Multiple Linear Regression - Ordinary Least Squares | |||||
Variable | Parameter | S.E. | T-STAT H0: parameter = 0 | 2-tail p-value | 1-tail p-value |
x[t] | -226.385034 | 41.037226 | -5.516577 | 0 | 0 |
Constant | 2325.828228 | 44.148716 | 52.681673 | 0 | 0 |
t^1 | -1.764855 | 0.240551 | -7.336707 | 0 | 0 |
M1[t] | -454.904684 | 53.95579 | -8.431063 | 0 | 0 |
M2[t] | -635.461053 | 53.941479 | -11.780564 | 0 | 0 |
M3[t] | -586.663409 | 53.952742 | -10.873653 | 0 | 0 |
M4[t] | -694.556343 | 53.922166 | -12.88072 | 0 | 0 |
M5[t] | -559.008698 | 53.931287 | -10.365202 | 0 | 0 |
M6[t] | -609.464132 | 53.907141 | -11.305814 | 0 | 0 |
M7[t] | -535.603987 | 53.914117 | -9.934392 | 0 | 0 |
M8[t] | -515.434421 | 53.896405 | -9.563429 | 0 | 0 |
M9[t] | -464.386777 | 53.901237 | -8.615512 | 0 | 0 |
M10[t] | -319.717211 | 53.889963 | -5.932778 | 0 | 0 |
M11[t] | -121.919566 | 53.892648 | -2.262267 | 0.02489 | 0.012445 |
Variable | Elasticity | S.E.* | T-STAT H0: |elast| = 1 | 2-tail p-value | 1-tail p-value |
%x[t] | -0.016236 | 0.002943 | -334.258695 | 0 | 0 |
%Constant | 1.392455 | 0.026431 | 14.848018 | 0 | 0 |
%t^1 | -0.101962 | 0.013898 | -64.618317 | 0 | 0 |
%M1[t] | -0.022696 | 0.002692 | -363.052471 | 0 | 0 |
%M2[t] | -0.031704 | 0.002691 | -359.801524 | 0 | 0 |
%M3[t] | -0.029269 | 0.002692 | -360.630868 | 0 | 0 |
%M4[t] | -0.034652 | 0.00269 | -358.834454 | 0 | 0 |
%M5[t] | -0.02789 | 0.002691 | -361.287108 | 0 | 0 |
%M6[t] | -0.030407 | 0.002689 | -360.512969 | 0 | 0 |
%M7[t] | -0.026722 | 0.00269 | -361.836276 | 0 | 0 |
%M8[t] | -0.025716 | 0.002689 | -362.329416 | 0 | 0 |
%M9[t] | -0.023169 | 0.002689 | -363.243999 | 0 | 0 |
%M10[t] | -0.015951 | 0.002689 | -366.004523 | 0 | 0 |
%M11[t] | -0.006083 | 0.002689 | -369.656508 | 0 | 0 |
Variable | Stand. Coeff. | S.E.* | T-STAT H0: coeff = 0 | 2-tail p-value | 1-tail p-value |
S-x[t] | -0.254491 | 0.046132 | -5.516577 | 0 | 0 |
S-Constant | 0 | 0 | 0 | 1 | 0.5 |
S-t^1 | -0.338746 | 0.046171 | -7.336707 | 0 | 0 |
S-M1[t] | -0.435266 | 0.051626 | -8.431063 | 0 | 0 |
S-M2[t] | -0.608027 | 0.051613 | -11.780564 | 0 | 0 |
S-M3[t] | -0.561336 | 0.051624 | -10.873653 | 0 | 0 |
S-M4[t] | -0.664571 | 0.051594 | -12.88072 | 0 | 0 |
S-M5[t] | -0.534875 | 0.051603 | -10.365202 | 0 | 0 |
S-M6[t] | -0.583153 | 0.05158 | -11.305814 | 0 | 0 |
S-M7[t] | -0.512481 | 0.051587 | -9.934392 | 0 | 0 |
S-M8[t] | -0.493182 | 0.05157 | -9.563429 | 0 | 0 |
S-M9[t] | -0.444338 | 0.051574 | -8.615512 | 0 | 0 |
S-M10[t] | -0.305914 | 0.051563 | -5.932778 | 0 | 0 |
S-M11[t] | -0.116656 | 0.051566 | -2.262267 | 0.02489 | 0.012445 |
*Note | computed against deterministic endogenous series | ||||
Variable | Partial Correlation | ||||
x[t] | -0.382109 | ||||
Constant | 0.969397 | ||||
t^1 | -0.481858 | ||||
M1[t] | -0.534208 | ||||
M2[t] | -0.66189 | ||||
M3[t] | -0.631766 | ||||
M4[t] | -0.69457 | ||||
M5[t] | -0.613511 | ||||
M6[t] | -0.646499 | ||||
M7[t] | -0.597232 | ||||
M8[t] | -0.582596 | ||||
M9[t] | -0.542482 | ||||
M10[t] | -0.406319 | ||||
M11[t] | -0.167178 | ||||
Critical Values (alpha = 5%) | |||||
1-tail CV at 5% | 1.65 | ||||
2-tail CV at 5% | 1.96 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.861322 |
R-squared | 0.741876 |
Adjusted R-squared | 0.723025 |
F-TEST | 39.353229 |
Observations | 192 |
Degrees of Freedom | 178 |
Multiple Linear Regression - Residual Statistics | |
Standard Error | 152.41776 |
Sum Squared Errors | 4135148.87029 |
Log Likelihood | -1230.279896 |
Durbin-Watson | 0.918093 |
Von Neumann Ratio | 0.9229 |
# e[t] > 0 | 100 |
# e[t] < 0 | 92 |
# Runs | 66 |
Stand. Normal Runs Statistic | -4.469906 |
Multiple Linear Regression - Ad Hoc Selection Test Statistics | |
Akaike (1969) Final Prediction Error | 24925.113158 |
Akaike (1973) Log Information Criterion | 10.123372 |
Akaike (1974) Information Criterion | 24918.651283 |
Schwarz (1978) Log Criterion | 10.360898 |
Schwarz (1978) Criterion | 31599.530877 |
Craven-Wahba (1979) Generalized Cross Validation | 25058.344372 |
Hannan-Quinn (1979) Criterion | 27434.908117 |
Rice (1984) Criterion | 25214.32238 |
Shibata (1981) Criterion | 24678.080281 |
Multiple Linear Regression - Analysis of Variance | |||
ANOVA | DF | Sum of Squares | Mean Square |
Regression | 13 | 11884881.999502 | 914221.692269 |
Residual | 178 | 4135148.87029 | 23231.173429 |
Total | 191 | 16020030.869792 | 83874.507171684 |
F-TEST | 39.353229 | ||
p-value | 0 |