| Multiple Linear Regression - Estimated Regression Equation |
| dowjones[t] = + 12434.1368235294 -136.727003267972M1[t] -114.342006535948M2[t] -303.159205882353M3[t] -321.642405228758M4[t] -140.033604575164M5[t] -269.926803921569M6[t] -402.462003267974M7[t] -443.501202614379M8[t] + 30.5655980392153M9[t] + 223.224398692810M10[t] + 30.315199346405M11[t] -40.2008006535948t + 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) | 12434.1368235294 | 857.655951 | 14.4978 | 0 | 0 |
| M1 | -136.727003267972 | 1000.228607 | -0.1367 | 0.891843 | 0.445922 |
| M2 | -114.342006535948 | 1049.845749 | -0.1089 | 0.913725 | 0.456863 |
| M3 | -303.159205882353 | 1048.505085 | -0.2891 | 0.773723 | 0.386862 |
| M4 | -321.642405228758 | 1047.304088 | -0.3071 | 0.760085 | 0.380042 |
| M5 | -140.033604575164 | 1046.24324 | -0.1338 | 0.894085 | 0.447043 |
| M6 | -269.926803921569 | 1045.322968 | -0.2582 | 0.797339 | 0.398669 |
| M7 | -402.462003267974 | 1044.543642 | -0.3853 | 0.701718 | 0.350859 |
| M8 | -443.501202614379 | 1043.90558 | -0.4248 | 0.672846 | 0.336423 |
| M9 | 30.5655980392153 | 1043.409039 | 0.0293 | 0.976752 | 0.488376 |
| M10 | 223.224398692810 | 1043.054223 | 0.214 | 0.831446 | 0.415723 |
| M11 | 30.315199346405 | 1042.841275 | 0.0291 | 0.976929 | 0.488465 |
| t | -40.2008006535948 | 12.168087 | -3.3038 | 0.001808 | 0.000904 |
| Multiple Linear Regression - Regression Statistics | |
| Multiple R | 0.439835163228225 |
| R-squared | 0.193454970811999 |
| Adjusted R-squared | -0.00818128648500105 |
| F-TEST (value) | 0.959425519027808 |
| F-TEST (DF numerator) | 12 |
| F-TEST (DF denominator) | 48 |
| p-value | 0.499034854526373 |
| Multiple Linear Regression - Residual Statistics | |
| Residual Standard Deviation | 1648.76458471096 |
| Sum Squared Residuals | 130484383.478260 |
| Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
| Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
| 1 | 10554.27 | 12257.2090196078 | -1702.93901960784 |
| 2 | 10532.54 | 12239.3932156863 | -1706.85321568627 |
| 3 | 10324.31 | 12010.3752156863 | -1686.06521568628 |
| 4 | 10695.25 | 11951.6912156863 | -1256.44121568627 |
| 5 | 10827.81 | 12093.0992156863 | -1265.28921568627 |
| 6 | 10872.48 | 11923.0052156863 | -1050.52521568628 |
| 7 | 10971.19 | 11750.2692156863 | -779.079215686274 |
| 8 | 11145.65 | 11669.0292156863 | -523.379215686276 |
| 9 | 11234.68 | 12102.8952156863 | -868.215215686274 |
| 10 | 11333.88 | 12255.3532156863 | -921.473215686276 |
| 11 | 10997.97 | 12022.2432156863 | -1024.27321568628 |
| 12 | 11036.89 | 11951.7272156863 | -914.837215686276 |
| 13 | 11257.35 | 11774.7994117647 | -517.449411764707 |
| 14 | 11533.59 | 11756.9836078431 | -223.393607843138 |
| 15 | 11963.12 | 11527.9656078431 | 435.154392156863 |
| 16 | 12185.15 | 11469.2816078431 | 715.868392156862 |
| 17 | 12377.62 | 11610.6896078431 | 766.930392156863 |
| 18 | 12512.89 | 11440.5956078431 | 1072.29439215686 |
| 19 | 12631.48 | 11267.8596078431 | 1363.62039215686 |
| 20 | 12268.53 | 11186.6196078431 | 1081.91039215686 |
| 21 | 12754.8 | 11620.4856078431 | 1134.31439215686 |
| 22 | 13407.75 | 11772.9436078431 | 1634.80639215686 |
| 23 | 13480.21 | 11539.8336078431 | 1940.37639215686 |
| 24 | 13673.28 | 11469.3176078431 | 2203.96239215686 |
| 25 | 13239.71 | 11292.3898039216 | 1947.32019607843 |
| 26 | 13557.69 | 11274.574 | 2283.116 |
| 27 | 13901.28 | 11045.556 | 2855.724 |
| 28 | 13200.58 | 10986.872 | 2213.708 |
| 29 | 13406.97 | 11128.28 | 2278.69 |
| 30 | 12538.12 | 10958.186 | 1579.934 |
| 31 | 12419.57 | 10785.45 | 1634.12 |
| 32 | 12193.88 | 10704.21 | 1489.67 |
| 33 | 12656.63 | 11138.076 | 1518.554 |
| 34 | 12812.48 | 11290.534 | 1521.946 |
| 35 | 12056.67 | 11057.424 | 999.246 |
| 36 | 11322.38 | 10986.908 | 335.471999999999 |
| 37 | 11530.75 | 10809.9801960784 | 720.769803921567 |
| 38 | 11114.08 | 10792.1643921569 | 321.915607843137 |
| 39 | 9181.73 | 10563.1463921569 | -1381.41639215686 |
| 40 | 8614.55 | 10504.4623921569 | -1889.91239215686 |
| 41 | 8595.56 | 10645.8703921569 | -2050.31039215686 |
| 42 | 8396.2 | 10475.7763921569 | -2079.57639215686 |
| 43 | 7690.5 | 10303.0403921569 | -2612.54039215686 |
| 44 | 7235.47 | 10221.8003921569 | -2986.33039215686 |
| 45 | 7992.12 | 10655.6663921569 | -2663.54639215686 |
| 46 | 8398.37 | 10808.1243921569 | -2409.75439215686 |
| 47 | 8593 | 10575.0143921569 | -1982.01439215686 |
| 48 | 8679.75 | 10504.4983921569 | -1824.74839215686 |
| 49 | 9374.63 | 10327.5705882353 | -952.940588235296 |
| 50 | 9634.97 | 10309.7547843137 | -674.784784313726 |
| 51 | 9857.34 | 10080.7367843137 | -223.396784313726 |
| 52 | 10238.83 | 10022.0527843137 | 216.777215686274 |
| 53 | 10433.44 | 10163.4607843137 | 269.979215686275 |
| 54 | 10471.24 | 9993.36678431372 | 477.873215686274 |
| 55 | 10214.51 | 9820.63078431373 | 393.879215686275 |
| 56 | 10677.52 | 9739.39078431372 | 938.129215686276 |
| 57 | 11052.15 | 10173.2567843137 | 878.893215686275 |
| 58 | 10500.19 | 10325.7147843137 | 174.475215686275 |
| 59 | 10159.27 | 10092.6047843137 | 66.6652156862754 |
| 60 | 10222.24 | 10022.0887843137 | 200.151215686274 |
| 61 | 10350.4 | 9845.16098039216 | 505.239019607842 |
| Goldfeld-Quandt test for Heteroskedasticity | |||
| p-values | Alternative Hypothesis | ||
| breakpoint index | greater | 2-sided | less |
| 16 | 0.0100160912106109 | 0.0200321824212218 | 0.98998390878939 |
| 17 | 0.00211274894380714 | 0.00422549788761428 | 0.997887251056193 |
| 18 | 0.000461512632084659 | 0.000923025264169319 | 0.999538487367915 |
| 19 | 9.28612722633048e-05 | 0.000185722544526610 | 0.999907138727737 |
| 20 | 1.64952100548035e-05 | 3.29904201096069e-05 | 0.999983504789945 |
| 21 | 2.48154481320532e-06 | 4.96308962641065e-06 | 0.999997518455187 |
| 22 | 1.73629085528105e-06 | 3.47258171056210e-06 | 0.999998263709145 |
| 23 | 3.41265382255999e-06 | 6.82530764511998e-06 | 0.999996587346177 |
| 24 | 4.78770085202952e-06 | 9.57540170405904e-06 | 0.999995212299148 |
| 25 | 9.93145372465096e-07 | 1.98629074493019e-06 | 0.999999006854628 |
| 26 | 2.17146404682893e-07 | 4.34292809365786e-07 | 0.999999782853595 |
| 27 | 7.98189957730102e-08 | 1.59637991546020e-07 | 0.999999920181004 |
| 28 | 6.43340903736171e-08 | 1.28668180747234e-07 | 0.99999993566591 |
| 29 | 4.35169365404308e-08 | 8.70338730808616e-08 | 0.999999956483064 |
| 30 | 4.12809166078076e-07 | 8.25618332156153e-07 | 0.999999587190834 |
| 31 | 2.85759955669291e-06 | 5.71519911338581e-06 | 0.999997142400443 |
| 32 | 1.27884709912704e-05 | 2.55769419825409e-05 | 0.999987211529009 |
| 33 | 3.27088581718259e-05 | 6.54177163436517e-05 | 0.999967291141828 |
| 34 | 0.000201505983987323 | 0.000403011967974646 | 0.999798494016013 |
| 35 | 0.00261614888015335 | 0.0052322977603067 | 0.997383851119847 |
| 36 | 0.0440493551204733 | 0.0880987102409466 | 0.955950644879527 |
| 37 | 0.426918114214355 | 0.85383622842871 | 0.573081885785645 |
| 38 | 0.940099437002762 | 0.119801125994476 | 0.0599005629972379 |
| 39 | 0.990400670945864 | 0.0191986581082716 | 0.00959932905413578 |
| 40 | 0.99337783879116 | 0.0132443224176793 | 0.00662216120883967 |
| 41 | 0.991826365582528 | 0.0163472688349431 | 0.00817363441747156 |
| 42 | 0.985431073516492 | 0.0291378529670161 | 0.0145689264835081 |
| 43 | 0.974618597328963 | 0.0507628053420738 | 0.0253814026710369 |
| 44 | 0.982667923060357 | 0.0346641538792869 | 0.0173320769396434 |
| 45 | 0.992427283466356 | 0.0151454330672878 | 0.00757271653364388 |
| Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
| Description | # significant tests | % significant tests | OK/NOK |
| 1% type I error level | 19 | 0.633333333333333 | NOK |
| 5% type I error level | 26 | 0.866666666666667 | NOK |
| 10% type I error level | 28 | 0.933333333333333 | NOK |
