Multiple Linear Regression - Estimated Regression Equation |
LogPS[t] = + 1.27884910482951 + 0.0665627478119498LogL[t] + 0.140956520982315LogWb[t] -0.114322631263947LogWbr[t] -0.397394506097767LogTg[t] + 0.0934828417449626P[t] + 0.0527035657009435S[t] -0.263996392119805D[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) | 1.27884910482951 | 0.185936 | 6.8779 | 0 | 0 |
LogL | 0.0665627478119498 | 0.115977 | 0.5739 | 0.570156 | 0.285078 |
LogWb | 0.140956520982315 | 0.071364 | 1.9752 | 0.057209 | 0.028604 |
LogWbr | -0.114322631263947 | 0.104 | -1.0993 | 0.280122 | 0.140061 |
LogTg | -0.397394506097767 | 0.102682 | -3.8701 | 0.000523 | 0.000262 |
P | 0.0934828417449626 | 0.062811 | 1.4883 | 0.146772 | 0.073386 |
S | 0.0527035657009435 | 0.039853 | 1.3225 | 0.19569 | 0.097845 |
D | -0.263996392119805 | 0.07413 | -3.5613 | 0.001216 | 0.000608 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.87048379182848 |
R-squared | 0.757742031836087 |
Adjusted R-squared | 0.703038619670043 |
F-TEST (value) | 13.8518238960316 |
F-TEST (DF numerator) | 7 |
F-TEST (DF denominator) | 31 |
p-value | 5.56941184282067e-08 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 0.164049391721402 |
Sum Squared Residuals | 0.834278290649018 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 0.30103 | 0.124728869446341 | 0.176301130553659 |
2 | 0.25527251 | -0.160228753633906 | 0.415501263633906 |
3 | -0.15490196 | -0.106804706223694 | -0.0480972537763059 |
4 | 0.59106461 | 0.461404047845105 | 0.129660562154895 |
5 | 0 | -0.0155535504740161 | 0.0155535504740161 |
6 | 0.5563025 | 0.507115673924316 | 0.0491868260756842 |
7 | 0.14612804 | 0.275453027921185 | -0.129324987921185 |
8 | 0.17609126 | -0.00154954638118404 | 0.177640806381184 |
9 | -0.15490196 | -0.109237261880564 | -0.0456646981194357 |
10 | 0.32221929 | 0.384563774066172 | -0.0623444840661717 |
11 | 0.61278386 | 0.372936574126405 | 0.239847285873595 |
12 | 0.07918125 | 0.106237994231416 | -0.0270567442314159 |
13 | -0.30103 | -0.118396703321665 | -0.182633296678335 |
14 | 0.53147892 | 0.51504522391189 | 0.0164336960881105 |
15 | 0.17609126 | 0.368543193344305 | -0.192451933344305 |
16 | 0.53147892 | 0.286225577926369 | 0.245253342073631 |
17 | -0.09691001 | 0.0965495913658846 | -0.193459601365885 |
18 | -0.09691001 | -0.142480561445818 | 0.0455705514458182 |
19 | 0.30103 | 0.36466446909694 | -0.0636344690969395 |
20 | 0.2787536 | 0.225779446199872 | 0.0529741538001275 |
21 | 0.11394335 | 0.253517781516714 | -0.139574431516714 |
22 | 0.74818803 | 0.81328718898033 | -0.0650991589803296 |
23 | 0.49136169 | 0.440922717585913 | 0.0504389724140875 |
24 | 0.25527251 | 0.0811899345273506 | 0.174082575472649 |
25 | -0.04575749 | -0.0864990850849126 | 0.0407415950849126 |
26 | 0.25527251 | 0.484403422677231 | -0.229130912677231 |
27 | 0.2787536 | 0.147992180949412 | 0.130761419050588 |
28 | -0.04575749 | 0.112999993544494 | -0.158757483544494 |
29 | 0.41497335 | 0.229511492293056 | 0.185461857706944 |
30 | 0.38021124 | 0.438820288944455 | -0.0586090489444552 |
31 | 0.07918125 | 0.172902626002748 | -0.093721376002748 |
32 | -0.04575749 | 0.0225250222778648 | -0.0682825122778648 |
33 | -0.30103 | -0.0829780635940158 | -0.218051936405984 |
34 | -0.22184875 | -0.100074697464356 | -0.121774052535644 |
35 | 0.36172784 | 0.273486989714931 | 0.0882408502850691 |
36 | -0.30103 | -0.118326857482751 | -0.182703142517249 |
37 | 0.41497335 | 0.3159696399405 | 0.0990037100594996 |
38 | -0.22184875 | -0.189955538967626 | -0.0318932110323744 |
39 | 0.81954394 | 0.83993335359331 | -0.0203894135933097 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
11 | 0.933474603415896 | 0.133050793168208 | 0.0665253965841039 |
12 | 0.875001168062336 | 0.249997663875329 | 0.124998831937664 |
13 | 0.929450886043647 | 0.141098227912706 | 0.0705491139563529 |
14 | 0.873734866667351 | 0.252530266665297 | 0.126265133332649 |
15 | 0.851449968590607 | 0.297100062818786 | 0.148550031409393 |
16 | 0.916512603488514 | 0.166974793022971 | 0.0834873965114856 |
17 | 0.921177537174506 | 0.157644925650989 | 0.0788224628254944 |
18 | 0.870862305884298 | 0.258275388231404 | 0.129137694115702 |
19 | 0.819571442363008 | 0.360857115273983 | 0.180428557636992 |
20 | 0.750812731452747 | 0.498374537094507 | 0.249187268547253 |
21 | 0.721289883713821 | 0.557420232572358 | 0.278710116286179 |
22 | 0.62574450195348 | 0.748510996093039 | 0.374255498046519 |
23 | 0.519298273848515 | 0.96140345230297 | 0.480701726151485 |
24 | 0.515043239136808 | 0.969913521726383 | 0.484956760863192 |
25 | 0.424495087914194 | 0.848990175828389 | 0.575504912085806 |
26 | 0.511383985224765 | 0.97723202955047 | 0.488616014775235 |
27 | 0.700708384742012 | 0.598583230515977 | 0.299291615257988 |
28 | 0.978938746485072 | 0.0421225070298569 | 0.0210612535149284 |
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 | 1 | 0.0555555555555556 | NOK |
10% type I error level | 1 | 0.0555555555555556 | OK |