Multiple Linear Regression - Estimated Regression Equation |
(1-B)lnYt[t] = + 0.00298687237561425 + 0.279841978072988`(1-B)lnY_[t-1]`[t] + 0.0924602034106877`(1-B)lnY_[t-2]`[t] -0.0999401043206112`(1-B)lnY_[t-3]`[t] -0.133172004343059`(1-B)lnY_[t-4]`[t] -0.131646989364628`(1-B)lnY_[t-5]`[t] + 0.630660827401185`(1-B)lnX_[t-1]`[t] -0.338975843529546`(1-B)lnX_[t-2]`[t] + 0.510544531512295`(1-B)lnX_[t-3]`[t] -0.405092174192946`(1-B)lnX_[t-4]`[t] + 0.148230264174965`(1-B)lnX_[t-5]`[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) | 0.00298687237561425 | 0.005339 | 0.5594 | 0.577382 | 0.288691 |
`(1-B)lnY_[t-1]` | 0.279841978072988 | 0.111326 | 2.5137 | 0.013855 | 0.006928 |
`(1-B)lnY_[t-2]` | 0.0924602034106877 | 0.127783 | 0.7236 | 0.47134 | 0.23567 |
`(1-B)lnY_[t-3]` | -0.0999401043206112 | 0.125216 | -0.7981 | 0.427039 | 0.21352 |
`(1-B)lnY_[t-4]` | -0.133172004343059 | 0.121284 | -1.098 | 0.275335 | 0.137667 |
`(1-B)lnY_[t-5]` | -0.131646989364628 | 0.125205 | -1.0515 | 0.296066 | 0.148033 |
`(1-B)lnX_[t-1]` | 0.630660827401185 | 0.274683 | 2.296 | 0.024169 | 0.012085 |
`(1-B)lnX_[t-2]` | -0.338975843529546 | 0.270783 | -1.2518 | 0.214104 | 0.107052 |
`(1-B)lnX_[t-3]` | 0.510544531512295 | 0.264283 | 1.9318 | 0.056755 | 0.028377 |
`(1-B)lnX_[t-4]` | -0.405092174192946 | 0.268436 | -1.5091 | 0.13503 | 0.067515 |
`(1-B)lnX_[t-5]` | 0.148230264174965 | 0.243634 | 0.6084 | 0.544554 | 0.272277 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.540465013479973 |
R-squared | 0.292102430795908 |
Adjusted R-squared | 0.207828910652563 |
F-TEST (value) | 3.46612352609762 |
F-TEST (DF numerator) | 10 |
F-TEST (DF denominator) | 84 |
p-value | 0.000752185537719718 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 0.0487324103769968 |
Sum Squared Residuals | 0.19948721697677 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | -0.03086 | -0.00295004353653766 | -0.0279099564634623 |
2 | 0.04033 | 0.00275482761272255 | 0.0375751723872775 |
3 | -0.02352 | -0.00300798064250723 | -0.0205120193574928 |
4 | 0.00573 | -0.00222745061184229 | 0.0079574506118423 |
5 | 0.01805 | -0.00196315971509568 | 0.0200131597150957 |
6 | -0.01887 | 0.0190922575860881 | -0.0379622575860881 |
7 | 0.04363 | -0.0082158294957098 | 0.0518458294957098 |
8 | 0.02875 | 0.0307230893782364 | -0.00197308937823643 |
9 | -0.00393 | 0.00933831196456645 | -0.0132683119645664 |
10 | 0.0528 | 0.00215728647027257 | 0.0506427135297274 |
11 | -0.00351 | 0.0281395364335619 | -0.0316495364335619 |
12 | 0.05407 | -0.00146561208189627 | 0.0555356120818963 |
13 | -0.01299 | 0.0330896671455471 | -0.0460796671455471 |
14 | 0.00747 | 0.00677608274515331 | 0.000693917254846692 |
15 | -0.03288 | 0.0082671282298679 | -0.0411471282298679 |
16 | -0.05013 | -0.00992726424360557 | -0.0402027357563944 |
17 | 0.03715 | -0.0166292345759382 | 0.0537792345759382 |
18 | 0.00205 | -0.00605956827330505 | 0.00810956827330505 |
19 | 0.02912 | 0.0341193585230271 | -0.00499935852302714 |
20 | -0.00832 | 0.0107708211865912 | -0.0190908211865912 |
21 | 0.02908 | 0.0131639586826495 | 0.0159160413173505 |
22 | -0.00942 | 0.00580963934823189 | -0.0152296393482319 |
23 | 0.04381 | 0.00423015618474289 | 0.0395798438152571 |
24 | 0.00603 | 0.0115073360573358 | -0.00547733605733578 |
25 | 0.02253 | 0.0153291006820232 | 0.00720089931797678 |
26 | 0.05789 | 0.0132086697793045 | 0.0446813302206955 |
27 | -0.03783 | 0.0181211803959200 | -0.05595118039592 |
28 | -0.03176 | 0.00891838517239862 | -0.0406783851723986 |
29 | -0.00572 | -0.0350393410837487 | 0.0293193410837487 |
30 | 0.0104 | -0.00488487506469647 | 0.0152848750646965 |
31 | 0.03662 | 0.00420091256460438 | 0.0324190874353956 |
32 | 0.03771 | 0.0214251066999267 | 0.0162848933000733 |
33 | 0.05981 | 0.0387191686200905 | 0.0210908313799095 |
34 | -0.03204 | 0.00774959784482731 | -0.0397895978448273 |
35 | 0.02837 | 0.007819294380573 | 0.020550705619427 |
36 | 0.05003 | -0.00797781582787613 | 0.0580078158278761 |
37 | 0.0498 | 0.0334480674746007 | 0.0163519325253993 |
38 | -0.02299 | 0.0280668608970190 | -0.051056860897019 |
39 | 0.0403 | 0.00577216462242457 | 0.0345278353775754 |
40 | 0.03176 | 0.00131532384691163 | 0.0304446761530884 |
41 | -0.00135 | 0.0378674526300908 | -0.0392174526300908 |
42 | -0.02473 | 0.0165019872321261 | -0.0412319872321261 |
43 | -0.00171 | -0.0258077410241390 | 0.0240977410241390 |
44 | -0.01575 | 0.0272979939802998 | -0.0430479939802998 |
45 | -0.02624 | -0.0432276321462390 | 0.0169876321462390 |
46 | 0.06724 | 0.0351059973241281 | 0.0321340026758719 |
47 | -0.01362 | 0.0223413850163344 | -0.0359613850163344 |
48 | -0.00422 | 0.00729291941407819 | -0.0115129194140782 |
49 | 0.00754 | 0.0128583715559720 | -0.00531837155597196 |
50 | 0.00087 | -0.0182740098245231 | 0.0191440098245231 |
51 | 0.02715 | 0.0135789225301420 | 0.0135710774698580 |
52 | 0.02976 | 0.0138313631427299 | 0.0159286368572701 |
53 | 0.07946 | 0.0426312125028364 | 0.0368287874971636 |
54 | 0.01909 | 0.0213437958321560 | -0.00225379583215603 |
55 | -0.02483 | 0.00812445947874088 | -0.0329544594787409 |
56 | -0.0187 | -0.0223275762168767 | 0.00362757621687672 |
57 | 0.09682 | -0.050201147480897 | 0.147021147480897 |
58 | 0.03823 | 0.0300939387662498 | 0.00813606123375024 |
59 | 0.09571 | 0.0159073372893001 | 0.0798026627106999 |
60 | -0.04663 | 0.0230716219180722 | -0.0697016219180722 |
61 | -0.01359 | -0.0205675144092911 | 0.00697751440929106 |
62 | 0.05114 | -0.0138472905263623 | 0.0649872905263623 |
63 | -0.04275 | 0.00307669910642426 | -0.0458266991064243 |
64 | 0.05739 | 0.0238619566770628 | 0.0335280433229371 |
65 | 0.01186 | 0.00199122313078438 | 0.00986877686921562 |
66 | 0.01066 | 0.00620372069919461 | 0.00445627930080539 |
67 | -0.07387 | -0.00658866365134271 | -0.0672813363486573 |
68 | -0.04131 | -0.0185943162843078 | -0.0227156837156922 |
69 | -0.17889 | -0.0444555147755726 | -0.134434485224427 |
70 | -0.12781 | -0.0504551548188985 | -0.0773548451811015 |
71 | -0.26933 | -0.106873303847466 | -0.162456696152534 |
72 | -0.05095 | -0.0535345205366059 | 0.00258452053660586 |
73 | -0.01074 | -0.0500623980737165 | 0.0393223980737165 |
74 | 0.08172 | 0.0692202291196775 | 0.0124997708803225 |
75 | 0.1187 | 0.0649833379734368 | 0.0537166620265632 |
76 | 0.08475 | 0.0979769068198936 | -0.0132269068198936 |
77 | 0.04663 | 0.0536657870585285 | -0.0070357870585285 |
78 | -0.04415 | 0.0104575537102259 | -0.0546075537102259 |
79 | 0.0097 | -0.0148879229791154 | 0.0245879229791154 |
80 | -0.03341 | -0.0356082277933871 | 0.00219822779338712 |
81 | 0.04031 | 0.0230096112960700 | 0.0173003887039300 |
82 | 0.01938 | -0.0155524189000331 | 0.0349324189000331 |
83 | 0.05928 | 0.055094487585293 | 0.00418551241470694 |
84 | 0.02343 | 0.00107218938441441 | 0.0223578106155856 |
85 | -0.04536 | 0.0388445707983923 | -0.0842045707983923 |
86 | 0.03355 | -0.0194330070999772 | 0.0529830070999772 |
87 | 0.05659 | -0.0170702513654430 | 0.073660251365443 |
88 | -0.06579 | 0.0430963815628115 | -0.108886381562811 |
89 | -0.04267 | -0.00336374700380879 | -0.0393062529961912 |
90 | -0.02422 | -0.0374038344966273 | 0.0131838344966273 |
91 | 0.07584 | -0.00109736086760083 | 0.0769373608676008 |
92 | -0.00903 | 0.0155580915439419 | -0.0245880915439419 |
93 | 0.06617 | 0.0468139426117253 | 0.0193560573882747 |
94 | 0.04485 | 0.0400981452594403 | 0.0047518547405597 |
95 | -0.00665 | 0.0167148457951973 | -0.0233648457951973 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
14 | 0.319150213574145 | 0.63830042714829 | 0.680849786425855 |
15 | 0.198841123903732 | 0.397682247807463 | 0.801158876096268 |
16 | 0.265563531235032 | 0.531127062470065 | 0.734436468764968 |
17 | 0.247959853862547 | 0.495919707725093 | 0.752040146137454 |
18 | 0.216556249706311 | 0.433112499412623 | 0.783443750293689 |
19 | 0.137457199680465 | 0.274914399360930 | 0.862542800319535 |
20 | 0.083671977168837 | 0.167343954337674 | 0.916328022831163 |
21 | 0.0486432878445747 | 0.0972865756891494 | 0.951356712155425 |
22 | 0.0286706724502357 | 0.0573413449004713 | 0.971329327549764 |
23 | 0.0198628606666119 | 0.0397257213332238 | 0.980137139333388 |
24 | 0.0104005996650542 | 0.0208011993301085 | 0.989599400334946 |
25 | 0.0057328905749026 | 0.0114657811498052 | 0.994267109425097 |
26 | 0.00852739957853813 | 0.0170547991570763 | 0.991472600421462 |
27 | 0.00639650750211865 | 0.0127930150042373 | 0.993603492497881 |
28 | 0.0117414803880480 | 0.0234829607760960 | 0.988258519611952 |
29 | 0.0072203134737224 | 0.0144406269474448 | 0.992779686526278 |
30 | 0.00418618889021487 | 0.00837237778042975 | 0.995813811109785 |
31 | 0.00240345533912383 | 0.00480691067824767 | 0.997596544660876 |
32 | 0.00147810943946668 | 0.00295621887893335 | 0.998521890560533 |
33 | 0.00144856631911248 | 0.00289713263822495 | 0.998551433680888 |
34 | 0.00091101734069738 | 0.00182203468139476 | 0.999088982659303 |
35 | 0.000480698117336848 | 0.000961396234673696 | 0.999519301882663 |
36 | 0.000506433131593135 | 0.00101286626318627 | 0.999493566868407 |
37 | 0.000480552411287615 | 0.000961104822575231 | 0.999519447588712 |
38 | 0.000278270137910424 | 0.000556540275820848 | 0.99972172986209 |
39 | 0.000466916902958264 | 0.000933833805916528 | 0.999533083097042 |
40 | 0.000427775155929249 | 0.000855550311858498 | 0.99957222484407 |
41 | 0.000281269633480703 | 0.000562539266961406 | 0.99971873036652 |
42 | 0.000177923074115139 | 0.000355846148230277 | 0.999822076925885 |
43 | 0.000117041083225965 | 0.000234082166451931 | 0.999882958916774 |
44 | 7.45114703772047e-05 | 0.000149022940754409 | 0.999925488529623 |
45 | 4.38980632655861e-05 | 8.77961265311721e-05 | 0.999956101936734 |
46 | 2.32752551316538e-05 | 4.65505102633077e-05 | 0.999976724744868 |
47 | 1.61798897740603e-05 | 3.23597795481207e-05 | 0.999983820110226 |
48 | 7.77160411642169e-06 | 1.55432082328434e-05 | 0.999992228395884 |
49 | 3.90432474718083e-06 | 7.80864949436167e-06 | 0.999996095675253 |
50 | 1.80064328833247e-06 | 3.60128657666495e-06 | 0.999998199356712 |
51 | 8.2506646789337e-07 | 1.65013293578674e-06 | 0.999999174933532 |
52 | 3.94551722036872e-07 | 7.89103444073743e-07 | 0.999999605448278 |
53 | 5.95779233752204e-07 | 1.19155846750441e-06 | 0.999999404220766 |
54 | 4.77011948463465e-07 | 9.5402389692693e-07 | 0.999999522988052 |
55 | 2.19137546179377e-07 | 4.38275092358755e-07 | 0.999999780862454 |
56 | 1.02739635473992e-07 | 2.05479270947983e-07 | 0.999999897260365 |
57 | 1.08192218136744e-05 | 2.16384436273489e-05 | 0.999989180778186 |
58 | 6.41924253313564e-06 | 1.28384850662713e-05 | 0.999993580757467 |
59 | 6.2161016779161e-05 | 0.000124322033558322 | 0.99993783898322 |
60 | 0.000143670714123549 | 0.000287341428247098 | 0.999856329285876 |
61 | 0.000317743938039025 | 0.000635487876078049 | 0.99968225606196 |
62 | 0.000439183740623539 | 0.000878367481247078 | 0.999560816259377 |
63 | 0.000764234717522974 | 0.00152846943504595 | 0.999235765282477 |
64 | 0.000463844596152753 | 0.000927689192305507 | 0.999536155403847 |
65 | 0.000499356311365925 | 0.00099871262273185 | 0.999500643688634 |
66 | 0.000457857366416631 | 0.000915714732833261 | 0.999542142633583 |
67 | 0.000808645820829055 | 0.00161729164165811 | 0.999191354179171 |
68 | 0.00118890650434876 | 0.00237781300869752 | 0.998811093495651 |
69 | 0.0286462011067609 | 0.0572924022135218 | 0.971353798893239 |
70 | 0.0420076400270183 | 0.0840152800540366 | 0.957992359972982 |
71 | 0.493676341798356 | 0.987352683596712 | 0.506323658201644 |
72 | 0.494361703067334 | 0.988723406134668 | 0.505638296932666 |
73 | 0.495759475264645 | 0.99151895052929 | 0.504240524735355 |
74 | 0.423838741805159 | 0.847677483610319 | 0.576161258194841 |
75 | 0.370180719810211 | 0.740361439620423 | 0.629819280189789 |
76 | 0.294270407674759 | 0.588540815349518 | 0.705729592325241 |
77 | 0.250378935069395 | 0.50075787013879 | 0.749621064930605 |
78 | 0.178253383503421 | 0.356506767006843 | 0.821746616496579 |
79 | 0.134127751546327 | 0.268255503092653 | 0.865872248453673 |
80 | 0.0758109084855753 | 0.151621816971151 | 0.924189091514425 |
81 | 0.131076356198907 | 0.262152712397814 | 0.868923643801093 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 39 | 0.573529411764706 | NOK |
5% type I error level | 46 | 0.676470588235294 | NOK |
10% type I error level | 50 | 0.735294117647059 | NOK |