 0.437589 | 0.875177 | 0.562411 |
73 | 0.430379 | 0.860759 | 0.569621 |
74 | 0.401025 | 0.80205 | 0.598975 |
75 | 0.375012 | 0.750024 | 0.624988 |
76 | 0.348427 | 0.696854 | 0.651573 |
77 | 0.315426 | 0.630853 | 0.684574 |
78 | 0.291557 | 0.583114 | 0.708443 |
79 | 0.256424 | 0.512848 | 0.743576 |
80 | 0.228346 | 0.456692 | 0.771654 |
81 | 0.198043 | 0.396086 | 0.801957 |
82 | 0.170413 | 0.340827 | 0.829587 |
83 | 0.144795 | 0.28959 | 0.855205 |
84 | 0.123838 | 0.247677 | 0.876162 |
85 | 0.126377 | 0.252753 | 0.873623 |
86 | 0.107742 | 0.215485 | 0.892258 |
87 | 0.091341 | 0.182682 | 0.908659 |
88 | 0.0859321 | 0.171864 | 0.914068 |
89 | 0.0759844 | 0.151969 | 0.924016 |
90 | 0.0763136 | 0.152627 | 0.923686 |
91 | 0.0711041 | 0.142208 | 0.928896 |
92 | 0.0611722 | 0.122344 | 0.938828 |
93 | 0.0516241 | 0.103248 | 0.948376 |
94 | 0.0478272 | 0.0956544 | 0.952173 |
95 | 0.0426044 | 0.0852088 | 0.957396 |
96 | 0.0391567 | 0.0783134 | 0.960843 |
97 | 0.0407181 | 0.0814362 | 0.959282 |
98 | 0.0324698 | 0.0649396 | 0.96753 |
99 | 0.0262095 | 0.0524191 | 0.97379 |
100 | 0.020535 | 0.0410699 | 0.979465 |
101 | 0.0159766 | 0.0319533 | 0.984023 |
102 | 0.0126956 | 0.0253912 | 0.987304 |
103 | 0.00983344 | 0.0196669 | 0.990167 |
104 | 0.0123168 | 0.0246337 | 0.987683 |
105 | 0.0196925 | 0.039385 | 0.980308 |
106 | 0.0225376 | 0.0450752 | 0.977462 |
107 | 0.0347573 | 0.0695146 | 0.965243 |
108 | 0.0391326 | 0.0782652 | 0.960867 |
109 | 0.060516 | 0.121032 | 0.939484 |
110 | 0.0516093 | 0.103219 | 0.948391 |
111 | 0.0474822 | 0.0949645 | 0.952518 |
112 | 0.0493088 | 0.0986175 | 0.950691 |
113 | 0.0426137 | 0.0852274 | 0.957386 |
114 | 0.0402809 | 0.0805618 | 0.959719 |
115 | 0.0437465 | 0.0874929 | 0.956254 |
116 | 0.0523561 | 0.104712 | 0.947644 |
117 | 0.065599 | 0.131198 | 0.934401 |
118 | 0.0717753 | 0.143551 | 0.928225 |
119 | 0.0832583 | 0.166517 | 0.916742 |
120 | 0.126295 | 0.252589 | 0.873705 |
121 | 0.13588 | 0.271759 | 0.86412 |
122 | 0.211168 | 0.422336 | 0.788832 |
123 | 0.182456 | 0.364913 | 0.817544 |
124 | 0.155358 | 0.310716 | 0.844642 |
125 | 0.131103 | 0.262206 | 0.868897 |
126 | 0.110262 | 0.220524 | 0.889738 |
127 | 0.091896 | 0.183792 | 0.908104 |
128 | 0.075213 | 0.150426 | 0.924787 |
129 | 0.0969007 | 0.193801 | 0.903099 |
130 | 0.105705 | 0.211411 | 0.894295 |
131 | 0.111528 | 0.223056 | 0.888472 |
132 | 0.126784 | 0.253569 | 0.873216 |
133 | 0.133206 | 0.266411 | 0.866794 |
134 | 0.155954 | 0.311908 | 0.844046 |
135 | 0.134123 | 0.268246 | 0.865877 |
136 | 0.111986 | 0.223972 | 0.888014 |
137 | 0.0920064 | 0.184013 | 0.907994 |
138 | 0.0748892 | 0.149778 | 0.925111 |
139 | 0.0603711 | 0.120742 | 0.939629 |
140 | 0.0479742 | 0.0959484 | 0.952026 |
141 | 0.0376854 | 0.0753707 | 0.962315 |
142 | 0.0292889 | 0.0585778 | 0.970711 |
143 | 0.0233512 | 0.0467023 | 0.976649 |
144 | 0.023051 | 0.046102 | 0.976949 |
145 | 0.0313193 | 0.0626387 | 0.968681 |
146 | 0.0540804 | 0.108161 | 0.94592 |
147 | 0.0489824 | 0.0979647 | 0.951018 |
148 | 0.0384605 | 0.0769211 | 0.961539 |
149 | 0.0315002 | 0.0630004 | 0.9685 |
150 | 0.0250131 | 0.0500262 | 0.974987 |
151 | 0.0189067 | 0.0378133 | 0.981093 |
152 | 0.0175872 | 0.0351744 | 0.982413 |
153 | 0.0207638 | 0.0415276 | 0.979236 |
154 | 0.0218889 | 0.0437779 | 0.978111 |
155 | 0.0201305 | 0.0402609 | 0.97987 |
156 | 0.0239198 | 0.0478396 | 0.97608 |
157 | 0.0568266 | 0.113653 | 0.943173 |
158 | 0.0768288 | 0.153658 | 0.923171 |
159 | 0.184518 | 0.369037 | 0.815482 |
160 | 0.172677 | 0.345354 | 0.827323 |
161 | 0.157115 | 0.314231 | 0.842885 |
162 | 0.164091 | 0.328182 | 0.835909 |
163 | 0.132405 | 0.26481 | 0.867595 |
164 | 0.214466 | 0.428932 | 0.785534 |
165 | 0.310943 | 0.621885 | 0.689057 |
166 | 0.309364 | 0.618728 | 0.690636 |
167 | 0.327686 | 0.655373 | 0.672314 |
168 | 0.316532 | 0.633063 | 0.683468 |
169 | 0.558378 | 0.883243 | 0.441622 |
170 | 0.520477 | 0.959046 | 0.479523 |
171 | 0.488471 | 0.976942 | 0.511529 |
172 | 0.481161 | 0.962322 | 0.518839 |
173 | 0.53313 | 0.93374 | 0.46687 |
174 | 0.592621 | 0.814759 | 0.407379 |
175 | 0.712859 | 0.574282 | 0.287141 |
176 | 0.897306 | 0.205388 | 0.102694 |
177 | 0.99999 | 1.90183e-05 | 9.50914e-06 |
178 | 0.999989 | 2.2361e-05 | 1.11805e-05 |
179 | 0.999961 | 7.72862e-05 | 3.86431e-05 |
180 | 0.999906 | 0.000187984 | 9.39922e-05 |
181 | 0.999715 | 0.000569436 | 0.000284718 |
182 | 0.999071 | 0.00185783 | 0.000928914 |
183 | 1 | 0 | 0 |
184 | 1 | 0 | 0 |
185 | 1 | 0 | 0 |
186 | 1 | 0 | 0 |
187 | 1 | 0 | 0 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 46 | 0.255556 | NOK |
5% type I error level | 62 | 0.344444 | NOK |
10% type I error level | 84 | 0.466667 | NOK |