Multiple Linear Regression - Ordinary Least Squares | |||||
Variable | Parameter | S.E. | T-STAT H0: parameter = 0 | 2-tail p-value | 1-tail p-value |
prijs[t] | 18976.837935 | 2532.22675 | 7.494131 | 0 | 0 |
Constant | 7959.146927 | 2812.275594 | 2.830145 | 0.006824 | 0.003412 |
M1[t] | 15259.770625 | 1743.036886 | 8.754703 | 0 | 0 |
M2[t] | 11317.146673 | 1738.463398 | 6.509856 | 0 | 0 |
M3[t] | 16094.000769 | 1729.008495 | 9.308225 | 0 | 0 |
M4[t] | 12674.36478 | 1727.306643 | 7.337646 | 0 | 0 |
M5[t] | 10293.121832 | 1728.240865 | 5.955838 | 0 | 0 |
M6[t] | 14883.058959 | 1726.375784 | 8.620985 | 0 | 0 |
M7[t] | 7832.447244 | 1725.211459 | 4.539993 | 3.9E-05 | 2E-05 |
M8[t] | 4356.496371 | 1724.750523 | 2.52587 | 0.01497 | 0.007485 |
M9[t] | 6813.612238 | 1724.750885 | 3.950491 | 0.00026 | 0.00013 |
M10[t] | 9518.316736 | 1725.167046 | 5.51733 | 1E-06 | 1E-06 |
M11[t] | 5390.380277 | 1725.345089 | 3.124233 | 0.003051 | 0.001526 |
Variable | Elasticity | S.E.* | T-STAT H0: |elast| = 1 | 2-tail p-value | 1-tail p-value |
%prijs[t] | 0.513624 | 0.068537 | -7.096559 | 0 | 0 |
%Constant | 0.221268 | 0.078183 | -9.960405 | 0 | 0 |
%M1[t] | 0.035352 | 0.004038 | -238.885839 | 0 | 0 |
%M2[t] | 0.026219 | 0.004028 | -241.78217 | 0 | 0 |
%M3[t] | 0.037285 | 0.004006 | -240.34156 | 0 | 0 |
%M4[t] | 0.029363 | 0.004002 | -242.55811 | 0 | 0 |
%M5[t] | 0.023846 | 0.004004 | -243.804835 | 0 | 0 |
%M6[t] | 0.03448 | 0.004 | -241.409515 | 0 | 0 |
%M7[t] | 0.018146 | 0.003997 | -245.65925 | 0 | 0 |
%M8[t] | 0.010093 | 0.003996 | -247.740237 | 0 | 0 |
%M9[t] | 0.015785 | 0.003996 | -246.315564 | 0 | 0 |
%M10[t] | 0.022051 | 0.003997 | -244.688353 | 0 | 0 |
%M11[t] | 0.012488 | 0.003997 | -247.055631 | 0 | 0 |
Variable | Stand. Coeff. | S.E.* | T-STAT H0: coeff = 0 | 2-tail p-value | 1-tail p-value |
S-prijs[t] | 0.491305 | 0.065559 | 7.494131 | 0 | 0 |
S-Constant | 0 | 0 | 0 | 1 | 0.5 |
S-M1[t] | 0.760122 | 0.086824 | 8.754703 | 0 | 0 |
S-M2[t] | 0.563731 | 0.086597 | 6.509856 | 0 | 0 |
S-M3[t] | 0.801676 | 0.086126 | 9.308225 | 0 | 0 |
S-M4[t] | 0.631337 | 0.086041 | 7.337646 | 0 | 0 |
S-M5[t] | 0.512722 | 0.086087 | 5.955838 | 0 | 0 |
S-M6[t] | 0.741357 | 0.085994 | 8.620985 | 0 | 0 |
S-M7[t] | 0.390151 | 0.085936 | 4.539993 | 3.9E-05 | 2E-05 |
S-M8[t] | 0.217006 | 0.085913 | 2.52587 | 0.01497 | 0.007485 |
S-M9[t] | 0.3394 | 0.085914 | 3.950491 | 0.00026 | 0.00013 |
S-M10[t] | 0.474128 | 0.085934 | 5.51733 | 1E-06 | 1E-06 |
S-M11[t] | 0.268506 | 0.085943 | 3.124233 | 0.003051 | 0.001526 |
*Note | computed against deterministic endogenous series | ||||
Variable | Partial Correlation | ||||
prijs[t] | 0.737839 | ||||
Constant | 0.381583 | ||||
M1[t] | 0.787324 | ||||
M2[t] | 0.688582 | ||||
M3[t] | 0.805181 | ||||
M4[t] | 0.730698 | ||||
M5[t] | 0.655827 | ||||
M6[t] | 0.782687 | ||||
M7[t] | 0.552134 | ||||
M8[t] | 0.345718 | ||||
M9[t] | 0.499277 | ||||
M10[t] | 0.626966 | ||||
M11[t] | 0.414686 | ||||
Critical Values (alpha = 5%) | |||||
1-tail CV at 5% | 1.68 | ||||
2-tail CV at 5% | 2.01 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.90043 |
R-squared | 0.810775 |
Adjusted R-squared | 0.762462 |
F-TEST | 16.781769 |
Observations | 60 |
Degrees of Freedom | 47 |
Multiple Linear Regression - Residual Statistics | |
Standard Error | 2727.070023 |
Sum Squared Errors | 349534812.79822 |
Log Likelihood | -552.469387 |
Durbin-Watson | 2.094637 |
Von Neumann Ratio | 2.130139 |
# e[t] > 0 | 27 |
# e[t] < 0 | 33 |
# Runs | 35 |
Stand. Normal Runs Statistic | 1.131293 |
Multiple Linear Regression - Ad Hoc Selection Test Statistics | |
Akaike (1969) Final Prediction Error | 9048241.607897 |
Akaike (1973) Log Information Criterion | 16.011102 |
Akaike (1974) Information Criterion | 8985318.209618 |
Schwarz (1978) Log Criterion | 16.464877 |
Schwarz (1978) Criterion | 14145076.180271 |
Craven-Wahba (1979) Generalized Cross Validation | 9493928.822043 |
Hannan-Quinn (1979) Criterion | 10730478.483565 |
Rice (1984) Criterion | 10280435.670536 |
Shibata (1981) Criterion | 8349998.305735 |
Multiple Linear Regression - Analysis of Variance | |||
ANOVA | DF | Sum of Squares | Mean Square |
Regression | 12 | 1497654238.0518 | 124804519.83765 |
Residual | 47 | 349534812.79822 | 7436910.9106 |
Total | 59 | 1847189050.85 | 31308288.997458 |
F-TEST | 16.781769 | ||
p-value | 0 |