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SHW WS7 - Model 4

*Unverified author*
R Software Module: /rwasp_multipleregression.wasp (opens new window with default values)
Title produced by software: Multiple Regression
Date of computation: Sat, 21 Nov 2009 02:08:37 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1.htm/, Retrieved Sat, 21 Nov 2009 10:10:46 +0100
 
BibTeX entries for LaTeX users:
@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1.htm/},
    year = {2009},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
357 15.5 358 363 364 363 357 15.1 357 358 363 364 380 15 357 357 358 363 378 12.1 380 357 357 358 376 15.8 378 380 357 357 380 16.9 376 378 380 357 379 15.1 380 376 378 380 384 13.7 379 380 376 378 392 14.8 384 379 380 376 394 14.7 392 384 379 380 392 16 394 392 384 379 396 15.4 392 394 392 384 392 15 396 392 394 392 396 15.5 392 396 392 394 419 15.1 396 392 396 392 421 11.7 419 396 392 396 420 16.3 421 419 396 392 418 16.7 420 421 419 396 410 15 418 420 421 419 418 14.9 410 418 420 421 426 14.6 418 410 418 420 428 15.3 426 418 410 418 430 17.9 428 426 418 410 424 16.4 430 428 426 418 423 15.4 424 430 428 426 427 17.9 423 424 430 428 441 15.9 427 423 424 430 449 13.9 441 427 423 424 452 17.8 449 441 427 423 462 17.9 452 449 441 427 455 17.4 462 452 449 441 461 16.7 455 462 452 449 461 16 461 455 462 452 463 16.6 461 461 455 462 462 19.1 463 461 461 455 456 17.8 462 463 461 461 455 17.2 456 462 463 461 456 18.6 455 456 462 463 472 16.3 456 455 456 462 472 15.1 472 456 455 etc...
 
Output produced by software:

Enter (or paste) a matrix (table) containing all data (time) series. Every column represents a different variable and must be delimited by a space or Tab. Every row represents a period in time (or category) and must be delimited by hard returns. The easiest way to enter data is to copy and paste a block of spreadsheet cells. Please, do not use commas or spaces to seperate groups of digits!


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Multiple Linear Regression - Estimated Regression Equation
Y[t] = -50.7689952169571 + 1.50143938683308X[t] + 1.02889891057449`Y-1`[t] + 0.0692970396801225`Y-2`[t] -0.096239969622125`Y-3`[t] + 0.0796070883968342`Y-4`[t] + 1.10542849074488M1[t] + 2.83666815064074M2[t] + 21.7621760306343M3[t] + 8.36985452361509M4[t] -0.976767859694887M5[t] -0.366038911108393M6[t] -4.34479708974304M7[t] + 9.17821014476506M8[t] + 8.36123802230115M9[t] + 3.49196481587309M10[t] -1.56209812519408M11[t] -0.412873352380871t + e[t]


Multiple Linear Regression - Ordinary Least Squares
VariableParameterS.D.T-STAT
H0: parameter = 0
2-tail p-value1-tail p-value
(Intercept)-50.768995216957127.791734-1.82680.0755980.037799
X1.501439386833080.9426261.59280.1194850.059742
`Y-1`1.028898910574490.1566496.568200
`Y-2`0.06929703968012250.2203740.31450.7548980.377449
`Y-3`-0.0962399696221250.246883-0.38980.6988460.349423
`Y-4`0.07960708839683420.1997320.39860.6924410.346221
M11.105428490744882.9191080.37870.7070280.353514
M22.836668150640743.2829210.86410.3929720.196486
M321.76217603063433.2098256.779900
M48.369854523615094.8031.74260.0894870.044743
M5-0.9767678596948874.242871-0.23020.819160.40958
M6-0.3660389111083933.831906-0.09550.9244010.4622
M7-4.344797089743042.913872-1.49110.1441980.072099
M89.178210144765063.1597052.90480.0060950.003047
M98.361238022301153.40792.45350.0188460.009423
M103.491964815873093.701080.94350.3513860.175693
M11-1.562098125194083.503816-0.44580.6582520.329126
t-0.4128733523808710.1809-2.28230.0281560.014078


Multiple Linear Regression - Regression Statistics
Multiple R0.995084348560634
R-squared0.990192860750342
Adjusted R-squared0.98580545634918
F-TEST (value)225.689900043838
F-TEST (DF numerator)17
F-TEST (DF denominator)38
p-value0
Multiple Linear Regression - Residual Statistics
Residual Standard Deviation4.10438021253102
Sum Squared Residuals640.145603302616


Multiple Linear Regression - Actuals, Interpolation, and Residuals
Time or IndexActualsInterpolation
Forecast
Residuals
Prediction Error
1357360.562529952468-3.5625299524681
2357360.080783454294-3.08078345429388
3380378.7755697632571.22443023674308
4378383.979080152892-5.97908015289216
5376379.231337151581-3.23133715158071
6380376.6708648714853.32913512851537
7379375.5770869794793.42291302052129
8384385.866760730636-1.86676073063622
9392390.8195220392181.18047796078205
10394394.379576347932-0.379576347931704
11392392.915878459449-0.915878459449176
12396390.8731515433815.12684845661903
13392395.38650925788-3.38650925787988
14396393.9688818912722.03111810872814
15419415.1751740924473.82482590755343
16421420.9103366518240.0896633481763578
17420421.005703597281-1.00570359728091
18418419.018739169284-1.01873916928398
19410411.586048913706-1.58604891370606
20418416.431707639611.56829236039037
21426422.5411181667173.45888183328273
22428427.7062523609120.293747639088286
23430427.3484561476682.65154385233204
24424428.308850690938-4.30885069093845
25423421.9095438263131.09045617368688
26427425.5035616898051.49643831019501
27441445.796270040896-4.79627004089573
28449443.2885667538345.71143324616601
29452448.1214675000243.87853249997556
30462451.08160886295510.9183911370446
31455456.780717343887-1.78071734388728
32461462.678658476319-1.67865847631945
33461465.362541185347-4.36254118534685
34463462.8667911680420.133208831958288
35462462.076561726315-0.0765617263147584
36456460.861252995412-4.86125299541173
37455454.2177740593050.782225940695417
38456456.448928506146-0.448928506146453
39472472.965687044273-0.965687044273305
40472473.509041968787-1.50904196878662
41471470.8383532959740.161646704025597
42465466.294918475799-1.29491847579875
43459459.036324997572-0.0363249975718326
44465464.0019398222770.998060177722865
45468468.276818608718-0.276818608717929
46467467.047380123115-0.0473801231148656
47463464.659103666568-1.65910366656811
48460455.9567447702694.04325522973114
49462456.9236429040345.07635709596568
50461460.9978444584830.002155541517185
51476475.2872990591270.712700940872513
52476474.3129744726641.68702552733641
53471470.803138455140.196861544860468
54453464.933868620477-11.9338686204772
55443443.019821765356-0.0198217653561182
56442441.0209333311580.979066668842426


Goldfeld-Quandt test for Heteroskedasticity
p-valuesAlternative Hypothesis
breakpoint indexgreater2-sidedless
210.2910246986560970.5820493973121950.708975301343903
220.2513235951429640.5026471902859290.748676404857036
230.1413651576089570.2827303152179150.858634842391043
240.3285210613346680.6570421226693360.671478938665332
250.2720425100557420.5440850201114840.727957489944258
260.1688771514797020.3377543029594040.831122848520298
270.3452780979987370.6905561959974740.654721902001263
280.2722053914783250.544410782956650.727794608521675
290.2350097432779310.4700194865558620.764990256722069
300.8304527937866380.3390944124267240.169547206213362
310.7349248347503140.5301503304993720.265075165249686
320.6779455621720840.6441088756558320.322054437827916
330.5944120099286020.8111759801427960.405587990071398
340.4833131135560760.9666262271121530.516686886443924
350.3185381597966840.6370763195933690.681461840203316


Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity
Description# significant tests% significant testsOK/NOK
1% type I error level00OK
5% type I error level00OK
10% type I error level00OK
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/104kf31258794512.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/104kf31258794512.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/1aijj1258794512.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/1aijj1258794512.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/2xfm91258794512.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/2xfm91258794512.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/3lofh1258794512.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/3lofh1258794512.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/4g3ot1258794512.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/4g3ot1258794512.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/5mqz01258794512.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/5mqz01258794512.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/66viq1258794512.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/66viq1258794512.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/703y01258794512.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/703y01258794512.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/88y9m1258794512.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/88y9m1258794512.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/930ym1258794512.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/21/t1258794634zunto5jek90ukt1/930ym1258794512.ps (open in new window)


 
Parameters (Session):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = Linear Trend ;
 
Parameters (R input):
par1 = 1 ; par2 = Include Monthly Dummies ; par3 = Linear Trend ;
 
R code (references can be found in the software module):
library(lattice)
library(lmtest)
n25 <- 25 #minimum number of obs. for Goldfeld-Quandt test
par1 <- as.numeric(par1)
x <- t(y)
k <- length(x[1,])
n <- length(x[,1])
x1 <- cbind(x[,par1], x[,1:k!=par1])
mycolnames <- c(colnames(x)[par1], colnames(x)[1:k!=par1])
colnames(x1) <- mycolnames #colnames(x)[par1]
x <- x1
if (par3 == 'First Differences'){
x2 <- array(0, dim=c(n-1,k), dimnames=list(1:(n-1), paste('(1-B)',colnames(x),sep='')))
for (i in 1:n-1) {
for (j in 1:k) {
x2[i,j] <- x[i+1,j] - x[i,j]
}
}
x <- x2
}
if (par2 == 'Include Monthly Dummies'){
x2 <- array(0, dim=c(n,11), dimnames=list(1:n, paste('M', seq(1:11), sep ='')))
for (i in 1:11){
x2[seq(i,n,12),i] <- 1
}
x <- cbind(x, x2)
}
if (par2 == 'Include Quarterly Dummies'){
x2 <- array(0, dim=c(n,3), dimnames=list(1:n, paste('Q', seq(1:3), sep ='')))
for (i in 1:3){
x2[seq(i,n,4),i] <- 1
}
x <- cbind(x, x2)
}
k <- length(x[1,])
if (par3 == 'Linear Trend'){
x <- cbind(x, c(1:n))
colnames(x)[k+1] <- 't'
}
x
k <- length(x[1,])
df <- as.data.frame(x)
(mylm <- lm(df))
(mysum <- summary(mylm))
if (n > n25) {
kp3 <- k + 3
nmkm3 <- n - k - 3
gqarr <- array(NA, dim=c(nmkm3-kp3+1,3))
numgqtests <- 0
numsignificant1 <- 0
numsignificant5 <- 0
numsignificant10 <- 0
for (mypoint in kp3:nmkm3) {
j <- 0
numgqtests <- numgqtests + 1
for (myalt in c('greater', 'two.sided', 'less')) {
j <- j + 1
gqarr[mypoint-kp3+1,j] <- gqtest(mylm, point=mypoint, alternative=myalt)$p.value
}
if (gqarr[mypoint-kp3+1,2] < 0.01) numsignificant1 <- numsignificant1 + 1
if (gqarr[mypoint-kp3+1,2] < 0.05) numsignificant5 <- numsignificant5 + 1
if (gqarr[mypoint-kp3+1,2] < 0.10) numsignificant10 <- numsignificant10 + 1
}
gqarr
}
bitmap(file='test0.png')
plot(x[,1], type='l', main='Actuals and Interpolation', ylab='value of Actuals and Interpolation (dots)', xlab='time or index')
points(x[,1]-mysum$resid)
grid()
dev.off()
bitmap(file='test1.png')
plot(mysum$resid, type='b', pch=19, main='Residuals', ylab='value of Residuals', xlab='time or index')
grid()
dev.off()
bitmap(file='test2.png')
hist(mysum$resid, main='Residual Histogram', xlab='values of Residuals')
grid()
dev.off()
bitmap(file='test3.png')
densityplot(~mysum$resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
dev.off()
bitmap(file='test4.png')
qqnorm(mysum$resid, main='Residual Normal Q-Q Plot')
qqline(mysum$resid)
grid()
dev.off()
(myerror <- as.ts(mysum$resid))
bitmap(file='test5.png')
dum <- cbind(lag(myerror,k=1),myerror)
dum
dum1 <- dum[2:length(myerror),]
dum1
z <- as.data.frame(dum1)
z
plot(z,main=paste('Residual Lag plot, lowess, and regression line'), ylab='values of Residuals', xlab='lagged values of Residuals')
lines(lowess(z))
abline(lm(z))
grid()
dev.off()
bitmap(file='test6.png')
acf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Autocorrelation Function')
grid()
dev.off()
bitmap(file='test7.png')
pacf(mysum$resid, lag.max=length(mysum$resid)/2, main='Residual Partial Autocorrelation Function')
grid()
dev.off()
bitmap(file='test8.png')
opar <- par(mfrow = c(2,2), oma = c(0, 0, 1.1, 0))
plot(mylm, las = 1, sub='Residual Diagnostics')
par(opar)
dev.off()
if (n > n25) {
bitmap(file='test9.png')
plot(kp3:nmkm3,gqarr[,2], main='Goldfeld-Quandt test',ylab='2-sided p-value',xlab='breakpoint')
grid()
dev.off()
}
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Estimated Regression Equation', 1, TRUE)
a<-table.row.end(a)
myeq <- colnames(x)[1]
myeq <- paste(myeq, '[t] = ', sep='')
for (i in 1:k){
if (mysum$coefficients[i,1] > 0) myeq <- paste(myeq, '+', '')
myeq <- paste(myeq, mysum$coefficients[i,1], sep=' ')
if (rownames(mysum$coefficients)[i] != '(Intercept)') {
myeq <- paste(myeq, rownames(mysum$coefficients)[i], sep='')
if (rownames(mysum$coefficients)[i] != 't') myeq <- paste(myeq, '[t]', sep='')
}
}
myeq <- paste(myeq, ' + e[t]')
a<-table.row.start(a)
a<-table.element(a, myeq)
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable1.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,hyperlink('http://www.xycoon.com/ols1.htm','Multiple Linear Regression - Ordinary Least Squares',''), 6, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Variable',header=TRUE)
a<-table.element(a,'Parameter',header=TRUE)
a<-table.element(a,'S.D.',header=TRUE)
a<-table.element(a,'T-STAT<br />H0: parameter = 0',header=TRUE)
a<-table.element(a,'2-tail p-value',header=TRUE)
a<-table.element(a,'1-tail p-value',header=TRUE)
a<-table.row.end(a)
for (i in 1:k){
a<-table.row.start(a)
a<-table.element(a,rownames(mysum$coefficients)[i],header=TRUE)
a<-table.element(a,mysum$coefficients[i,1])
a<-table.element(a, round(mysum$coefficients[i,2],6))
a<-table.element(a, round(mysum$coefficients[i,3],4))
a<-table.element(a, round(mysum$coefficients[i,4],6))
a<-table.element(a, round(mysum$coefficients[i,4]/2,6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable2.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Regression Statistics', 2, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Multiple R',1,TRUE)
a<-table.element(a, sqrt(mysum$r.squared))
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'R-squared',1,TRUE)
a<-table.element(a, mysum$r.squared)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Adjusted R-squared',1,TRUE)
a<-table.element(a, mysum$adj.r.squared)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'F-TEST (value)',1,TRUE)
a<-table.element(a, mysum$fstatistic[1])
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'F-TEST (DF numerator)',1,TRUE)
a<-table.element(a, mysum$fstatistic[2])
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'F-TEST (DF denominator)',1,TRUE)
a<-table.element(a, mysum$fstatistic[3])
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'p-value',1,TRUE)
a<-table.element(a, 1-pf(mysum$fstatistic[1],mysum$fstatistic[2],mysum$fstatistic[3]))
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Residual Statistics', 2, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Residual Standard Deviation',1,TRUE)
a<-table.element(a, mysum$sigma)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Sum Squared Residuals',1,TRUE)
a<-table.element(a, sum(myerror*myerror))
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable3.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a, 'Multiple Linear Regression - Actuals, Interpolation, and Residuals', 4, TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a, 'Time or Index', 1, TRUE)
a<-table.element(a, 'Actuals', 1, TRUE)
a<-table.element(a, 'Interpolation<br />Forecast', 1, TRUE)
a<-table.element(a, 'Residuals<br />Prediction Error', 1, TRUE)
a<-table.row.end(a)
for (i in 1:n) {
a<-table.row.start(a)
a<-table.element(a,i, 1, TRUE)
a<-table.element(a,x[i])
a<-table.element(a,x[i]-mysum$resid[i])
a<-table.element(a,mysum$resid[i])
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable4.tab')
if (n > n25) {
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Goldfeld-Quandt test for Heteroskedasticity',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'p-values',header=TRUE)
a<-table.element(a,'Alternative Hypothesis',3,header=TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'breakpoint index',header=TRUE)
a<-table.element(a,'greater',header=TRUE)
a<-table.element(a,'2-sided',header=TRUE)
a<-table.element(a,'less',header=TRUE)
a<-table.row.end(a)
for (mypoint in kp3:nmkm3) {
a<-table.row.start(a)
a<-table.element(a,mypoint,header=TRUE)
a<-table.element(a,gqarr[mypoint-kp3+1,1])
a<-table.element(a,gqarr[mypoint-kp3+1,2])
a<-table.element(a,gqarr[mypoint-kp3+1,3])
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable5.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Description',header=TRUE)
a<-table.element(a,'# significant tests',header=TRUE)
a<-table.element(a,'% significant tests',header=TRUE)
a<-table.element(a,'OK/NOK',header=TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'1% type I error level',header=TRUE)
a<-table.element(a,numsignificant1)
a<-table.element(a,numsignificant1/numgqtests)
if (numsignificant1/numgqtests < 0.01) dum <- 'OK' else dum <- 'NOK'
a<-table.element(a,dum)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'5% type I error level',header=TRUE)
a<-table.element(a,numsignificant5)
a<-table.element(a,numsignificant5/numgqtests)
if (numsignificant5/numgqtests < 0.05) dum <- 'OK' else dum <- 'NOK'
a<-table.element(a,dum)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'10% type I error level',header=TRUE)
a<-table.element(a,numsignificant10)
a<-table.element(a,numsignificant10/numgqtests)
if (numsignificant10/numgqtests < 0.1) dum <- 'OK' else dum <- 'NOK'
a<-table.element(a,dum)
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable6.tab')
}
 





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Software written by Ed van Stee & Patrick Wessa


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