Multiple Linear Regression - Estimated Regression Equation |
PS[t] = + 1.01286297246682 -0.111002079465273D[t] -0.276532324735665Tg[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) | 1.01286297246682 | 0.125069 | 8.0984 | 0 | 0 |
D | -0.111002079465273 | 0.022068 | -5.03 | 1.1e-05 | 6e-06 |
Tg | -0.276532324735665 | 0.066448 | -4.1617 | 0.000168 | 8.4e-05 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.78228935349227 |
R-squared | 0.611976632587354 |
Adjusted R-squared | 0.592077998361065 |
F-TEST (value) | 30.7547053545427 |
F-TEST (DF numerator) | 2 |
F-TEST (DF denominator) | 39 |
p-value | 9.61011681344104e-09 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 0.186453483961759 |
Sum Squared Residuals | 1.35583116557764 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 0.301029996 | 0.230975834281787 | 0.0700541617182133 |
2 | 0.255272505 | -0.204104238132274 | 0.459376743132274 |
3 | -0.15490196 | -0.0548010941143446 | -0.100100865885655 |
4 | 0.591064607 | 0.474876167244179 | 0.116188439755821 |
5 | 0 | -0.148272770206387 | 0.148272770206387 |
6 | 0.556302501 | 0.404285067995433 | 0.152017433004567 |
7 | 0.146128036 | 0.248766804119539 | -0.102638768119539 |
8 | 0.176091259 | 0.0021796308153188 | 0.173911628184681 |
9 | -0.15490196 | -0.219293876124056 | 0.0643919161240558 |
10 | 0.322219295 | 0.452979993212333 | -0.130760698212333 |
11 | 0 | 0.39067283896396 | -0.39067283896396 |
12 | 0.612783857 | 0.34197791374706 | 0.27080594325294 |
13 | 0.079181246 | 0.215897990033101 | -0.136716744033101 |
14 | -0.301029996 | -0.142294942193302 | -0.158735053806698 |
15 | 0.531478917 | 0.457880715376618 | 0.0735982016233817 |
16 | 0.176091259 | 0.212918852002346 | -0.036827593002346 |
17 | 0.531478917 | 0.279670759498687 | 0.251808157501313 |
18 | -0.096910013 | 0.0621067047950157 | -0.159016717795016 |
19 | -0.096910013 | -0.24076189819937 | 0.14385188519937 |
20 | 0.146128036 | 0.200392349694723 | -0.0542643136947228 |
21 | 0.301029996 | 0.432040768139269 | -0.131010772139268 |
22 | 0.278753601 | 0.230852092999951 | 0.0479015080000494 |
23 | 0.113943352 | 0.326240028022372 | -0.212296676022372 |
24 | 0.301029996 | 0.271384959509392 | 0.0296450364906081 |
25 | 0.748188027 | 0.603432394234039 | 0.144755632765961 |
26 | 0.491361694 | 0.326900069498374 | 0.164461624501626 |
27 | 0.255272505 | 0.197385038560811 | 0.0578874664391892 |
28 | -0.045757491 | -0.0479365707225534 | 0.0021790797225534 |
29 | 0.255272505 | 0.450599912943657 | -0.195327407943657 |
30 | 0.278753601 | -0.000994909667231259 | 0.279748510667231 |
31 | -0.045757491 | 0.0454428588769199 | -0.0912003498769199 |
32 | 0.414973348 | 0.314220358614303 | 0.100752989385697 |
33 | 0.380211242 | 0.427330499031055 | -0.0471192570310555 |
34 | 0.079181246 | 0.178382895322352 | -0.0992016493223519 |
35 | -0.045757491 | 0.140404313631148 | -0.186161804631148 |
36 | -0.301029996 | 0.0294022341658747 | -0.330432230165875 |
37 | -0.22184875 | -0.144704985558873 | -0.0771437644411274 |
38 | 0.361727836 | 0.299142514642149 | 0.0625853213578509 |
39 | -0.301029996 | 0.043547559990627 | -0.344577555990627 |
40 | 0.414973348 | 0.331052524780883 | 0.0839208232191166 |
41 | -0.22184875 | -0.0733140455866349 | -0.148534704413365 |
42 | 0.819543936 | 0.584919442761749 | 0.234624493238251 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
6 | 0.56055032911684 | 0.87889934176632 | 0.43944967088316 |
7 | 0.773019163324786 | 0.453961673350428 | 0.226980836675214 |
8 | 0.678180453588924 | 0.643639092822152 | 0.321819546411076 |
9 | 0.598619417506705 | 0.802761164986591 | 0.401380582493295 |
10 | 0.55161708690293 | 0.896765826194139 | 0.448382913097069 |
11 | 0.811376018300675 | 0.37724796339865 | 0.188623981699325 |
12 | 0.897465293041335 | 0.205069413917329 | 0.102534706958665 |
13 | 0.884260351661738 | 0.231479296676525 | 0.115739648338262 |
14 | 0.880438874214097 | 0.239122251571805 | 0.119561125785903 |
15 | 0.849750081687015 | 0.300499836625969 | 0.150249918312985 |
16 | 0.798104857086246 | 0.403790285827508 | 0.201895142913754 |
17 | 0.841906486946654 | 0.316187026106693 | 0.158093513053346 |
18 | 0.828366391540143 | 0.343267216919714 | 0.171633608459857 |
19 | 0.834714493726769 | 0.330571012546462 | 0.165285506273231 |
20 | 0.772035302077229 | 0.455929395845542 | 0.227964697922771 |
21 | 0.741370529228301 | 0.517258941543397 | 0.258629470771699 |
22 | 0.670610926146319 | 0.658778147707363 | 0.329389073853681 |
23 | 0.71925330478267 | 0.561493390434659 | 0.280746695217329 |
24 | 0.635085668312883 | 0.729828663374233 | 0.364914331687117 |
25 | 0.588974992423562 | 0.822050015152876 | 0.411025007576438 |
26 | 0.600071840929075 | 0.79985631814185 | 0.399928159070925 |
27 | 0.552541283054197 | 0.894917433891605 | 0.447458716945803 |
28 | 0.483989600645406 | 0.967979201290811 | 0.516010399354594 |
29 | 0.653128248176499 | 0.693743503647002 | 0.346871751823501 |
30 | 0.96936650447633 | 0.0612669910473412 | 0.0306334955236706 |
31 | 0.976552203528233 | 0.0468955929435339 | 0.023447796471767 |
32 | 0.969403119374236 | 0.0611937612515285 | 0.0305968806257642 |
33 | 0.9441648237251 | 0.111670352549802 | 0.055835176274901 |
34 | 0.925693654972276 | 0.148612690055448 | 0.074306345027724 |
35 | 0.943421133188992 | 0.113157733622015 | 0.0565788668110077 |
36 | 0.887599495934966 | 0.224801008130068 | 0.112400504065034 |
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 | 0.032258064516129 | OK |
10% type I error level | 3 | 0.0967741935483871 | OK |