Multiple Linear Regression - Estimated Regression Equation |
BEL_20[t] = -318.795051663729 + 0.0756871772943297Nikkei[t] + 0.340914254194191DJ_Indust[t] + 0.014098327989791Goudprijs[t] -1.85647687209124Conjunct_Seizoenzuiver[t] + 10.9888145807143Cons_vertrouw[t] -49.1725874574416Alg_consumptie_index_BE[t] -618.454798508847Gem_rente_kasbon_5j[t] + 340.993038108701Gem_rente_kasbon_1j[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) | -318.795051663729 | 334.235028 | -0.9538 | 0.342053 | 0.171027 |
Nikkei | 0.0756871772943297 | 0.013105 | 5.7755 | 0 | 0 |
DJ_Indust | 0.340914254194191 | 0.02989 | 11.4057 | 0 | 0 |
Goudprijs | 0.014098327989791 | 0.007205 | 1.9567 | 0.052648 | 0.026324 |
Conjunct_Seizoenzuiver | -1.85647687209124 | 5.88166 | -0.3156 | 0.752812 | 0.376406 |
Cons_vertrouw | 10.9888145807143 | 5.369747 | 2.0464 | 0.042845 | 0.021423 |
Alg_consumptie_index_BE | -49.1725874574416 | 23.296096 | -2.1108 | 0.036817 | 0.018409 |
Gem_rente_kasbon_5j | -618.454798508847 | 66.705749 | -9.2714 | 0 | 0 |
Gem_rente_kasbon_1j | 340.993038108701 | 50.55652 | 6.7448 | 0 | 0 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.957748495389464 |
R-squared | 0.917282180420782 |
Adjusted R-squared | 0.911902159635142 |
F-TEST (value) | 170.497887827701 |
F-TEST (DF numerator) | 8 |
F-TEST (DF denominator) | 123 |
p-value | 0 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 223.487566843427 |
Sum Squared Residuals | 6143443.18163222 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 3484.74 | 3038.99450842818 | 445.745491571817 |
2 | 3411.13 | 3024.52278951192 | 386.60721048808 |
3 | 3288.18 | 3131.63406935208 | 156.545930647917 |
4 | 3280.37 | 3503.73172221422 | -223.361722214222 |
5 | 3173.95 | 3647.20713250306 | -473.257132503061 |
6 | 3165.26 | 3255.2214193047 | -89.9614193047016 |
7 | 3092.71 | 3317.62747266103 | -224.917472661026 |
8 | 3053.05 | 3141.16743876762 | -88.1174387676151 |
9 | 3181.96 | 3033.78152251798 | 148.178477482016 |
10 | 2999.93 | 2882.1047850936 | 117.825214906397 |
11 | 3249.57 | 3286.8772851666 | -37.3072851665971 |
12 | 3210.52 | 3302.76150484482 | -92.2415048448192 |
13 | 3030.29 | 3308.6602382368 | -278.370238236797 |
14 | 2803.47 | 3082.03443341821 | -278.564433418207 |
15 | 2767.63 | 3081.22238843409 | -313.592388434093 |
16 | 2882.6 | 3333.47493520534 | -450.874935205344 |
17 | 2863.36 | 3011.35199469497 | -147.991994694972 |
18 | 2897.06 | 3007.66107230137 | -110.601072301366 |
19 | 3012.61 | 3003.05683694585 | 9.55316305414726 |
20 | 3142.95 | 3144.07352250243 | -1.12352250242652 |
21 | 3032.93 | 3031.05674355309 | 1.87325644691486 |
22 | 3045.78 | 2852.55508908587 | 193.224910914127 |
23 | 3110.52 | 2976.4679369228 | 134.052063077205 |
24 | 3013.24 | 3221.9301491869 | -208.690149186897 |
25 | 2987.1 | 3186.07646729113 | -198.976467291127 |
26 | 2995.55 | 3127.90039234392 | -132.350392343916 |
27 | 2833.18 | 2871.9793541251 | -38.7993541250991 |
28 | 2848.96 | 2910.05150398461 | -61.0915039846075 |
29 | 2794.83 | 3033.85855705596 | -239.028557055961 |
30 | 2845.26 | 3027.69782053226 | -182.437820532262 |
31 | 2915.02 | 2846.1636838974 | 68.8563161025978 |
32 | 2892.63 | 2721.3588348894 | 171.271165110597 |
33 | 2604.42 | 2135.89377478668 | 468.526225213318 |
34 | 2641.65 | 2166.64785041228 | 475.002149587717 |
35 | 2659.81 | 2432.94039177919 | 226.86960822081 |
36 | 2638.53 | 2344.67270394404 | 293.857296055959 |
37 | 2720.25 | 2340.60958585902 | 379.640414140982 |
38 | 2745.88 | 2312.5295559028 | 433.350444097198 |
39 | 2735.7 | 2524.30128439963 | 211.398715600367 |
40 | 2811.7 | 2417.39393137458 | 394.306068625416 |
41 | 2799.43 | 2475.73098862238 | 323.69901137762 |
42 | 2555.28 | 2330.16691764008 | 225.113082359924 |
43 | 2304.98 | 2020.45054274776 | 284.529457252241 |
44 | 2214.95 | 2060.82357603482 | 154.126423965181 |
45 | 2065.81 | 1947.42505708501 | 118.384942914985 |
46 | 1940.49 | 1860.88804054829 | 79.6019594517112 |
47 | 2042 | 2039.47361641249 | 2.52638358750839 |
48 | 1995.37 | 1942.27843216974 | 53.0915678302633 |
49 | 1946.81 | 2052.98550267133 | -106.175502671332 |
50 | 1765.9 | 1894.74207655299 | -128.842076552992 |
51 | 1635.25 | 1828.05819177089 | -192.808191770885 |
52 | 1833.42 | 1875.27097882927 | -41.8509788292654 |
53 | 1910.43 | 2264.97283717494 | -354.542837174939 |
54 | 1959.67 | 2536.02469166952 | -576.354691669517 |
55 | 1969.6 | 2401.87505346577 | -432.275053465769 |
56 | 2061.41 | 2268.71682947101 | -207.306829471011 |
57 | 2093.48 | 2463.21513363718 | -369.735133637177 |
58 | 2120.88 | 2364.59278003575 | -243.712780035746 |
59 | 2174.56 | 2427.39679219693 | -252.836792196925 |
60 | 2196.72 | 2565.53240317198 | -368.812403171978 |
61 | 2350.44 | 2709.70338466043 | -359.263384660428 |
62 | 2440.25 | 2706.15231335361 | -265.90231335361 |
63 | 2408.64 | 2703.09335001644 | -294.45335001644 |
64 | 2472.81 | 2798.71433945902 | -325.904339459019 |
65 | 2407.6 | 2524.59041946124 | -116.990419461243 |
66 | 2454.62 | 2748.55661715839 | -293.936617158386 |
67 | 2448.05 | 2555.98566737305 | -107.935667373049 |
68 | 2497.84 | 2554.63147125566 | -56.7914712556564 |
69 | 2645.64 | 2669.76198761532 | -24.1219876153179 |
70 | 2756.76 | 2455.48835787512 | 301.271642124885 |
71 | 2849.27 | 2643.2431597683 | 206.026840231697 |
72 | 2921.44 | 2792.92904170075 | 128.510958299248 |
73 | 2981.85 | 2824.78770950689 | 157.062290493115 |
74 | 3080.58 | 3036.73984269751 | 43.840157302488 |
75 | 3106.22 | 3040.8953678942 | 65.3246321057995 |
76 | 3119.31 | 2870.62592174791 | 248.684078252085 |
77 | 3061.26 | 2835.523129451 | 225.736870549002 |
78 | 3097.31 | 2929.82875797557 | 167.481242024426 |
79 | 3161.69 | 2996.78666461987 | 164.90333538013 |
80 | 3257.16 | 2991.8200687023 | 265.339931297703 |
81 | 3277.01 | 3023.47522770653 | 253.53477229347 |
82 | 3295.32 | 3105.51889029683 | 189.80110970317 |
83 | 3363.99 | 3279.49755218007 | 84.4924478199342 |
84 | 3494.17 | 3454.9419346442 | 39.228065355799 |
85 | 3667.03 | 3540.22448587691 | 126.805514123086 |
86 | 3813.06 | 3646.2610322808 | 166.798967719195 |
87 | 3917.96 | 3756.48412890216 | 161.475871097843 |
88 | 3895.51 | 3799.55607740539 | 95.953922594608 |
89 | 3801.06 | 3737.06825642857 | 63.9917435714334 |
90 | 3570.12 | 3562.29098306192 | 7.82901693808217 |
91 | 3701.61 | 3533.78803251698 | 167.821967483018 |
92 | 3862.27 | 3648.25667556715 | 214.013324432852 |
93 | 3970.1 | 3844.73923737262 | 125.360762627381 |
94 | 4138.52 | 4071.47720528168 | 67.0427947183191 |
95 | 4199.75 | 4120.33021778453 | 79.4197822154683 |
96 | 4290.89 | 4130.12505309643 | 160.764946903569 |
97 | 4443.91 | 4290.9519912033 | 152.9580087967 |
98 | 4502.64 | 4248.10006564401 | 254.539934355992 |
99 | 4356.98 | 4069.17244315522 | 287.80755684478 |
100 | 4591.27 | 4317.95631108202 | 273.313688917978 |
101 | 4696.96 | 4613.80948386031 | 83.1505161396885 |
102 | 4621.4 | 4548.9525151065 | 72.4474848935027 |
103 | 4562.84 | 4499.14803117952 | 63.6919688204818 |
104 | 4202.52 | 4279.56039475249 | -77.0403947524937 |
105 | 4296.49 | 4385.89202168778 | -89.4020216877807 |
106 | 4435.23 | 4520.38258166968 | -85.1525816696783 |
107 | 4105.18 | 4130.82311263087 | -25.6431126308655 |
108 | 4116.68 | 4257.3077349278 | -140.627734927794 |
109 | 3844.49 | 3808.7792535319 | 35.7107464681017 |
110 | 3720.98 | 3817.46246133161 | -96.4824613316064 |
111 | 3674.4 | 3784.89606463086 | -110.496064630863 |
112 | 3857.62 | 4079.31899632472 | -221.698996324721 |
113 | 3801.06 | 4041.17880912386 | -240.118809123863 |
114 | 3504.37 | 3539.81094220333 | -35.4409422033285 |
115 | 3032.6 | 2982.2033950209 | 50.3966049790982 |
116 | 3047.03 | 3123.07919114892 | -76.04919114892 |
117 | 2962.34 | 3184.19220065482 | -221.852200654817 |
118 | 2197.82 | 2296.44623819843 | -98.626238198431 |
119 | 2014.45 | 2311.75711609413 | -297.307116094134 |
120 | 1862.83 | 2206.18493513003 | -343.354935130032 |
121 | 1905.41 | 1955.34268431391 | -49.9326843139105 |
122 | 1810.99 | 1649.20195882217 | 161.788041177827 |
123 | 1670.07 | 1561.06308674244 | 109.006913257565 |
124 | 1864.44 | 1806.48633750984 | 57.9536624901642 |
125 | 2052.02 | 2001.60450454074 | 50.415495459255 |
126 | 2029.6 | 2070.89355414891 | -41.2935541489147 |
127 | 2070.83 | 2100.16096342772 | -29.3309634277243 |
128 | 2293.41 | 2375.36771818163 | -81.9577181816276 |
129 | 2443.27 | 2465.23236073688 | -21.9623607368806 |
130 | 2513.17 | 2434.14079539609 | 79.0292046039127 |
131 | 2466.92 | 2613.14914658355 | -146.229146583554 |
132 | 2502.66 | 2648.93491126813 | -146.274911268129 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
12 | 0.0221140379409387 | 0.0442280758818774 | 0.977885962059061 |
13 | 0.0101211587086208 | 0.0202423174172416 | 0.989878841291379 |
14 | 0.0555272819703077 | 0.111054563940615 | 0.944472718029692 |
15 | 0.0607631429675558 | 0.121526285935112 | 0.939236857032444 |
16 | 0.0446926157518737 | 0.0893852315037475 | 0.955307384248126 |
17 | 0.0903460433578119 | 0.180692086715624 | 0.909653956642188 |
18 | 0.0847890530683778 | 0.169578106136756 | 0.915210946931622 |
19 | 0.058515446943102 | 0.117030893886204 | 0.941484553056898 |
20 | 0.0479391650789417 | 0.0958783301578834 | 0.952060834921058 |
21 | 0.0320804808922005 | 0.064160961784401 | 0.9679195191078 |
22 | 0.0188524415929967 | 0.0377048831859934 | 0.981147558407003 |
23 | 0.0107654815960087 | 0.0215309631920174 | 0.989234518403991 |
24 | 0.0118581298022623 | 0.0237162596045246 | 0.988141870197738 |
25 | 0.0234184032400476 | 0.0468368064800952 | 0.976581596759952 |
26 | 0.0244342349349661 | 0.0488684698699322 | 0.975565765065034 |
27 | 0.0666419276939168 | 0.133283855387834 | 0.933358072306083 |
28 | 0.126933757162399 | 0.253867514324797 | 0.873066242837601 |
29 | 0.146984062308218 | 0.293968124616435 | 0.853015937691782 |
30 | 0.138784824855901 | 0.277569649711802 | 0.861215175144099 |
31 | 0.108336867716405 | 0.216673735432811 | 0.891663132283595 |
32 | 0.0789448371510804 | 0.157889674302161 | 0.92105516284892 |
33 | 0.0936421360178634 | 0.187284272035727 | 0.906357863982137 |
34 | 0.0868003276073166 | 0.173600655214633 | 0.913199672392683 |
35 | 0.0759042735731665 | 0.151808547146333 | 0.924095726426833 |
36 | 0.0603256191698193 | 0.120651238339639 | 0.93967438083018 |
37 | 0.0494852278591335 | 0.098970455718267 | 0.950514772140867 |
38 | 0.0606739419796477 | 0.121347883959295 | 0.939326058020352 |
39 | 0.0467499478687089 | 0.0934998957374177 | 0.95325005213129 |
40 | 0.0584746216540435 | 0.116949243308087 | 0.941525378345957 |
41 | 0.0508674267303114 | 0.101734853460623 | 0.949132573269689 |
42 | 0.0611864001547396 | 0.122372800309479 | 0.93881359984526 |
43 | 0.172678317921219 | 0.345356635842437 | 0.827321682078781 |
44 | 0.319049285964908 | 0.638098571929816 | 0.680950714035092 |
45 | 0.417605698850311 | 0.835211397700621 | 0.58239430114969 |
46 | 0.550112428045095 | 0.89977514390981 | 0.449887571954905 |
47 | 0.629393345847267 | 0.741213308305465 | 0.370606654152733 |
48 | 0.646220755154846 | 0.707558489690307 | 0.353779244845154 |
49 | 0.636894768579704 | 0.726210462840592 | 0.363105231420296 |
50 | 0.585014310691631 | 0.829971378616739 | 0.414985689308369 |
51 | 0.589185957948727 | 0.821628084102545 | 0.410814042051273 |
52 | 0.730011251249608 | 0.539977497500783 | 0.269988748750392 |
53 | 0.787114636063133 | 0.425770727873734 | 0.212885363936867 |
54 | 0.898466450022019 | 0.203067099955963 | 0.101533549977981 |
55 | 0.936799760539721 | 0.126400478920558 | 0.0632002394602788 |
56 | 0.928156862831014 | 0.143686274337972 | 0.0718431371689859 |
57 | 0.947135135723774 | 0.105729728552452 | 0.0528648642762261 |
58 | 0.95999904550856 | 0.0800019089828783 | 0.0400009544914392 |
59 | 0.966109410749218 | 0.0677811785015645 | 0.0338905892507822 |
60 | 0.974387439629296 | 0.0512251207414073 | 0.0256125603707037 |
61 | 0.980794632568205 | 0.0384107348635894 | 0.0192053674317947 |
62 | 0.98007953849624 | 0.0398409230075215 | 0.0199204615037607 |
63 | 0.99014618731633 | 0.0197076253673382 | 0.00985381268366912 |
64 | 0.999253173149585 | 0.00149365370082993 | 0.000746826850414964 |
65 | 0.999796826650734 | 0.000406346698531671 | 0.000203173349265836 |
66 | 0.999985211851888 | 2.95762962242739e-05 | 1.47881481121369e-05 |
67 | 0.999997342504678 | 5.31499064382068e-06 | 2.65749532191034e-06 |
68 | 0.999999313627876 | 1.37274424808602e-06 | 6.8637212404301e-07 |
69 | 0.999999838667164 | 3.22665672603342e-07 | 1.61332836301671e-07 |
70 | 0.99999996920666 | 6.15866796893579e-08 | 3.07933398446789e-08 |
71 | 0.999999984306516 | 3.13869672644522e-08 | 1.56934836322261e-08 |
72 | 0.999999984024565 | 3.19508706764648e-08 | 1.59754353382324e-08 |
73 | 0.999999984290968 | 3.14180634620664e-08 | 1.57090317310332e-08 |
74 | 0.999999985755423 | 2.84891536664721e-08 | 1.42445768332361e-08 |
75 | 0.99999998829922 | 2.34015585345344e-08 | 1.17007792672672e-08 |
76 | 0.999999990519109 | 1.89617822399972e-08 | 9.48089111999861e-09 |
77 | 0.99999999173685 | 1.65263018677202e-08 | 8.26315093386008e-09 |
78 | 0.999999989975425 | 2.00491498338234e-08 | 1.00245749169117e-08 |
79 | 0.99999998543162 | 2.91367586025276e-08 | 1.45683793012638e-08 |
80 | 0.99999999291287 | 1.41742613432005e-08 | 7.08713067160023e-09 |
81 | 0.999999998304659 | 3.39068271277371e-09 | 1.69534135638685e-09 |
82 | 0.999999999607036 | 7.85927704882804e-10 | 3.92963852441402e-10 |
83 | 0.999999999699626 | 6.00747675331449e-10 | 3.00373837665724e-10 |
84 | 0.9999999992095 | 1.58100193990149e-09 | 7.90500969950747e-10 |
85 | 0.999999998348115 | 3.30376919261876e-09 | 1.65188459630938e-09 |
86 | 0.999999995982375 | 8.03524981311005e-09 | 4.01762490655503e-09 |
87 | 0.999999989788694 | 2.04226120176796e-08 | 1.02113060088398e-08 |
88 | 0.999999998204941 | 3.59011796606406e-09 | 1.79505898303203e-09 |
89 | 0.999999999913459 | 1.73082571538773e-10 | 8.65412857693864e-11 |
90 | 0.999999999858793 | 2.82414042781231e-10 | 1.41207021390616e-10 |
91 | 0.999999999573154 | 8.53692667584624e-10 | 4.26846333792312e-10 |
92 | 0.999999998743867 | 2.51226538508602e-09 | 1.25613269254301e-09 |
93 | 0.999999996259955 | 7.48008951351497e-09 | 3.74004475675749e-09 |
94 | 0.999999993955562 | 1.2088876001421e-08 | 6.04443800071051e-09 |
95 | 0.999999983142568 | 3.3714863437189e-08 | 1.68574317185945e-08 |
96 | 0.999999963385918 | 7.32281638239122e-08 | 3.66140819119561e-08 |
97 | 0.999999901468402 | 1.97063196312632e-07 | 9.85315981563158e-08 |
98 | 0.999999767648594 | 4.64702811813533e-07 | 2.32351405906767e-07 |
99 | 0.999999402068367 | 1.19586326645857e-06 | 5.97931633229283e-07 |
100 | 0.999998683359979 | 2.63328004240163e-06 | 1.31664002120081e-06 |
101 | 0.999996579108445 | 6.8417831106665e-06 | 3.42089155533325e-06 |
102 | 0.999991474019981 | 1.70519600374571e-05 | 8.52598001872856e-06 |
103 | 0.999978871240418 | 4.2257519164283e-05 | 2.11287595821415e-05 |
104 | 0.999953249352283 | 9.3501295434825e-05 | 4.67506477174125e-05 |
105 | 0.99991688545729 | 0.000166229085421724 | 8.3114542710862e-05 |
106 | 0.999833655114306 | 0.00033268977138831 | 0.000166344885694155 |
107 | 0.99981758814137 | 0.000364823717260714 | 0.000182411858630357 |
108 | 0.99963966228985 | 0.000720675420299004 | 0.000360337710149502 |
109 | 0.999926182871712 | 0.000147634256575927 | 7.38171282879633e-05 |
110 | 0.999845046042522 | 0.000309907914955313 | 0.000154953957477657 |
111 | 0.999688004489233 | 0.000623991021534928 | 0.000311995510767464 |
112 | 0.999687839906756 | 0.000624320186487169 | 0.000312160093243584 |
113 | 0.999618539311245 | 0.000762921377509761 | 0.000381460688754881 |
114 | 0.999896774631306 | 0.000206450737387879 | 0.000103225368693939 |
115 | 0.99961081700653 | 0.000778365986941464 | 0.000389182993470732 |
116 | 0.998642633800242 | 0.0027147323995162 | 0.0013573661997581 |
117 | 0.996994063717707 | 0.00601187256458689 | 0.00300593628229345 |
118 | 0.989834783580523 | 0.0203304328389537 | 0.0101652164194768 |
119 | 0.99785214309019 | 0.0042957138196219 | 0.00214785690981095 |
120 | 0.992221621662749 | 0.015556756674503 | 0.0077783783372515 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 55 | 0.504587155963303 | NOK |
5% type I error level | 67 | 0.614678899082569 | NOK |
10% type I error level | 75 | 0.688073394495413 | NOK |