| Multiple Linear Regression - Estimated Regression Equation |
| 2JAAR[t] = + 111.020989459042 + 23.3612140925946Eonia[t] -0.272891438563962deposits[t] -0.00776632084898145DowJones[t] -0.0946750391652894M1[t] + 4.74945252117933M2[t] + 7.35576735626189M3[t] + 6.81072177491929M4[t] + 5.60982904331188M5[t] + 4.6853631855139M6[t] + 2.63886426724786M7[t] + 0.275054900138095M8[t] + 8.58264908164894M9[t] + 5.56042748620996M10[t] + 0.692937437920097M11[t] + 0.801501000137598t + 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) | 111.020989459042 | 38.525963 | 2.8817 | 0.006041 | 0.003021 |
| Eonia | 23.3612140925946 | 1.456574 | 16.0385 | 0 | 0 |
| deposits | -0.272891438563962 | 0.451644 | -0.6042 | 0.548733 | 0.274366 |
| DowJones | -0.00776632084898145 | 0.001141 | -6.8044 | 0 | 0 |
| M1 | -0.0946750391652894 | 5.605833 | -0.0169 | 0.9866 | 0.4933 |
| M2 | 4.74945252117933 | 5.864748 | 0.8098 | 0.422299 | 0.21115 |
| M3 | 7.35576735626189 | 5.852008 | 1.257 | 0.215252 | 0.107626 |
| M4 | 6.81072177491929 | 5.990779 | 1.1369 | 0.261612 | 0.130806 |
| M5 | 5.60982904331188 | 5.842139 | 0.9602 | 0.342068 | 0.171034 |
| M6 | 4.6853631855139 | 5.90962 | 0.7928 | 0.432033 | 0.216017 |
| M7 | 2.63886426724786 | 5.855147 | 0.4507 | 0.654376 | 0.327188 |
| M8 | 0.275054900138095 | 6.093598 | 0.0451 | 0.964197 | 0.482098 |
| M9 | 8.58264908164894 | 5.907376 | 1.4529 | 0.153198 | 0.076599 |
| M10 | 5.56042748620996 | 6.418455 | 0.8663 | 0.390911 | 0.195456 |
| M11 | 0.692937437920097 | 6.320002 | 0.1096 | 0.913181 | 0.45659 |
| t | 0.801501000137598 | 0.226036 | 3.5459 | 0.000927 | 0.000464 |
| Multiple Linear Regression - Regression Statistics | |
| Multiple R | 0.944529868531104 |
| R-squared | 0.892136672547384 |
| Adjusted R-squared | 0.856182230063178 |
| F-TEST (value) | 24.8129747232013 |
| F-TEST (DF numerator) | 15 |
| F-TEST (DF denominator) | 45 |
| p-value | 0 |
| Multiple Linear Regression - Residual Statistics | |
| Residual Standard Deviation | 9.19128985490603 |
| Sum Squared Residuals | 3801.59141386043 |
| Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
| Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
| 1 | 61.2 | 55.4557018903147 | 5.74429810968529 |
| 2 | 62 | 61.0397892982126 | 0.96021070178737 |
| 3 | 65.1 | 65.0790681086928 | 0.0209318913072214 |
| 4 | 63.2 | 61.4809566104248 | 1.71904338957517 |
| 5 | 66.3 | 66.6118091595084 | -0.31180915950841 |
| 6 | 61.9 | 65.7838550430977 | -3.88385504309774 |
| 7 | 62.1 | 64.5429572945317 | -2.44295729453171 |
| 8 | 66.3 | 66.2194208154891 | 0.0805791845108795 |
| 9 | 72 | 76.1838803342789 | -4.18388033427887 |
| 10 | 65.3 | 71.3883483799432 | -6.08834837994323 |
| 11 | 67.6 | 75.1950668340435 | -7.59506683404349 |
| 12 | 70.5 | 74.2972199297476 | -3.79721992974763 |
| 13 | 74.2 | 78.6103837499374 | -4.41038374993744 |
| 14 | 77.8 | 83.6607525577163 | -5.86075255771633 |
| 15 | 78.5 | 90.940770150935 | -12.4407701509351 |
| 16 | 77.8 | 88.1204023125925 | -10.3204023125925 |
| 17 | 81.4 | 92.849234184815 | -11.4492341848149 |
| 18 | 84.5 | 90.1289192235867 | -5.62891922358671 |
| 19 | 88 | 87.7991784528392 | 0.200821547160819 |
| 20 | 93.9 | 94.8839696073719 | -0.983969607371844 |
| 21 | 98.9 | 99.0856908978922 | -0.185690897892223 |
| 22 | 96.7 | 89.4950453477248 | 7.2049546522752 |
| 23 | 98.9 | 92.2926913939681 | 6.60730860603187 |
| 24 | 102.2 | 91.1713939921436 | 11.0286060078564 |
| 25 | 105.4 | 102.150869275118 | 3.24913072488226 |
| 26 | 105.1 | 94.1272284417485 | 10.9727715582515 |
| 27 | 116.6 | 100.485914725942 | 16.1140852740579 |
| 28 | 112 | 102.249834056123 | 9.75016594387706 |
| 29 | 108.8 | 96.7599064277587 | 12.0400935722413 |
| 30 | 106.9 | 111.140632518477 | -4.24063251847727 |
| 31 | 109.5 | 108.69087418355 | 0.80912581645007 |
| 32 | 106.7 | 108.327295303348 | -1.62729530334843 |
| 33 | 118.9 | 116.101945606526 | 2.79805439347395 |
| 34 | 117.5 | 110.500528010142 | 6.99947198985831 |
| 35 | 113.7 | 109.396033950575 | 4.30396604942482 |
| 36 | 119.6 | 126.131482757897 | -6.53148275789715 |
| 37 | 120.6 | 125.847484387774 | -5.2474843877741 |
| 38 | 117.5 | 129.921456145501 | -12.4214561455013 |
| 39 | 120.3 | 129.469555772863 | -9.16955577286273 |
| 40 | 119.8 | 121.757738170216 | -1.95773817021594 |
| 41 | 108 | 107.086993019873 | 0.913006980127153 |
| 42 | 98.8 | 82.9526772954843 | 15.8473227045157 |
| 43 | 94.6 | 89.6462592324194 | 4.95374076758056 |
| 44 | 84.6 | 82.3684769810633 | 2.23152301893673 |
| 45 | 84.4 | 75.4008098868643 | 8.99919011313569 |
| 46 | 79.1 | 74.1206770434154 | 4.97932295658456 |
| 47 | 73.3 | 59.5751124996921 | 13.7248875003079 |
| 48 | 74.3 | 60.6394405001166 | 13.6605594998834 |
| 49 | 67.8 | 55.0961988394533 | 12.7038011605467 |
| 50 | 64.8 | 58.4507735568213 | 6.34922644317872 |
| 51 | 66.5 | 61.0246912415673 | 5.47530875843267 |
| 52 | 57.7 | 56.8910688506438 | 0.808931149356247 |
| 53 | 53.8 | 54.9920572080451 | -1.19205720804508 |
| 54 | 51.8 | 53.8939159193539 | -2.09391591935394 |
| 55 | 50.9 | 54.4207308366597 | -3.52073083665975 |
| 56 | 49 | 48.7008372927273 | 0.299162707272664 |
| 57 | 48.1 | 55.5276732744385 | -7.42767327443854 |
| 58 | 42.6 | 55.6954012187748 | -13.0954012187748 |
| 59 | 40.9 | 57.9410953217211 | -17.0410953217211 |
| 60 | 43.3 | 57.660462820095 | -14.360462820095 |
| 61 | 43.7 | 55.7393618574027 | -12.0393618574027 |
| Goldfeld-Quandt test for Heteroskedasticity | |||
| p-values | Alternative Hypothesis | ||
| breakpoint index | greater | 2-sided | less |
| 19 | 0.00739933740407924 | 0.0147986748081585 | 0.99260066259592 |
| 20 | 0.414430785202321 | 0.828861570404641 | 0.585569214797679 |
| 21 | 0.357628889292741 | 0.715257778585483 | 0.642371110707258 |
| 22 | 0.271353500234123 | 0.542707000468247 | 0.728646499765877 |
| 23 | 0.23395055747251 | 0.46790111494502 | 0.76604944252749 |
| 24 | 0.152931427783962 | 0.305862855567925 | 0.847068572216038 |
| 25 | 0.400169822684402 | 0.800339645368803 | 0.599830177315598 |
| 26 | 0.327622218437265 | 0.65524443687453 | 0.672377781562735 |
| 27 | 0.338061996203751 | 0.676123992407502 | 0.661938003796249 |
| 28 | 0.376768743916999 | 0.753537487833998 | 0.623231256083001 |
| 29 | 0.284345499597869 | 0.568690999195738 | 0.715654500402131 |
| 30 | 0.580097412906 | 0.839805174187999 | 0.419902587094000 |
| 31 | 0.659746575288325 | 0.68050684942335 | 0.340253424711675 |
| 32 | 0.849039390186714 | 0.301921219626572 | 0.150960609813286 |
| 33 | 0.817977585329623 | 0.364044829340753 | 0.182022414670377 |
| 34 | 0.815348991437487 | 0.369302017125026 | 0.184651008562513 |
| 35 | 0.737067120580609 | 0.525865758838783 | 0.262932879419391 |
| 36 | 0.745586642336419 | 0.508826715327162 | 0.254413357663581 |
| 37 | 0.676076424266419 | 0.647847151467162 | 0.323923575733581 |
| 38 | 0.761779684733804 | 0.476440630532392 | 0.238220315266196 |
| 39 | 0.813812271490952 | 0.372375457018096 | 0.186187728509048 |
| 40 | 0.701838244681438 | 0.596323510637124 | 0.298161755318562 |
| 41 | 0.640707602487516 | 0.718584795024969 | 0.359292397512484 |
| 42 | 0.733139247641918 | 0.533721504716163 | 0.266860752358082 |
| 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 | 0.0416666666666667 | OK |
| 10% type I error level | 1 | 0.0416666666666667 | OK |
