Multiple Linear Regression - Estimated Regression Equation |
Faillissementen[t] = + 408.95908717141 + 2.23911448031443CPI[t] + 7.33053571206581M1[t] -10.9361673873247M2[t] + 93.8258552548724M3[t] -15.9009954311326M4[t] -11.7671228621771M5[t] + 123.599391789101M6[t] -253.98318337504M7[t] -344.162649032121M8[t] + 143.154153453330M9[t] + 71.9062474424826M10[t] -4.59415795677702M11[t] + 1.39464647082141t + 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) | 408.95908717141 | 820.446718 | 0.4985 | 0.620046 | 0.310023 |
CPI | 2.23911448031443 | 8.336044 | 0.2686 | 0.789186 | 0.394593 |
M1 | 7.33053571206581 | 39.439505 | 0.1859 | 0.853197 | 0.426598 |
M2 | -10.9361673873247 | 39.612667 | -0.2761 | 0.78347 | 0.391735 |
M3 | 93.8258552548724 | 39.535221 | 2.3732 | 0.020968 | 0.010484 |
M4 | -15.9009954311326 | 39.674149 | -0.4008 | 0.690048 | 0.345024 |
M5 | -11.7671228621771 | 39.749692 | -0.296 | 0.768264 | 0.384132 |
M6 | 123.599391789101 | 39.612106 | 3.1202 | 0.002815 | 0.001407 |
M7 | -253.98318337504 | 39.826239 | -6.3773 | 0 | 0 |
M8 | -344.162649032121 | 39.53075 | -8.7062 | 0 | 0 |
M9 | 143.154153453330 | 39.324563 | 3.6403 | 0.000581 | 0.000291 |
M10 | 71.9062474424826 | 39.24702 | 1.8321 | 0.072066 | 0.036033 |
M11 | -4.59415795677702 | 39.209039 | -0.1172 | 0.907129 | 0.453565 |
t | 1.39464647082141 | 1.707909 | 0.8166 | 0.417509 | 0.208755 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.920058091199456 |
R-squared | 0.846506891181586 |
Adjusted R-squared | 0.812103263342976 |
F-TEST (value) | 24.6051635935784 |
F-TEST (DF numerator) | 13 |
F-TEST (DF denominator) | 58 |
p-value | 0 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 67.8506144015972 |
Sum Squared Residuals | 267014.940731106 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 627 | 638.460957113301 | -11.4609571133011 |
2 | 696 | 622.417372842448 | 73.5826271575524 |
3 | 825 | 728.88751798271 | 96.11248201729 |
4 | 677 | 621.742044442093 | 55.2579555579069 |
5 | 656 | 628.143818129193 | 27.8561818708069 |
6 | 785 | 764.793023527277 | 20.2069764727229 |
7 | 412 | 389.366393757264 | 22.6336062427363 |
8 | 352 | 300.850268308642 | 51.1497316913585 |
9 | 839 | 789.718455278537 | 49.2815447214629 |
10 | 729 | 720.962361833865 | 8.0376381661353 |
11 | 696 | 645.587909167789 | 50.4120908322114 |
12 | 641 | 650.837805816883 | -9.83780581688329 |
13 | 695 | 660.189940054259 | 34.8100599457414 |
14 | 638 | 644.840481272303 | -6.84048127230322 |
15 | 762 | 752.452574797526 | 9.54742520247396 |
16 | 635 | 644.635366912815 | -9.63536691281483 |
17 | 721 | 650.499753124639 | 70.500246875361 |
18 | 854 | 787.955039735636 | 66.0449602643637 |
19 | 418 | 413.155362020111 | 4.84463797988871 |
20 | 367 | 324.594454281883 | 42.4055457181171 |
21 | 824 | 813.574596975793 | 10.4254030242065 |
22 | 687 | 743.295905684508 | -56.2959056845076 |
23 | 601 | 668.12297332166 | -67.1229733216599 |
24 | 676 | 674.066995459652 | 1.93300454034796 |
25 | 740 | 682.859351076949 | 57.1406489230513 |
26 | 691 | 666.994895964521 | 24.0051040354789 |
27 | 683 | 773.062000498327 | -90.062000498327 |
28 | 594 | 665.871744668104 | -71.8717446681038 |
29 | 729 | 672.273518355203 | 56.7264816447966 |
30 | 731 | 808.989897187697 | -77.9898971876969 |
31 | 386 | 433.60804970729 | -47.6080497072901 |
32 | 331 | 345.114315403471 | -14.1143154034712 |
33 | 707 | 833.15403001565 | -126.154030015650 |
34 | 715 | 762.830556434758 | -47.8305564347575 |
35 | 657 | 688.306967271201 | -31.3069672712011 |
36 | 653 | 694.609247726044 | -41.6092477260435 |
37 | 642 | 703.446385632946 | -61.4463856329465 |
38 | 643 | 687.850624258157 | -44.8506242581565 |
39 | 718 | 794.029684515978 | -76.0296845159781 |
40 | 654 | 686.772255251346 | -32.7722552513456 |
41 | 632 | 692.009689408682 | -60.0096894086816 |
42 | 731 | 828.748459385978 | -97.7484593859784 |
43 | 392 | 453.5681322088 | -61.5681322087999 |
44 | 344 | 364.492228140099 | -20.4922281400992 |
45 | 792 | 853.427588544403 | -61.4275885444035 |
46 | 852 | 784.828233113353 | 67.1717668866466 |
47 | 649 | 711.96158866523 | -62.9615886652296 |
48 | 629 | 718.622127436922 | -89.6221274369223 |
49 | 685 | 728.332519991148 | -43.3325199911479 |
50 | 617 | 713.206972657224 | -96.206972657224 |
51 | 715 | 821.154933354494 | -106.154933354494 |
52 | 715 | 713.38250775939 | 1.61749224061092 |
53 | 629 | 721.127750134677 | -92.1277501346774 |
54 | 916 | 859.277162234572 | 56.7228377654278 |
55 | 531 | 484.410311084638 | 46.5896889153623 |
56 | 357 | 394.080502906961 | -37.080502906961 |
57 | 917 | 883.19499246969 | 33.8050075303097 |
58 | 828 | 812.893910033601 | 15.1060899663987 |
59 | 708 | 736.287944403352 | -28.2879444033524 |
60 | 858 | 741.739361355675 | 116.260638644325 |
61 | 775 | 750.710846131397 | 24.2891538686028 |
62 | 785 | 734.689653005348 | 50.3103469946525 |
63 | 1006 | 839.413288850965 | 166.586711149035 |
64 | 789 | 731.596080966254 | 57.4039190337465 |
65 | 734 | 736.945470847605 | -2.9454708476054 |
66 | 906 | 873.236417928839 | 32.7635820711609 |
67 | 532 | 496.891751221897 | 35.1082487781028 |
68 | 387 | 408.868230958944 | -21.8682309589442 |
69 | 991 | 896.930336715926 | 94.069663284074 |
70 | 841 | 827.189032899915 | 13.8109671000845 |
71 | 892 | 752.732617170768 | 139.267382829232 |
72 | 782 | 759.124462204823 | 22.8755377951765 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
17 | 0.149205321997006 | 0.298410643994012 | 0.850794678002994 |
18 | 0.253624662133675 | 0.507249324267349 | 0.746375337866325 |
19 | 0.168289288950372 | 0.336578577900744 | 0.831710711049628 |
20 | 0.116721696046893 | 0.233443392093786 | 0.883278303953107 |
21 | 0.067604368639685 | 0.13520873727937 | 0.932395631360315 |
22 | 0.053292267853691 | 0.106584535707382 | 0.94670773214631 |
23 | 0.0749611431852895 | 0.149922286370579 | 0.92503885681471 |
24 | 0.054226317809821 | 0.108452635619642 | 0.945773682190179 |
25 | 0.0744801514460085 | 0.148960302892017 | 0.925519848553991 |
26 | 0.0594316167063397 | 0.118863233412679 | 0.94056838329366 |
27 | 0.131364670361864 | 0.262729340723727 | 0.868635329638136 |
28 | 0.096331759845679 | 0.192663519691358 | 0.903668240154321 |
29 | 0.176111034926723 | 0.352222069853447 | 0.823888965073277 |
30 | 0.159762043320385 | 0.319524086640771 | 0.840237956679615 |
31 | 0.113219805563506 | 0.226439611127012 | 0.886780194436494 |
32 | 0.104413307837514 | 0.208826615675029 | 0.895586692162486 |
33 | 0.105628777421686 | 0.211257554843372 | 0.894371222578314 |
34 | 0.104793504242500 | 0.209587008485000 | 0.8952064957575 |
35 | 0.0885221135537612 | 0.177044227107522 | 0.911477886446239 |
36 | 0.0641950641618797 | 0.128390128323759 | 0.93580493583812 |
37 | 0.0421572785951483 | 0.0843145571902967 | 0.957842721404852 |
38 | 0.0297516117867906 | 0.0595032235735812 | 0.97024838821321 |
39 | 0.0182331154683073 | 0.0364662309366147 | 0.981766884531693 |
40 | 0.0141672366606608 | 0.0283344733213216 | 0.98583276333934 |
41 | 0.0113080216973767 | 0.0226160433947533 | 0.988691978302623 |
42 | 0.00729227238777909 | 0.0145845447755582 | 0.99270772761222 |
43 | 0.00447997707805712 | 0.00895995415611424 | 0.995520022921943 |
44 | 0.00520612512933131 | 0.0104122502586626 | 0.994793874870669 |
45 | 0.00323053409898548 | 0.00646106819797096 | 0.996769465901014 |
46 | 0.108452086714887 | 0.216904173429775 | 0.891547913285113 |
47 | 0.0826711665440701 | 0.165342333088140 | 0.91732883345593 |
48 | 0.0535767491673835 | 0.107153498334767 | 0.946423250832616 |
49 | 0.0508001577789021 | 0.101600315557804 | 0.949199842221098 |
50 | 0.0335644299147566 | 0.0671288598295132 | 0.966435570085243 |
51 | 0.173234938606203 | 0.346469877212406 | 0.826765061393797 |
52 | 0.135835153108941 | 0.271670306217882 | 0.864164846891059 |
53 | 0.117830331163163 | 0.235660662326327 | 0.882169668836837 |
54 | 0.112766623801230 | 0.225533247602460 | 0.88723337619877 |
55 | 0.0811550068936111 | 0.162310013787222 | 0.918844993106389 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 2 | 0.0512820512820513 | NOK |
5% type I error level | 7 | 0.179487179487179 | NOK |
10% type I error level | 10 | 0.256410256410256 | NOK |