Multiple Linear Regression - Estimated Regression Equation |
TVDCSUM[t] = -3.06225 + 0.0882605ECSUM[t] -0.0310463EPSUM[t] -0.014804IKSUM[t] -0.00582557KVDDSUM[t] + 0.501122SKEOUSUM[t] + 0.484291GWSUM[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) | -3.062 | 3.569 | -8.5790e-01 | 0.3939 | 0.1969 |
ECSUM | +0.08826 | 0.06452 | +1.3680e+00 | 0.1757 | 0.08786 |
EPSUM | -0.03105 | 0.09878 | -3.1430e-01 | 0.7542 | 0.3771 |
IKSUM | -0.0148 | 0.09784 | -1.5130e-01 | 0.8802 | 0.4401 |
KVDDSUM | -0.005826 | 0.08128 | -7.1670e-02 | 0.9431 | 0.4715 |
SKEOUSUM | +0.5011 | 0.09813 | +5.1070e+00 | 2.71e-06 | 1.355e-06 |
GWSUM | +0.4843 | 0.1143 | +4.2370e+00 | 6.791e-05 | 3.396e-05 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.6259 |
R-squared | 0.3918 |
Adjusted R-squared | 0.3397 |
F-TEST (value) | 7.516 |
F-TEST (DF numerator) | 6 |
F-TEST (DF denominator) | 70 |
p-value | 3.078e-06 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 1.506 |
Sum Squared Residuals | 158.8 |
Menu of Residual Diagnostics | |
Description | Link |
Histogram | Compute |
Central Tendency | Compute |
QQ Plot | Compute |
Kernel Density Plot | Compute |
Skewness/Kurtosis Test | Compute |
Skewness-Kurtosis Plot | Compute |
Harrell-Davis Plot | Compute |
Bootstrap Plot -- Central Tendency | Compute |
Blocked Bootstrap Plot -- Central Tendency | Compute |
(Partial) Autocorrelation Plot | Compute |
Spectral Analysis | Compute |
Tukey lambda PPCC Plot | Compute |
Box-Cox Normality Plot | Compute |
Summary Statistics | Compute |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 13 | 13.96 | -0.9589 |
2 | 17 | 16.07 | 0.9335 |
3 | 16 | 15.88 | 0.1187 |
4 | 17 | 16.76 | 0.2425 |
5 | 17 | 14.59 | 2.41 |
6 | 15 | 16.01 | -1.013 |
7 | 16 | 16.78 | -0.778 |
8 | 14 | 15.78 | -1.784 |
9 | 16 | 15.31 | 0.6899 |
10 | 17 | 15.04 | 1.957 |
11 | 16 | 16.36 | -0.3623 |
12 | 16 | 15.48 | 0.5209 |
13 | 15 | 15.06 | -0.06015 |
14 | 16 | 16.57 | -0.5691 |
15 | 13 | 14.92 | -1.92 |
16 | 15 | 15.46 | -0.4619 |
17 | 17 | 17.32 | -0.3155 |
18 | 13 | 15.13 | -2.129 |
19 | 17 | 14.6 | 2.402 |
20 | 14 | 15.14 | -1.139 |
21 | 14 | 14.27 | -0.274 |
22 | 18 | 15.46 | 2.542 |
23 | 17 | 17.1 | -0.1042 |
24 | 13 | 13.51 | -0.5118 |
25 | 16 | 17.41 | -1.407 |
26 | 15 | 16.29 | -1.285 |
27 | 13 | 14.96 | -1.956 |
28 | 17 | 16.77 | 0.2303 |
29 | 11 | 12.56 | -1.561 |
30 | 13 | 14.44 | -1.442 |
31 | 17 | 16.46 | 0.5369 |
32 | 16 | 15.33 | 0.6735 |
33 | 16 | 16.59 | -0.5905 |
34 | 17 | 14.6 | 2.4 |
35 | 14 | 16.03 | -2.03 |
36 | 16 | 15.46 | 0.5377 |
37 | 15 | 14.22 | 0.7758 |
38 | 16 | 15.64 | 0.3563 |
39 | 14 | 14.7 | -0.6974 |
40 | 15 | 15.37 | -0.3702 |
41 | 17 | 15.64 | 1.359 |
42 | 20 | 16.26 | 3.745 |
43 | 17 | 15.6 | 1.397 |
44 | 18 | 17.09 | 0.913 |
45 | 14 | 12.85 | 1.153 |
46 | 17 | 16.35 | 0.6459 |
47 | 17 | 16.15 | 0.8546 |
48 | 16 | 15.75 | 0.2454 |
49 | 18 | 13.98 | 4.024 |
50 | 16 | 16.75 | -0.7461 |
51 | 13 | 15.68 | -2.684 |
52 | 12 | 14.68 | -2.678 |
53 | 16 | 13.7 | 2.299 |
54 | 16 | 15.64 | 0.3618 |
55 | 16 | 16.19 | -0.1918 |
56 | 14 | 15.64 | -1.639 |
57 | 15 | 14.45 | 0.5472 |
58 | 14 | 14.54 | -0.5367 |
59 | 15 | 14.71 | 0.2897 |
60 | 15 | 15.69 | -0.6908 |
61 | 16 | 15.22 | 0.7845 |
62 | 11 | 11.7 | -0.7048 |
63 | 18 | 15.92 | 2.075 |
64 | 11 | 14.32 | -3.317 |
65 | 18 | 18.47 | -0.4679 |
66 | 17 | 17.17 | -0.1672 |
67 | 14 | 15.31 | -1.305 |
68 | 17 | 15.97 | 1.033 |
69 | 14 | 15.44 | -1.444 |
70 | 19 | 16.87 | 2.131 |
71 | 16 | 16.5 | -0.5011 |
72 | 15 | 15.2 | -0.2015 |
73 | 12 | 14.18 | -2.18 |
74 | 17 | 16.78 | 0.2193 |
75 | 15 | 14.25 | 0.7525 |
76 | 16 | 15.95 | 0.05034 |
77 | 16 | 15.03 | 0.9703 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
10 | 0.1697 | 0.3393 | 0.8303 |
11 | 0.07977 | 0.1595 | 0.9202 |
12 | 0.064 | 0.128 | 0.936 |
13 | 0.05331 | 0.1066 | 0.9467 |
14 | 0.05202 | 0.104 | 0.948 |
15 | 0.1153 | 0.2306 | 0.8847 |
16 | 0.06746 | 0.1349 | 0.9325 |
17 | 0.03845 | 0.0769 | 0.9616 |
18 | 0.1273 | 0.2546 | 0.8727 |
19 | 0.2128 | 0.4256 | 0.7872 |
20 | 0.1616 | 0.3232 | 0.8384 |
21 | 0.1764 | 0.3528 | 0.8236 |
22 | 0.3268 | 0.6536 | 0.6732 |
23 | 0.2617 | 0.5234 | 0.7383 |
24 | 0.2292 | 0.4585 | 0.7708 |
25 | 0.1946 | 0.3892 | 0.8054 |
26 | 0.1643 | 0.3286 | 0.8357 |
27 | 0.1623 | 0.3246 | 0.8377 |
28 | 0.1183 | 0.2366 | 0.8817 |
29 | 0.1551 | 0.3102 | 0.8449 |
30 | 0.1539 | 0.3077 | 0.8461 |
31 | 0.115 | 0.23 | 0.885 |
32 | 0.1072 | 0.2144 | 0.8928 |
33 | 0.08018 | 0.1604 | 0.9198 |
34 | 0.1351 | 0.2703 | 0.8649 |
35 | 0.1674 | 0.3348 | 0.8326 |
36 | 0.1293 | 0.2586 | 0.8707 |
37 | 0.1087 | 0.2174 | 0.8913 |
38 | 0.08156 | 0.1631 | 0.9184 |
39 | 0.07309 | 0.1462 | 0.9269 |
40 | 0.05444 | 0.1089 | 0.9456 |
41 | 0.05038 | 0.1008 | 0.9496 |
42 | 0.3105 | 0.6209 | 0.6895 |
43 | 0.3561 | 0.7122 | 0.6439 |
44 | 0.3134 | 0.6269 | 0.6866 |
45 | 0.3078 | 0.6155 | 0.6922 |
46 | 0.2684 | 0.5367 | 0.7316 |
47 | 0.2237 | 0.4474 | 0.7763 |
48 | 0.1748 | 0.3496 | 0.8252 |
49 | 0.6283 | 0.7433 | 0.3717 |
50 | 0.5726 | 0.8549 | 0.4274 |
51 | 0.6435 | 0.713 | 0.3565 |
52 | 0.7546 | 0.4908 | 0.2454 |
53 | 0.8267 | 0.3466 | 0.1733 |
54 | 0.7914 | 0.4173 | 0.2086 |
55 | 0.7406 | 0.5188 | 0.2594 |
56 | 0.726 | 0.5481 | 0.274 |
57 | 0.6625 | 0.675 | 0.3375 |
58 | 0.582 | 0.8361 | 0.418 |
59 | 0.5239 | 0.9523 | 0.4761 |
60 | 0.4459 | 0.8919 | 0.5541 |
61 | 0.3802 | 0.7605 | 0.6198 |
62 | 0.3627 | 0.7255 | 0.6373 |
63 | 0.4394 | 0.8789 | 0.5606 |
64 | 0.7702 | 0.4596 | 0.2298 |
65 | 0.8526 | 0.2948 | 0.1474 |
66 | 0.8163 | 0.3673 | 0.1837 |
67 | 0.7173 | 0.5654 | 0.2827 |
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 | 0 | 0 | OK |
10% type I error level | 1 | 0.0172414 | OK |
Ramsey RESET F-Test for powers (2 and 3) of fitted values |
> reset_test_fitted RESET test data: mylm RESET = 0.12967, df1 = 2, df2 = 68, p-value = 0.8786 |
Ramsey RESET F-Test for powers (2 and 3) of regressors |
> reset_test_regressors RESET test data: mylm RESET = 0.74707, df1 = 12, df2 = 58, p-value = 0.7001 |
Ramsey RESET F-Test for powers (2 and 3) of principal components |
> reset_test_principal_components RESET test data: mylm RESET = 0.76048, df1 = 2, df2 = 68, p-value = 0.4714 |
Variance Inflation Factors (Multicollinearity) |
> vif ECSUM EPSUM IKSUM KVDDSUM SKEOUSUM GWSUM 1.062707 1.040427 1.070636 1.025101 1.038950 1.017289 |