| Multiple Linear Regression - Estimated Regression Equation |
| DowJones[t] = + 4279.82100424418 + 1787.88911225167Eonia[t] + 68.489432676183deposits[t] -55.2692769688371`2JAAR`[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) | 4279.82100424418 | 1566.40207 | 2.7323 | 0.00836 | 0.00418 |
| Eonia | 1787.88911225167 | 151.596251 | 11.7938 | 0 | 0 |
| deposits | 68.489432676183 | 15.151173 | 4.5204 | 3.2e-05 | 1.6e-05 |
| `2JAAR` | -55.2692769688371 | 7.630917 | -7.2428 | 0 | 0 |
| Multiple Linear Regression - Regression Statistics | |
| Multiple R | 0.879003863462476 |
| R-squared | 0.772647791981959 |
| Adjusted R-squared | 0.7606818862968 |
| F-TEST (value) | 64.5707740234145 |
| F-TEST (DF numerator) | 3 |
| F-TEST (DF denominator) | 57 |
| p-value | 0 |
| Multiple Linear Regression - Residual Statistics | |
| Residual Standard Deviation | 803.298803039865 |
| Sum Squared Residuals | 36781471.1170209 |
| Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
| Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
| 1 | 10554.27 | 10362.4140087666 | 191.855991233443 |
| 2 | 10532.54 | 10452.5095138635 | 80.0304861364707 |
| 3 | 10324.31 | 10375.5468950998 | -51.2368950998476 |
| 4 | 10695.25 | 10495.4112806493 | 199.838719350728 |
| 5 | 10827.81 | 11049.5457285344 | -221.735728534352 |
| 6 | 10872.48 | 11229.5769918817 | -357.096991881728 |
| 7 | 10971.19 | 11331.1323605837 | -359.942360583736 |
| 8 | 11145.65 | 11629.3158673624 | -483.665867362354 |
| 9 | 11234.68 | 11155.6004207114 | 79.0795792886353 |
| 10 | 11333.88 | 11825.7450142708 | -491.865014270838 |
| 11 | 10997.97 | 12137.2359461309 | -1139.26594613087 |
| 12 | 11036.89 | 11771.1285517591 | -734.238551759147 |
| 13 | 11257.35 | 11991.5446093276 | -734.194609327569 |
| 14 | 11533.59 | 11786.0844621057 | -252.494462105683 |
| 15 | 11963.12 | 12004.110900704 | -40.9909007040433 |
| 16 | 12185.15 | 12305.7271774321 | -120.577177432063 |
| 17 | 12377.62 | 12586.8199019719 | -209.199901971862 |
| 18 | 12512.89 | 12574.1657112971 | -61.2757112970847 |
| 19 | 12631.48 | 12421.8169015119 | 209.663098488135 |
| 20 | 12268.53 | 12622.2198259897 | -353.689825989723 |
| 21 | 12754.8 | 12706.199495649 | 48.6005043510298 |
| 22 | 13407.75 | 13098.7235038713 | 309.026496128741 |
| 23 | 13480.21 | 13179.0544808754 | 301.155519124581 |
| 24 | 13673.28 | 12775.9866164075 | 897.293383592473 |
| 25 | 13239.71 | 12564.5528871672 | 675.157112832831 |
| 26 | 13557.69 | 12224.4884007723 | 1333.20159922775 |
| 27 | 13901.28 | 11777.6390718655 | 2123.64092813447 |
| 28 | 13200.58 | 12231.2659903469 | 969.314009653115 |
| 29 | 13406.97 | 11890.961446724 | 1516.00855327595 |
| 30 | 12538.12 | 12589.5522582324 | -51.4322582323906 |
| 31 | 12419.57 | 12175.9364621156 | 243.633537884428 |
| 32 | 12193.88 | 12592.1607345234 | -398.280734523365 |
| 33 | 12656.63 | 11786.9211638029 | 869.708836197126 |
| 34 | 12812.48 | 12118.2586988717 | 694.221301128257 |
| 35 | 12056.67 | 12078.8853151823 | -22.2153151822548 |
| 36 | 11322.38 | 11864.9148152589 | -542.534815258907 |
| 37 | 11530.75 | 11705.7287265263 | -174.97872652632 |
| 38 | 11114.08 | 12295.6179141182 | -1181.5379141182 |
| 39 | 9181.73 | 11420.8634062471 | -2239.1334062471 |
| 40 | 8614.55 | 10376.4253836955 | -1761.87538369545 |
| 41 | 8595.56 | 9192.2245669476 | -596.664566947592 |
| 42 | 8396.2 | 8388.05782695522 | 8.14217304477612 |
| 43 | 7690.5 | 8531.23589767354 | -840.735897673539 |
| 44 | 7235.47 | 8956.98546383657 | -1721.51546383656 |
| 45 | 7992.12 | 8008.6314622422 | -16.5114622421986 |
| 46 | 8398.37 | 8704.38332684428 | -306.01332684428 |
| 47 | 8593 | 8651.41218212785 | -58.4121821278535 |
| 48 | 8679.75 | 8202.47997386166 | 477.270026138341 |
| 49 | 9374.63 | 8684.10341343206 | 690.526586567935 |
| 50 | 9634.97 | 8963.37272802636 | 671.59727197364 |
| 51 | 9857.34 | 8553.45572732473 | 1303.88427267527 |
| 52 | 10238.83 | 9520.46184610933 | 718.36815389067 |
| 53 | 10433.44 | 9710.10152914819 | 723.338470851816 |
| 54 | 10471.24 | 9831.0370146019 | 640.202985398097 |
| 55 | 10214.51 | 9890.5988590032 | 323.9111409968 |
| 56 | 10677.52 | 10220.7455635073 | 456.774436492693 |
| 57 | 11052.15 | 10220.179984407 | 831.970015593016 |
| 58 | 10500.19 | 10924.0676559378 | -423.877655937785 |
| 59 | 10159.27 | 11253.7519663967 | -1094.48196639672 |
| 60 | 10222.24 | 10476.313825043 | -254.073825042991 |
| 61 | 10350.4 | 10642.0703443668 | -291.670344366798 |
| Goldfeld-Quandt test for Heteroskedasticity | |||
| p-values | Alternative Hypothesis | ||
| breakpoint index | greater | 2-sided | less |
| 7 | 0.00409041301413997 | 0.00818082602827994 | 0.99590958698586 |
| 8 | 0.000637461578571218 | 0.00127492315714244 | 0.999362538421429 |
| 9 | 0.000245544519533087 | 0.000491089039066174 | 0.999754455480467 |
| 10 | 4.14582375064148e-05 | 8.29164750128296e-05 | 0.999958541762494 |
| 11 | 0.000230989784606451 | 0.000461979569212902 | 0.999769010215394 |
| 12 | 8.11501798817786e-05 | 0.000162300359763557 | 0.999918849820118 |
| 13 | 2.09026893625446e-05 | 4.18053787250893e-05 | 0.999979097310637 |
| 14 | 8.27617871157461e-06 | 1.65523574231492e-05 | 0.999991723821288 |
| 15 | 4.44953888885106e-06 | 8.89907777770213e-06 | 0.999995550461111 |
| 16 | 5.54154676357724e-06 | 1.10830935271545e-05 | 0.999994458453236 |
| 17 | 2.63494195837061e-06 | 5.26988391674121e-06 | 0.999997365058042 |
| 18 | 2.96267804848661e-06 | 5.92535609697321e-06 | 0.999997037321952 |
| 19 | 2.35513237539404e-06 | 4.71026475078808e-06 | 0.999997644867625 |
| 20 | 5.75393214559303e-06 | 1.15078642911861e-05 | 0.999994246067854 |
| 21 | 2.17117375418409e-06 | 4.34234750836819e-06 | 0.999997828826246 |
| 22 | 8.49028004267934e-06 | 1.69805600853587e-05 | 0.999991509719957 |
| 23 | 4.6731678581454e-06 | 9.3463357162908e-06 | 0.999995326832142 |
| 24 | 4.43915064887655e-06 | 8.87830129775311e-06 | 0.99999556084935 |
| 25 | 2.12694186856094e-06 | 4.25388373712189e-06 | 0.999997873058131 |
| 26 | 1.56916146525482e-06 | 3.13832293050964e-06 | 0.999998430838535 |
| 27 | 2.94910819245613e-06 | 5.89821638491227e-06 | 0.999997050891808 |
| 28 | 9.673385092975e-06 | 1.934677018595e-05 | 0.999990326614907 |
| 29 | 1.82231591827324e-05 | 3.64463183654647e-05 | 0.999981776840817 |
| 30 | 0.000215530845022119 | 0.000431061690044237 | 0.999784469154978 |
| 31 | 0.00093496286716027 | 0.00186992573432054 | 0.99906503713284 |
| 32 | 0.00425043770393334 | 0.00850087540786668 | 0.995749562296067 |
| 33 | 0.0111151185045693 | 0.0222302370091386 | 0.98888488149543 |
| 34 | 0.080496735764732 | 0.160993471529464 | 0.919503264235268 |
| 35 | 0.258726644261554 | 0.517453288523108 | 0.741273355738446 |
| 36 | 0.549418680446177 | 0.901162639107647 | 0.450581319553823 |
| 37 | 0.583812868754316 | 0.832374262491367 | 0.416187131245684 |
| 38 | 0.772880490996264 | 0.454239018007472 | 0.227119509003736 |
| 39 | 0.924015742816485 | 0.151968514367029 | 0.0759842571835147 |
| 40 | 0.956156357933983 | 0.087687284132035 | 0.0438436420660175 |
| 41 | 0.961568048876645 | 0.07686390224671 | 0.038431951123355 |
| 42 | 0.99825105913077 | 0.00349788173846205 | 0.00174894086923103 |
| 43 | 0.999218702198084 | 0.00156259560383291 | 0.000781297801916454 |
| 44 | 0.998144554892708 | 0.00371089021458376 | 0.00185544510729188 |
| 45 | 0.997132181635495 | 0.00573563672900934 | 0.00286781836450467 |
| 46 | 0.998889698397665 | 0.00222060320467062 | 0.00111030160233531 |
| 47 | 0.998117823856906 | 0.0037643522861879 | 0.00188217614309395 |
| 48 | 0.998473863439584 | 0.00305227312083276 | 0.00152613656041638 |
| 49 | 0.997955167059816 | 0.00408966588036824 | 0.00204483294018412 |
| 50 | 0.996805929578 | 0.00638814084400003 | 0.00319407042200002 |
| 51 | 0.993927351441918 | 0.0121452971161649 | 0.00607264855808245 |
| 52 | 0.984500762968162 | 0.0309984740636767 | 0.0154992370318383 |
| 53 | 0.955812077913944 | 0.0883758441721113 | 0.0441879220860557 |
| 54 | 0.885344778129279 | 0.229310443741442 | 0.114655221870721 |
| Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
| Description | # significant tests | % significant tests | OK/NOK |
| 1% type I error level | 35 | 0.729166666666667 | NOK |
| 5% type I error level | 38 | 0.791666666666667 | NOK |
| 10% type I error level | 41 | 0.854166666666667 | NOK |
