Multiple Linear Regression - Estimated Regression Equation |
Group[t] = + 0.487205492139385 -9.87926596117904e-07Costs[t] -0.000234395473004616Trades[t] -1.30804671140543e-06Dividends[t] + 2.34279226279435e-07Wealth[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) | 0.487205492139385 | 0.149039 | 3.269 | 0.002099 | 0.00105 |
Costs | -9.87926596117904e-07 | 4e-06 | -0.2305 | 0.818749 | 0.409374 |
Trades | -0.000234395473004616 | 0.000468 | -0.501 | 0.618889 | 0.309444 |
Dividends | -1.30804671140543e-06 | 1e-06 | -1.1949 | 0.238511 | 0.119255 |
Wealth | 2.34279226279435e-07 | 0 | 2.8444 | 0.006727 | 0.003364 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.450228000079615 |
R-squared | 0.202705252055690 |
Adjusted R-squared | 0.130223911333480 |
F-TEST (value) | 2.79665428420498 |
F-TEST (DF numerator) | 4 |
F-TEST (DF denominator) | 44 |
p-value | 0.0373912495309497 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 0.471043156485764 |
Sum Squared Residuals | 9.76279283197115 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 1 | 1.26642203591018 | -0.266422035910177 |
2 | 1 | 1.29142628778703 | -0.291426287787032 |
3 | 1 | 1.05545203742473 | -0.0554520374247277 |
4 | 0 | 0.0155934284010630 | -0.0155934284010630 |
5 | 1 | 0.54505684121838 | 0.45494315878162 |
6 | 1 | 0.619865252318217 | 0.380134747681783 |
7 | 0 | 0.48511546623294 | -0.48511546623294 |
8 | 1 | 0.652710175810959 | 0.347289824189041 |
9 | 1 | 0.478764047707854 | 0.521235952292146 |
10 | 1 | 0.721231913731903 | 0.278768086268097 |
11 | 0 | 0.399370869775129 | -0.399370869775129 |
12 | 0 | 0.616821761489231 | -0.616821761489231 |
13 | 1 | 0.757069625625623 | 0.242930374374377 |
14 | 0 | 0.209351316132755 | -0.209351316132755 |
15 | 1 | 0.439439913702567 | 0.560560086297433 |
16 | 0 | 0.528330758620888 | -0.528330758620888 |
17 | 0 | 0.262781237503150 | -0.262781237503150 |
18 | 1 | 0.380867669519847 | 0.619132330480153 |
19 | 1 | 0.57444967583609 | 0.42555032416391 |
20 | 0 | 0.327892903803345 | -0.327892903803345 |
21 | 1 | 0.54414748371547 | 0.45585251628453 |
22 | 1 | 0.507871982353763 | 0.492128017646237 |
23 | 0 | 0.398140570047451 | -0.398140570047451 |
24 | 0 | 0.311784482588631 | -0.311784482588631 |
25 | 0 | 0.385652742422008 | -0.385652742422008 |
26 | 0 | 0.49982796645585 | -0.49982796645585 |
27 | 1 | 0.438709202942881 | 0.56129079705712 |
28 | 0 | 0.396406192018462 | -0.396406192018462 |
29 | 0 | 0.611504318687131 | -0.611504318687131 |
30 | 0 | 0.432623996599273 | -0.432623996599273 |
31 | 1 | 0.524670045977649 | 0.475329954022351 |
32 | 1 | 0.459344744380818 | 0.540655255619182 |
33 | 1 | 0.528102564384178 | 0.471897435615822 |
34 | 1 | 0.477716652600439 | 0.522283347399561 |
35 | 0 | 0.277771411870826 | -0.277771411870826 |
36 | 0 | 0.387248202267197 | -0.387248202267197 |
37 | 0 | 0.492546097083085 | -0.492546097083085 |
38 | 1 | 0.47922263315278 | 0.52077736684722 |
39 | 1 | 0.379578894303166 | 0.620421105696834 |
40 | 0 | 0.397754740707097 | -0.397754740707097 |
41 | 0 | 0.202199322126009 | -0.202199322126009 |
42 | 0 | 0.420742666132705 | -0.420742666132705 |
43 | 0 | 0.424592573686683 | -0.424592573686683 |
44 | 0 | 0.399017640079333 | -0.399017640079333 |
45 | 0 | 0.466622753133764 | -0.466622753133764 |
46 | 1 | 0.423601146712997 | 0.576398853287003 |
47 | 1 | 0.353609514291782 | 0.646390485708218 |
48 | 1 | 0.337876826619552 | 0.662123173380448 |
49 | 0 | 0.41309941410714 | -0.41309941410714 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
8 | 0.138473987518625 | 0.276947975037250 | 0.861526012481375 |
9 | 0.401989737103379 | 0.803979474206759 | 0.598010262896621 |
10 | 0.262199805779326 | 0.524399611558651 | 0.737800194220675 |
11 | 0.421640005171049 | 0.843280010342098 | 0.578359994828951 |
12 | 0.585472506175287 | 0.829054987649427 | 0.414527493824713 |
13 | 0.498797510366585 | 0.99759502073317 | 0.501202489633415 |
14 | 0.43301390716906 | 0.86602781433812 | 0.56698609283094 |
15 | 0.419155813654129 | 0.838311627308259 | 0.580844186345871 |
16 | 0.532151456877523 | 0.935697086244955 | 0.467848543122477 |
17 | 0.470324715758316 | 0.940649431516632 | 0.529675284241684 |
18 | 0.445168070694432 | 0.890336141388864 | 0.554831929305568 |
19 | 0.401127045627402 | 0.802254091254803 | 0.598872954372598 |
20 | 0.377911357643786 | 0.755822715287572 | 0.622088642356214 |
21 | 0.342207510910856 | 0.684415021821712 | 0.657792489089144 |
22 | 0.34123936696879 | 0.68247873393758 | 0.65876063303121 |
23 | 0.326772067218924 | 0.653544134437848 | 0.673227932781076 |
24 | 0.275897795693572 | 0.551795591387144 | 0.724102204306428 |
25 | 0.243807570403270 | 0.487615140806539 | 0.75619242959673 |
26 | 0.245146413642110 | 0.490292827284219 | 0.75485358635789 |
27 | 0.325004030321591 | 0.650008060643181 | 0.67499596967841 |
28 | 0.282576115080381 | 0.565152230160762 | 0.717423884919619 |
29 | 0.401878696243562 | 0.803757392487124 | 0.598121303756438 |
30 | 0.373444972411412 | 0.746889944822824 | 0.626555027588588 |
31 | 0.332852259774979 | 0.665704519549958 | 0.667147740225021 |
32 | 0.366784774025291 | 0.733569548050581 | 0.633215225974709 |
33 | 0.322751524674885 | 0.64550304934977 | 0.677248475325115 |
34 | 0.310326203054562 | 0.620652406109123 | 0.689673796945438 |
35 | 0.586652149970297 | 0.826695700059407 | 0.413347850029703 |
36 | 0.494669434498803 | 0.989338868997605 | 0.505330565501197 |
37 | 0.439026144242918 | 0.878052288485835 | 0.560973855757082 |
38 | 0.477972646557322 | 0.955945293114644 | 0.522027353442678 |
39 | 0.386965183769772 | 0.773930367539544 | 0.613034816230228 |
40 | 0.318971933349732 | 0.637943866699464 | 0.681028066650268 |
41 | 0.53452756976567 | 0.93094486046866 | 0.46547243023433 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 0 | 0 | OK |
5% type I error level | 0 | 0 | OK |
10% type I error level | 0 | 0 | OK |