Multiple Linear Regression - Estimated Regression Equation |
PC[t] = + 2.18714234745475 + 0.271235107786437G[t] + 0.0434255996311821CM[t] + 0.103582456740995DA[t] + 0.424577505469688PE[t] + 0.00930133630698519PS[t] -0.0953227133970645O[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) | 2.18714234745475 | 1.557532 | 1.4042 | 0.162289 | 0.081144 |
G | 0.271235107786437 | 0.354958 | 0.7641 | 0.445973 | 0.222986 |
CM | 0.0434255996311821 | 0.038583 | 1.1255 | 0.262141 | 0.13107 |
DA | 0.103582456740995 | 0.069828 | 1.4834 | 0.140041 | 0.070021 |
PE | 0.424577505469688 | 0.054873 | 7.7375 | 0 | 0 |
PS | 0.00930133630698519 | 0.050874 | 0.1828 | 0.855175 | 0.427587 |
O | -0.0953227133970645 | 0.048963 | -1.9468 | 0.053398 | 0.026699 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.629003287475925 |
R-squared | 0.395645135655521 |
Adjusted R-squared | 0.371789022589291 |
F-TEST (value) | 16.5846437161464 |
F-TEST (DF numerator) | 6 |
F-TEST (DF denominator) | 152 |
p-value | 1.16573417585641e-14 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 2.14560706281333 |
Sum Squared Residuals | 699.751709535157 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 12 | 7.63717543176045 | 4.36282456823955 |
2 | 8 | 5.96681311578808 | 2.03318688421192 |
3 | 8 | 9.20313234447132 | -1.20313234447132 |
4 | 8 | 6.71310576589152 | 1.28689423410849 |
5 | 9 | 7.82836092016256 | 1.17163907983744 |
6 | 7 | 6.99544750041154 | 0.00455249958845706 |
7 | 4 | 7.1537672559758 | -3.15376725597579 |
8 | 11 | 7.44633549516635 | 3.55366450483365 |
9 | 7 | 8.3245457523644 | -1.32454575236440 |
10 | 7 | 7.93902257953468 | -0.93902257953468 |
11 | 12 | 8.6368035292701 | 3.36319647072989 |
12 | 10 | 10.5295266690556 | -0.529526669055586 |
13 | 10 | 6.99859881072226 | 3.00140118927774 |
14 | 8 | 7.71901857193351 | 0.280981428066488 |
15 | 8 | 7.3075871821381 | 0.692412817861896 |
16 | 4 | 7.34457716499546 | -3.34457716499546 |
17 | 9 | 6.42192983820454 | 2.57807016179546 |
18 | 8 | 7.8663549191229 | 0.133645080877104 |
19 | 7 | 9.2902509720016 | -2.29025097200160 |
20 | 11 | 11.0512546060723 | -0.0512546060722577 |
21 | 9 | 8.0671118102869 | 0.932888189713104 |
22 | 11 | 11.7946711513035 | -0.794671151303512 |
23 | 13 | 8.6928257510214 | 4.30717424897861 |
24 | 8 | 7.74673724605832 | 0.253262753941677 |
25 | 8 | 6.61021418357305 | 1.38978581642695 |
26 | 9 | 8.54793000663092 | 0.452069993369077 |
27 | 6 | 8.57258242672418 | -2.57258242672418 |
28 | 9 | 7.98228010536051 | 1.01771989463949 |
29 | 9 | 9.44126761633275 | -0.441267616332748 |
30 | 6 | 7.66056932136737 | -1.66056932136737 |
31 | 6 | 6.09702378997289 | -0.0970237899728906 |
32 | 16 | 10.7978214747831 | 5.2021785252169 |
33 | 5 | 11.1944101877991 | -6.19441018779909 |
34 | 7 | 7.6534172002683 | -0.6534172002683 |
35 | 9 | 9.5774287789612 | -0.577428778961202 |
36 | 6 | 7.11786170510101 | -1.11786170510101 |
37 | 6 | 7.0153645383085 | -1.01536453830849 |
38 | 5 | 7.83618264642205 | -2.83618264642205 |
39 | 12 | 11.1679540524319 | 0.832045947568065 |
40 | 7 | 7.95925333731902 | -0.959253337319017 |
41 | 10 | 10.1924226794435 | -0.192422679443455 |
42 | 9 | 8.60141394170036 | 0.398586058299643 |
43 | 8 | 9.15425797860542 | -1.15425797860542 |
44 | 5 | 8.96220584669739 | -3.96220584669739 |
45 | 8 | 6.92913651360722 | 1.07086348639278 |
46 | 8 | 7.09729748976695 | 0.90270251023305 |
47 | 10 | 8.872042958597 | 1.12795704140299 |
48 | 6 | 7.44390693475173 | -1.44390693475173 |
49 | 8 | 8.15982058492025 | -0.159820584920251 |
50 | 7 | 10.3558946604533 | -3.35589466045327 |
51 | 4 | 5.56507060217383 | -1.56507060217383 |
52 | 8 | 7.17479336582481 | 0.825206634175189 |
53 | 8 | 6.97463483193293 | 1.02536516806707 |
54 | 4 | 4.99061056248646 | -0.990610562486465 |
55 | 20 | 13.0653998513830 | 6.93460014861699 |
56 | 8 | 7.75905353956032 | 0.240946460439682 |
57 | 8 | 7.4838518702207 | 0.516148129779296 |
58 | 6 | 8.36672486389353 | -2.36672486389353 |
59 | 4 | 4.21219780992602 | -0.212197809926016 |
60 | 8 | 9.0158706740298 | -1.01587067402980 |
61 | 9 | 7.06394906171752 | 1.93605093828248 |
62 | 6 | 7.86113413585 | -1.86113413585000 |
63 | 7 | 8.29596960973749 | -1.29596960973749 |
64 | 9 | 6.18995228761743 | 2.81004771238257 |
65 | 5 | 6.85434866861619 | -1.85434866861619 |
66 | 5 | 6.1069844415282 | -1.10698444152821 |
67 | 8 | 7.49170264291292 | 0.508297357087083 |
68 | 8 | 7.98457262895879 | 0.0154273710412143 |
69 | 6 | 6.50644750694418 | -0.506447506944179 |
70 | 8 | 6.98611460493035 | 1.01388539506965 |
71 | 7 | 7.68681099588278 | -0.686810995882781 |
72 | 7 | 6.31104427023043 | 0.688955729769569 |
73 | 9 | 9.10603077664228 | -0.106030776642279 |
74 | 11 | 10.9353601210429 | 0.0646398789570543 |
75 | 6 | 8.7378133111142 | -2.73781331111421 |
76 | 8 | 8.04340573239236 | -0.0434057323923618 |
77 | 6 | 8.07606755123294 | -2.07606755123294 |
78 | 9 | 8.74550898997414 | 0.254491010025860 |
79 | 8 | 6.22180043036825 | 1.77819956963175 |
80 | 6 | 8.46864255311038 | -2.46864255311038 |
81 | 10 | 8.08564835819213 | 1.91435164180787 |
82 | 8 | 6.21161771811007 | 1.78838228188993 |
83 | 8 | 8.48367290237763 | -0.483672902377626 |
84 | 10 | 8.89357747545287 | 1.10642252454713 |
85 | 5 | 6.17818792078822 | -1.17818792078822 |
86 | 7 | 9.47247887155855 | -2.47247887155855 |
87 | 5 | 7.03058179752459 | -2.03058179752459 |
88 | 8 | 6.10192054764226 | 1.89807945235774 |
89 | 14 | 10.1357953066608 | 3.86420469333916 |
90 | 7 | 7.84179932494668 | -0.841799324946678 |
91 | 8 | 9.12329522007711 | -1.12329522007711 |
92 | 6 | 4.96738115510509 | 1.03261884489491 |
93 | 5 | 6.35072703959093 | -1.35072703959093 |
94 | 6 | 9.38763803518128 | -3.38763803518128 |
95 | 10 | 6.77890842758155 | 3.22109157241845 |
96 | 12 | 11.8470105473675 | 0.152989452632491 |
97 | 9 | 9.4894707635459 | -0.489470763545892 |
98 | 12 | 11.1714730695276 | 0.828526930472448 |
99 | 7 | 7.47628309672623 | -0.476283096726231 |
100 | 8 | 8.32536528462459 | -0.325365284624589 |
101 | 10 | 9.34504225772238 | 0.65495774227762 |
102 | 6 | 7.1047171210265 | -1.10471712102650 |
103 | 10 | 11.2582025820310 | -1.25820258203096 |
104 | 10 | 8.535588852287 | 1.46441114771299 |
105 | 10 | 7.27057634671014 | 2.72942365328986 |
106 | 5 | 8.39280641682401 | -3.39280641682401 |
107 | 7 | 7.26292278968292 | -0.262922789682919 |
108 | 10 | 8.6992262170412 | 1.3007737829588 |
109 | 11 | 9.5656868398553 | 1.43431316014470 |
110 | 6 | 8.15067528003432 | -2.15067528003432 |
111 | 7 | 7.53682223155077 | -0.536822231550769 |
112 | 12 | 9.44710802613987 | 2.55289197386013 |
113 | 11 | 6.60818516186395 | 4.39181483813605 |
114 | 11 | 10.6165503846565 | 0.383449615343534 |
115 | 11 | 5.21587408868182 | 5.78412591131818 |
116 | 5 | 7.40893721529114 | -2.40893721529114 |
117 | 8 | 10.2920267095665 | -2.29202670956647 |
118 | 6 | 6.80334750173133 | -0.80334750173133 |
119 | 9 | 9.55095380745055 | -0.550953807450546 |
120 | 4 | 7.01587372138868 | -3.01587372138868 |
121 | 4 | 6.24513956401686 | -2.24513956401686 |
122 | 7 | 8.20486735051709 | -1.20486735051709 |
123 | 11 | 9.50061707899359 | 1.49938292100641 |
124 | 6 | 4.56008013545453 | 1.43991986454547 |
125 | 7 | 6.81662568950359 | 0.18337431049641 |
126 | 8 | 9.9582548271011 | -1.95825482710111 |
127 | 4 | 6.10108043555788 | -2.10108043555788 |
128 | 8 | 7.15272566301274 | 0.847274336987259 |
129 | 9 | 8.20812051449749 | 0.79187948550251 |
130 | 8 | 8.14193121445213 | -0.141931214452128 |
131 | 11 | 8.58007847260456 | 2.41992152739544 |
132 | 8 | 7.32740362521871 | 0.672596374781286 |
133 | 5 | 6.80598261433022 | -1.80598261433022 |
134 | 4 | 5.7780458978885 | -1.77804589788850 |
135 | 8 | 7.45746865332149 | 0.542531346678509 |
136 | 10 | 11.8415352497112 | -1.84153524971124 |
137 | 6 | 7.95181137376308 | -1.95181137376308 |
138 | 9 | 8.9586680888852 | 0.0413319111148067 |
139 | 9 | 7.29902041723907 | 1.70097958276093 |
140 | 13 | 8.90126645598052 | 4.09873354401948 |
141 | 9 | 7.91191013527952 | 1.08808986472048 |
142 | 10 | 9.8166716730675 | 0.183328326932508 |
143 | 20 | 14.3827073005120 | 5.61729269948797 |
144 | 5 | 6.07491248560233 | -1.07491248560233 |
145 | 11 | 10.0515356184389 | 0.948464381561124 |
146 | 6 | 8.28001777911344 | -2.28001777911344 |
147 | 9 | 10.6472677083783 | -1.64726770837832 |
148 | 7 | 7.21835791320574 | -0.218357913205745 |
149 | 9 | 8.03417731455332 | 0.965822685446681 |
150 | 10 | 8.4660578358292 | 1.53394216417081 |
151 | 9 | 7.13828936225099 | 1.86171063774901 |
152 | 8 | 10.3315756979097 | -2.33157569790974 |
153 | 7 | 11.6694649446282 | -4.66946494462819 |
154 | 6 | 9.59415577122616 | -3.59415577122616 |
155 | 13 | 11.5458594926223 | 1.45414050737768 |
156 | 6 | 8.09454584702698 | -2.09454584702698 |
157 | 8 | 8.00152325707931 | -0.00152325707931182 |
158 | 10 | 9.50773997861013 | 0.492260021389866 |
159 | 16 | 12.0517665126517 | 3.94823348734829 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
10 | 0.94250431304707 | 0.114991373905859 | 0.0574956869529295 |
11 | 0.919793803402653 | 0.160412393194695 | 0.0802061965973474 |
12 | 0.870468796957182 | 0.259062406085635 | 0.129531203042818 |
13 | 0.841412234225302 | 0.317175531549396 | 0.158587765774698 |
14 | 0.766337449290304 | 0.467325101419393 | 0.233662550709696 |
15 | 0.679101653624742 | 0.641796692750517 | 0.320898346375258 |
16 | 0.736923128163878 | 0.526153743672243 | 0.263076871836122 |
17 | 0.665971797196865 | 0.66805640560627 | 0.334028202803135 |
18 | 0.582330828795302 | 0.835338342409396 | 0.417669171204698 |
19 | 0.550038127918413 | 0.899923744163173 | 0.449961872081587 |
20 | 0.47086670828232 | 0.94173341656464 | 0.52913329171768 |
21 | 0.455708802781006 | 0.911417605562012 | 0.544291197218994 |
22 | 0.386166237965586 | 0.772332475931172 | 0.613833762034414 |
23 | 0.610268526327807 | 0.779462947344387 | 0.389731473672193 |
24 | 0.627403777157403 | 0.745192445685194 | 0.372596222842597 |
25 | 0.562291485262485 | 0.87541702947503 | 0.437708514737515 |
26 | 0.511345033630785 | 0.977309932738431 | 0.488654966369216 |
27 | 0.513507748190595 | 0.97298450361881 | 0.486492251809405 |
28 | 0.448709328195628 | 0.897418656391256 | 0.551290671804372 |
29 | 0.384107980469322 | 0.768215960938645 | 0.615892019530678 |
30 | 0.357004414983788 | 0.714008829967577 | 0.642995585016212 |
31 | 0.330228078213231 | 0.660456156426462 | 0.669771921786769 |
32 | 0.645461557161976 | 0.709076885676049 | 0.354538442838024 |
33 | 0.863988049381961 | 0.272023901236078 | 0.136011950618039 |
34 | 0.834504033632202 | 0.330991932735595 | 0.165495966367798 |
35 | 0.798676231383103 | 0.402647537233794 | 0.201323768616897 |
36 | 0.802440190768912 | 0.395119618462176 | 0.197559809231088 |
37 | 0.765940025101545 | 0.468119949796910 | 0.234059974898455 |
38 | 0.857247537950656 | 0.285504924098688 | 0.142752462049344 |
39 | 0.840136538984043 | 0.319726922031915 | 0.159863461015957 |
40 | 0.807019124736379 | 0.385961750527242 | 0.192980875263621 |
41 | 0.767351918572327 | 0.465296162855346 | 0.232648081427673 |
42 | 0.727386158443687 | 0.545227683112626 | 0.272613841556313 |
43 | 0.69984444364294 | 0.60031111271412 | 0.30015555635706 |
44 | 0.758202530445951 | 0.483594939108098 | 0.241797469554049 |
45 | 0.724380670391428 | 0.551238659217145 | 0.275619329608572 |
46 | 0.680847103105917 | 0.638305793788166 | 0.319152896894083 |
47 | 0.638836900674042 | 0.722326198651916 | 0.361163099325958 |
48 | 0.616030480919363 | 0.767939038161275 | 0.383969519080637 |
49 | 0.567966181448081 | 0.864067637103838 | 0.432033818551919 |
50 | 0.598311732470671 | 0.803376535058659 | 0.401688267529329 |
51 | 0.624431210871907 | 0.751137578256185 | 0.375568789128093 |
52 | 0.580632285757079 | 0.838735428485843 | 0.419367714242921 |
53 | 0.535967246965058 | 0.928065506069884 | 0.464032753034942 |
54 | 0.510686459369264 | 0.978627081261471 | 0.489313540630736 |
55 | 0.921643430722807 | 0.156713138554386 | 0.0783565692771929 |
56 | 0.90281122137944 | 0.194377557241120 | 0.0971887786205599 |
57 | 0.88113067601975 | 0.237738647960501 | 0.118869323980251 |
58 | 0.883422535611672 | 0.233154928776655 | 0.116577464388327 |
59 | 0.858212434552163 | 0.283575130895673 | 0.141787565447837 |
60 | 0.833507728739669 | 0.332984542520663 | 0.166492271260331 |
61 | 0.829215694914195 | 0.34156861017161 | 0.170784305085805 |
62 | 0.821697147727493 | 0.356605704545014 | 0.178302852272507 |
63 | 0.801059662984535 | 0.39788067403093 | 0.198940337015465 |
64 | 0.833321623733413 | 0.333356752533173 | 0.166678376266587 |
65 | 0.824119442114691 | 0.351761115770618 | 0.175880557885309 |
66 | 0.801507035971956 | 0.396985928056089 | 0.198492964028044 |
67 | 0.775048145945518 | 0.449903708108964 | 0.224951854054482 |
68 | 0.74213543521809 | 0.51572912956382 | 0.25786456478191 |
69 | 0.707961008176996 | 0.584077983646008 | 0.292038991823004 |
70 | 0.675576139357315 | 0.64884772128537 | 0.324423860642685 |
71 | 0.647033336035569 | 0.705933327928863 | 0.352966663964431 |
72 | 0.606321606832618 | 0.787356786334763 | 0.393678393167382 |
73 | 0.561712453943829 | 0.876575092112342 | 0.438287546056171 |
74 | 0.515690249081336 | 0.968619501837329 | 0.484309750918664 |
75 | 0.547998260602549 | 0.904003478794902 | 0.452001739397451 |
76 | 0.502024628587543 | 0.995950742824913 | 0.497975371412457 |
77 | 0.510424297238602 | 0.979151405522797 | 0.489575702761398 |
78 | 0.463680838318077 | 0.927361676636154 | 0.536319161681923 |
79 | 0.442537018466689 | 0.885074036933378 | 0.557462981533311 |
80 | 0.454187710396243 | 0.908375420792486 | 0.545812289603757 |
81 | 0.439152535796631 | 0.878305071593263 | 0.560847464203369 |
82 | 0.426663764039338 | 0.853327528078677 | 0.573336235960662 |
83 | 0.384294961926496 | 0.768589923852992 | 0.615705038073504 |
84 | 0.351551683004133 | 0.703103366008267 | 0.648448316995867 |
85 | 0.325638389520498 | 0.651276779040996 | 0.674361610479502 |
86 | 0.343304233596702 | 0.686608467193405 | 0.656695766403298 |
87 | 0.339798956176606 | 0.679597912353212 | 0.660201043823394 |
88 | 0.323061186534121 | 0.646122373068241 | 0.67693881346588 |
89 | 0.42156727131185 | 0.8431345426237 | 0.57843272868815 |
90 | 0.382645918075545 | 0.76529183615109 | 0.617354081924455 |
91 | 0.352420963680625 | 0.704841927361251 | 0.647579036319375 |
92 | 0.317415991749283 | 0.634831983498566 | 0.682584008250717 |
93 | 0.292231833017604 | 0.584463666035209 | 0.707768166982396 |
94 | 0.353649385739753 | 0.707298771479506 | 0.646350614260247 |
95 | 0.407580264280146 | 0.815160528560293 | 0.592419735719854 |
96 | 0.361909602360508 | 0.723819204721016 | 0.638090397639492 |
97 | 0.321402914571942 | 0.642805829143884 | 0.678597085428058 |
98 | 0.287837853135205 | 0.57567570627041 | 0.712162146864795 |
99 | 0.249132393673607 | 0.498264787347214 | 0.750867606326393 |
100 | 0.212467248374169 | 0.424934496748338 | 0.787532751625831 |
101 | 0.181937830719570 | 0.363875661439141 | 0.81806216928043 |
102 | 0.159104568687957 | 0.318209137375914 | 0.840895431312043 |
103 | 0.142926916208303 | 0.285853832416605 | 0.857073083791697 |
104 | 0.127164569405627 | 0.254329138811254 | 0.872835430594373 |
105 | 0.153254335468514 | 0.306508670937028 | 0.846745664531486 |
106 | 0.187316966969162 | 0.374633933938325 | 0.812683033030838 |
107 | 0.155449611890654 | 0.310899223781309 | 0.844550388109346 |
108 | 0.139328372531309 | 0.278656745062618 | 0.860671627468691 |
109 | 0.125569187098132 | 0.251138374196263 | 0.874430812901869 |
110 | 0.124354425479007 | 0.248708850958015 | 0.875645574520993 |
111 | 0.102231379877337 | 0.204462759754674 | 0.897768620122663 |
112 | 0.149324132505508 | 0.298648265011016 | 0.850675867494492 |
113 | 0.290647395841172 | 0.581294791682344 | 0.709352604158828 |
114 | 0.257657935502597 | 0.515315871005194 | 0.742342064497403 |
115 | 0.539585953228561 | 0.920828093542878 | 0.460414046771439 |
116 | 0.539442886570389 | 0.921114226859221 | 0.460557113429611 |
117 | 0.555769789412674 | 0.888460421174652 | 0.444230210587326 |
118 | 0.507547130473243 | 0.984905739053514 | 0.492452869526757 |
119 | 0.453032806352504 | 0.906065612705008 | 0.546967193647496 |
120 | 0.52832615776241 | 0.94334768447518 | 0.47167384223759 |
121 | 0.502246978997532 | 0.995506042004937 | 0.497753021002468 |
122 | 0.520168984184323 | 0.959662031631354 | 0.479831015815677 |
123 | 0.476507214368858 | 0.953014428737716 | 0.523492785631142 |
124 | 0.482298436150573 | 0.964596872301145 | 0.517701563849427 |
125 | 0.424734046375015 | 0.84946809275003 | 0.575265953624985 |
126 | 0.423568958912516 | 0.847137917825033 | 0.576431041087484 |
127 | 0.393731357914712 | 0.787462715829424 | 0.606268642085288 |
128 | 0.365007535613997 | 0.730015071227995 | 0.634992464386003 |
129 | 0.329367117619033 | 0.658734235238067 | 0.670632882380967 |
130 | 0.297122637602707 | 0.594245275205415 | 0.702877362397293 |
131 | 0.303402992492924 | 0.606805984985848 | 0.696597007507076 |
132 | 0.253215034778046 | 0.506430069556093 | 0.746784965221954 |
133 | 0.211895819957315 | 0.42379163991463 | 0.788104180042685 |
134 | 0.175925925497721 | 0.351851850995442 | 0.824074074502279 |
135 | 0.144652959979243 | 0.289305919958486 | 0.855347040020757 |
136 | 0.146106006551988 | 0.292212013103975 | 0.853893993448013 |
137 | 0.158309441393098 | 0.316618882786196 | 0.841690558606902 |
138 | 0.165587829998990 | 0.331175659997981 | 0.83441217000101 |
139 | 0.179119239092396 | 0.358238478184793 | 0.820880760907604 |
140 | 0.220368422606797 | 0.440736845213595 | 0.779631577393203 |
141 | 0.171419997725983 | 0.342839995451966 | 0.828580002274017 |
142 | 0.143497579791547 | 0.286995159583094 | 0.856502420208453 |
143 | 0.202894708259673 | 0.405789416519345 | 0.797105291740327 |
144 | 0.155702291166403 | 0.311404582332807 | 0.844297708833597 |
145 | 0.109847889127326 | 0.219695778254651 | 0.890152110872674 |
146 | 0.0724177103321861 | 0.144835420664372 | 0.927582289667814 |
147 | 0.04330852216312 | 0.08661704432624 | 0.95669147783688 |
148 | 0.0220190729102943 | 0.0440381458205887 | 0.977980927089706 |
149 | 0.0100333620186114 | 0.0200667240372228 | 0.989966637981389 |
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 | 2 | 0.0142857142857143 | OK |
10% type I error level | 3 | 0.0214285714285714 | OK |