| Multiple Linear Regression - Estimated Regression Equation |
| X6[t] = + 71.2561 -1.05489M1[t] -0.0677651M2[t] + 10.1749M3[t] + 0.567588M4[t] + 0.282487M5[t] + 6.62516M6[t] -7.13216M7[t] -7.95615M8[t] + 6.33668M9[t] + 6.7519M10[t] + 2.07301M11[t] + 0.190657t + 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) | +71.26 | 1.413 | +5.0420e+01 | 2.683e-115 | 1.341e-115 |
| M1 | -1.055 | 1.763 | -5.9840e-01 | 0.5503 | 0.2751 |
| M2 | -0.06777 | 1.763 | -3.8440e-02 | 0.9694 | 0.4847 |
| M3 | +10.18 | 1.763 | +5.7720e+00 | 2.964e-08 | 1.482e-08 |
| M4 | +0.5676 | 1.763 | +3.2200e-01 | 0.7478 | 0.3739 |
| M5 | +0.2825 | 1.763 | +1.6030e-01 | 0.8728 | 0.4364 |
| M6 | +6.625 | 1.763 | +3.7590e+00 | 0.0002244 | 0.0001122 |
| M7 | -7.132 | 1.763 | -4.0460e+00 | 7.443e-05 | 3.721e-05 |
| M8 | -7.956 | 1.763 | -4.5140e+00 | 1.089e-05 | 5.445e-06 |
| M9 | +6.337 | 1.788 | +3.5450e+00 | 0.0004901 | 0.000245 |
| M10 | +6.752 | 1.788 | +3.7770e+00 | 0.0002096 | 0.0001048 |
| M11 | +2.073 | 1.788 | +1.1600e+00 | 0.2476 | 0.1238 |
| t | +0.1907 | 0.005852 | +3.2580e+01 | 1.055e-81 | 5.274e-82 |
| Multiple Linear Regression - Regression Statistics | |
| Multiple R | 0.9295 |
| R-squared | 0.864 |
| Adjusted R-squared | 0.8558 |
| F-TEST (value) | 105.4 |
| F-TEST (DF numerator) | 12 |
| F-TEST (DF denominator) | 199 |
| p-value | 0 |
| Multiple Linear Regression - Residual Statistics | |
| Residual Standard Deviation | 5.212 |
| Sum Squared Residuals | 5405 |
| Menu of Residual Diagnostics | |
| Description | Link |
| Histogram | Compute |
| Central Tendency | Compute |
| QQ Plot | Compute |
| Kernel Density Plot | Compute |
| Skewness/Kurtosis Test | Compute |
| Skewness-Kurtosis Plot | Compute |
| Harrell-Davis Plot | Compute |
| Bootstrap Plot -- Central Tendency | Compute |
| Blocked Bootstrap Plot -- Central Tendency | Compute |
| (Partial) Autocorrelation Plot | Compute |
| Spectral Analysis | Compute |
| Tukey lambda PPCC Plot | Compute |
| Box-Cox Normality Plot | Compute |
| Summary Statistics | Compute |
| Ramsey RESET F-Test for powers (2 and 3) of fitted values |
> reset_test_fitted RESET test data: mylm RESET = 6.3839, df1 = 2, df2 = 197, p-value = 0.002059 |
| Ramsey RESET F-Test for powers (2 and 3) of regressors |
> reset_test_regressors RESET test data: mylm RESET = 1.8046, df1 = 24, df2 = 175, p-value = 0.01642 |
| Ramsey RESET F-Test for powers (2 and 3) of principal components |
> reset_test_principal_components RESET test data: mylm RESET = 24.377, df1 = 2, df2 = 197, p-value = 3.471e-10 |
| Variance Inflation Factors (Multicollinearity) |
> vif
M1 M2 M3 M4 M5 M6 M7 M8
1.884537 1.884350 1.884205 1.884101 1.884039 1.884018 1.884039 1.884101
M9 M10 M11 t
1.839800 1.839702 1.839642 1.001060
|
