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Sentiment Data per Topic: Switzerland
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Correlations for CH
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| CH | CH | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.302e-16 -4.960e-19 9.930e-19 2.455e-18 1.192e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -3.614e-17 4.363e-18 -8.283e+00 6.39e-14 *** Output:regressor 1.000e+00 2.217e-17 4.510e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.109e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.034e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.25019 0.25019 2.0338e+33 < 2.2e-16 *** Output:Residuals 149 0.00000 0.00000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.00166796 Output:[1] 0.00166796 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.903722e-35 -9.465564e-35 Output:regressor -9.465564e-35 4.916815e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -3.6139e-17 2.8730e-18 -1.2579e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.1458e-17 8.7271e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.2825 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.094661 -0.019802 0.001946 0.020393 0.120507 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.251240 0.008084 31.08 < 2e-16 *** Output:regressor -4.129221 0.532814 -7.75 1.32e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03459 on 149 degrees of freedom Output:Multiple R-squared: 0.2873, Adjusted R-squared: 0.2825 Output:F-statistic: 60.06 on 1 and 149 DF, p-value: 1.321e-12 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.071877 0.071877 60.06 1.321e-12 *** Output:Residuals 149 0.178317 0.001197 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.00166796 Output:[1] 2.810368e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.534696e-05 -0.004037503 Output:regressor -4.037503e-03 0.283891167 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.25124 0.01189 21.1298 < 2.2e-16 *** Output:regressor -4.12922 0.65580 -6.2965 3.234e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.1590 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.077795 -0.022489 -0.000956 0.022113 0.116496 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.221324 0.006129 36.111 < 2e-16 *** Output:regressor -6.471657 1.194488 -5.418 2.37e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03745 on 149 degrees of freedom Output:Multiple R-squared: 0.1646, Adjusted R-squared: 0.159 Output:F-statistic: 29.35 on 1 and 149 DF, p-value: 2.37e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.041178 0.041178 29.354 2.37e-07 *** Output:Residuals 149 0.209016 0.001403 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.00166796 Output:[1] 6.554495e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.756527e-05 -0.006351627 Output:regressor -6.351627e-03 1.426801848 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.221324 0.012873 17.1934 < 2.2e-16 *** Output:regressor -6.471657 2.089101 -3.0978 0.002331 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.1060 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.092904 -0.025019 0.000267 0.022542 0.110027 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.224077 0.007931 28.254 < 2e-16 *** Output:regressor -4.205712 0.970282 -4.335 2.67e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03862 on 149 degrees of freedom Output:Multiple R-squared: 0.112, Adjusted R-squared: 0.106 Output:F-statistic: 18.79 on 1 and 149 DF, p-value: 2.675e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.028016 0.0280155 18.788 2.675e-05 *** Output:Residuals 149 0.222179 0.0014911 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.00166796 Output:[1] 1.055913e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.289935e-05 -0.007065382 Output:regressor -7.065382e-03 0.941447930 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.224077 0.017663 12.6865 < 2.2e-16 *** Output:regressor -4.205712 1.551650 -2.7105 0.007507 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.1012 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.115556 -0.026084 -0.000621 0.028704 0.104570 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.165563 0.007108 23.29 < 2e-16 *** Output:regressor 7.032364 1.662356 4.23 4.06e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03872 on 149 degrees of freedom Output:Multiple R-squared: 0.1072, Adjusted R-squared: 0.1012 Output:F-statistic: 17.9 on 1 and 149 DF, p-value: 4.058e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.026828 0.0268279 17.896 4.058e-05 *** Output:Residuals 149 0.223366 0.0014991 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.00166796 Output:[1] 3.616529e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.051724e-05 -0.01059084 Output:regressor -1.059084e-02 2.76342683 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.165563 0.014365 11.5253 < 2.2e-16 *** Output:regressor 7.032364 2.100947 3.3472 0.001033 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0142 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.092091 -0.031231 0.004661 0.027901 0.101238 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.201875 0.006214 32.487 <2e-16 *** Output:regressor -1.623169 0.913055 -1.778 0.0775 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.04055 on 149 degrees of freedom Output:Multiple R-squared: 0.02077, Adjusted R-squared: 0.0142 Output:F-statistic: 3.16 on 1 and 149 DF, p-value: 0.07749 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.005196 0.0051965 3.1603 0.07749 . Output:Residuals 149 0.244998 0.0016443 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.00166796 Output:[1] 1.314893e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.861371e-05 -0.004807601 Output:regressor -4.807601e-03 0.833669587 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.201875 0.020679 9.7625 <2e-16 *** Output:regressor -1.623169 2.185985 -0.7425 0.4589 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | -0.0067 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.082942 -0.031883 0.003837 0.029008 0.104258 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.192162 0.006549 29.340 <2e-16 *** Output:regressor 0.312096 5.001582 0.062 0.95 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.04098 on 149 degrees of freedom Output:Multiple R-squared: 2.613e-05, Adjusted R-squared: -0.006685 Output:F-statistic: 0.003894 on 1 and 149 DF, p-value: 0.9503 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000007 0.00000654 0.0039 0.9503 Output:Residuals 149 0.250188 0.00167911 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.00166796 Output:[1] 4.474797e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.28959e-05 -0.028194 Output:regressor -2.81940e-02 25.015824 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.192162 0.015775 12.1811 <2e-16 *** Output:regressor 0.312096 7.051299 0.0443 0.9648 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for DE
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| DE | DE | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.431e-18 -2.671e-19 -1.818e-19 -7.390e-20 2.504e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -6.776e-18 4.878e-19 -1.389e+01 <2e-16 *** Output:regressor 1.000e+00 3.215e-17 3.110e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.088e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 9.673e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0042156 0.0042156 9.6727e+32 < 2.2e-16 *** Output:Residuals 149 0.0000000 0.0000000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.810368e-05 Output:[1] 2.810368e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.379708e-37 -1.470317e-35 Output:regressor -1.470317e-35 1.033832e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -6.7762e-18 1.6734e-19 -4.0492e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 2.1145e-17 4.7292e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.2825 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0086452 -0.0032933 -0.0001858 0.0025378 0.0125667 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.027616 0.001766 15.63 < 2e-16 *** Output:regressor -0.069574 0.008977 -7.75 1.32e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00449 on 149 degrees of freedom Output:Multiple R-squared: 0.2873, Adjusted R-squared: 0.2825 Output:F-statistic: 60.06 on 1 and 149 DF, p-value: 1.321e-12 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0012111 0.00121107 60.06 1.321e-12 *** Output:Residuals 149 0.0030045 0.00002016 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.810368e-05 Output:[1] 0.00166796 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.120517e-06 -1.551563e-05 Output:regressor -1.551563e-05 8.059476e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0276159 0.0034079 8.1036 1.784e-13 *** Output:regressor -0.0695738 0.0173997 -3.9986 9.998e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.2311 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0087987 -0.0033867 -0.0000429 0.0025577 0.0142181 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0082707 0.0009547 8.663 7.05e-15 *** Output:regressor 0.7929967 0.1168004 6.789 2.50e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.004648 on 149 degrees of freedom Output:Multiple R-squared: 0.2363, Adjusted R-squared: 0.2311 Output:F-statistic: 46.1 on 1 and 149 DF, p-value: 2.501e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0009960 0.00099601 46.095 2.501e-10 *** Output:Residuals 149 0.0032195 0.00002161 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.810368e-05 Output:[1] 1.055913e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.114619e-07 -0.000102383 Output:regressor -1.023830e-04 0.013642335 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0082707 0.0013133 6.2975 3.218e-09 *** Output:regressor 0.7929967 0.1465338 5.4117 2.440e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.2190 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0092502 -0.0034556 -0.0003372 0.0028581 0.0135772 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0098575 0.0007667 12.858 < 2e-16 *** Output:regressor 0.9804194 0.1494166 6.562 8.26e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.004685 on 149 degrees of freedom Output:Multiple R-squared: 0.2242, Adjusted R-squared: 0.219 Output:F-statistic: 43.06 on 1 and 149 DF, p-value: 8.26e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0009450 0.00094505 43.055 8.26e-10 *** Output:Residuals 149 0.0032705 0.00002195 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.810368e-05 Output:[1] 6.554495e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.877880e-07 -9.938462e-05 Output:regressor -9.938462e-05 2.232533e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0098575 0.0012284 8.0245 2.798e-13 *** Output:regressor 0.9804194 0.2054635 4.7717 4.317e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.2154 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0085132 -0.0033349 -0.0001679 0.0027031 0.0143747 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0102617 0.0007196 14.261 < 2e-16 *** Output:regressor 0.6867515 0.1057320 6.495 1.17e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.004696 on 149 degrees of freedom Output:Multiple R-squared: 0.2207, Adjusted R-squared: 0.2154 Output:F-statistic: 42.19 on 1 and 149 DF, p-value: 1.166e-09 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0009302 0.00093021 42.188 1.166e-09 *** Output:Residuals 149 0.0032853 0.00002205 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.810368e-05 Output:[1] 1.314893e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.177980e-07 -6.446845e-05 Output:regressor -6.446845e-05 1.117925e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0102617 0.0012043 8.5209 1.613e-14 *** Output:regressor 0.6867515 0.1286562 5.3379 3.438e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.0034 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0110424 -0.0040939 0.0000953 0.0032618 0.0148405 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0133249 0.0008459 15.753 <2e-16 *** Output:regressor 0.7960096 0.6459515 1.232 0.22 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005292 on 149 degrees of freedom Output:Multiple R-squared: 0.01009, Adjusted R-squared: 0.003445 Output:F-statistic: 1.519 on 1 and 149 DF, p-value: 0.2198 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000425 4.2531e-05 1.5186 0.2198 Output:Residuals 149 0.0041730 2.8007e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.810368e-05 Output:[1] 4.474797e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 7.154854e-07 -0.000470264 Output:regressor -4.702640e-04 0.417253298 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0133249 0.0017624 7.5604 3.802e-12 *** Output:regressor 0.7960096 1.3207404 0.6027 0.5476 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | -0.0066 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0109813 -0.0039386 0.0000304 0.0033603 0.0147906 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0143138 0.0009764 14.660 <2e-16 *** Output:regressor -0.0239509 0.2283634 -0.105 0.917 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005319 on 149 degrees of freedom Output:Multiple R-squared: 7.382e-05, Adjusted R-squared: -0.006637 Output:F-statistic: 0.011 on 1 and 149 DF, p-value: 0.9166 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000003 3.112e-07 0.011 0.9166 Output:Residuals 149 0.0042152 2.829e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.810368e-05 Output:[1] 3.616529e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.533328e-07 -0.0001998643 Output:regressor -1.998643e-04 0.0521498290 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0143138 0.0016845 8.4975 1.849e-14 *** Output:regressor -0.0239509 0.3044713 -0.0787 0.9374 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for ES
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| ES | ES | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.081e-19 -2.236e-20 -1.008e-20 -1.600e-22 1.589e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.823e-19 2.196e-20 1.285e+01 <2e-16 *** Output:regressor 1.000e+00 1.677e-17 5.962e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.374e-19 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.554e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.7122e-05 6.7122e-05 3.5542e+33 < 2.2e-16 *** Output:Residuals 149 0.0000e+00 0.0000e+00 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.474797e-07 Output:[1] 4.474797e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.824569e-40 -3.171023e-37 Output:regressor -3.171023e-37 2.813568e-34 Output:[1] "-------------------------------------------------------------------------------------------" Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.8234e-19 2.4445e-20 1.1550e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 2.1928e-17 4.5604e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.0888 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0009669 -0.0003530 -0.0001477 0.0002568 0.0033592 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0006513 0.0001311 4.966 1.85e-06 *** Output:regressor 0.0633984 0.0160450 3.951 0.00012 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0006386 on 149 degrees of freedom Output:Multiple R-squared: 0.09484, Adjusted R-squared: 0.08877 Output:F-statistic: 15.61 on 1 and 149 DF, p-value: 0.0001196 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.3660e-06 6.3661e-06 15.613 0.0001196 *** Output:Residuals 149 6.0756e-05 4.0780e-07 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.474797e-07 Output:[1] 1.055913e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.720013e-08 -1.932063e-06 Output:regressor -1.932063e-06 2.574435e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00065125 0.00017195 3.7874 0.0002203 *** Output:regressor 0.06339839 0.01825143 3.4736 0.0006725 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | 0.0196 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0008867 -0.0004228 -0.0001787 0.0002182 0.0033608 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0009549 0.0001015 9.408 <2e-16 *** Output:regressor 0.0298433 0.0149139 2.001 0.0472 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0006623 on 149 degrees of freedom Output:Multiple R-squared: 0.02617, Adjusted R-squared: 0.01963 Output:F-statistic: 4.004 on 1 and 149 DF, p-value: 0.0472 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.7570e-06 1.7566e-06 4.0042 0.0472 * Output:Residuals 149 6.5365e-05 4.3869e-07 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.474797e-07 Output:[1] 1.314893e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.030214e-08 -1.282668e-06 Output:regressor -1.282668e-06 2.224230e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00095495 0.00016275 5.8675 2.757e-08 *** Output:regressor 0.02984329 0.01989922 1.4997 0.1358 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.0103 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0008876 -0.0004072 -0.0001571 0.0001699 0.0033258 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0009757 0.0001089 8.960 1.24e-15 *** Output:regressor 0.0339960 0.0212235 1.602 0.111 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0006655 on 149 degrees of freedom Output:Multiple R-squared: 0.01693, Adjusted R-squared: 0.01033 Output:F-statistic: 2.566 on 1 and 149 DF, p-value: 0.1113 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.1360e-06 1.1363e-06 2.5658 0.1113 Output:Residuals 149 6.5986e-05 4.4286e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.474797e-07 Output:[1] 6.554495e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.185921e-08 -2.005184e-06 Output:regressor -2.005184e-06 4.504357e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00097571 0.00019402 5.0289 1.399e-06 *** Output:regressor 0.03399605 0.02711463 1.2538 0.2119 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | DE | 0.0034 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0008818 -0.0004152 -0.0001737 0.0001942 0.0033406 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0009468 0.0001560 6.067 1.03e-08 *** Output:regressor 0.0126744 0.0102851 1.232 0.22 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0006678 on 149 degrees of freedom Output:Multiple R-squared: 0.01009, Adjusted R-squared: 0.003445 Output:F-statistic: 1.519 on 1 and 149 DF, p-value: 0.2198 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.7700e-07 6.7719e-07 1.5186 0.2198 Output:Residuals 149 6.6445e-05 4.4594e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.474797e-07 Output:[1] 2.810368e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.434970e-08 -1.504461e-06 Output:regressor -1.504461e-06 1.057840e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00094679 0.00032419 2.9205 0.004038 ** Output:regressor 0.01267443 0.01854877 0.6833 0.495477 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | -0.0033 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0009590 -0.0004371 -0.0001497 0.0001856 0.0032389 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.001049 0.000123 8.526 1.57e-14 *** Output:regressor 0.020453 0.028768 0.711 0.478 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00067 on 149 degrees of freedom Output:Multiple R-squared: 0.003381, Adjusted R-squared: -0.003308 Output:F-statistic: 0.5055 on 1 and 149 DF, p-value: 0.4782 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.2700e-07 2.2693e-07 0.5055 0.4782 Output:Residuals 149 6.6895e-05 4.4896e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.474797e-07 Output:[1] 3.616529e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.512920e-08 -3.171807e-06 Output:regressor -3.171807e-06 8.276073e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00104866 0.00016836 6.2288 4.561e-09 *** Output:regressor 0.02045278 0.02734897 0.7478 0.4557 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | -0.0067 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0009701 -0.0004486 -0.0001517 0.0002006 0.0032382 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.111e-03 2.640e-04 4.208 4.44e-05 *** Output:regressor 8.373e-05 1.342e-03 0.062 0.95 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0006712 on 149 degrees of freedom Output:Multiple R-squared: 2.613e-05, Adjusted R-squared: -0.006685 Output:F-statistic: 0.003894 on 1 and 149 DF, p-value: 0.9503 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.000e-09 1.7500e-09 0.0039 0.9503 Output:Residuals 149 6.712e-05 4.5047e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.474797e-07 Output:[1] 0.00166796 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.971234e-08 -3.466192e-07 Output:regressor -3.466192e-07 1.800487e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.1109e-03 3.6975e-04 3.0046 0.003121 ** Output:regressor 8.3729e-05 2.0950e-03 0.0400 0.968173 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for FR
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| FR | FR | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.927e-18 -2.155e-19 -1.364e-19 -1.620e-20 1.861e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.517e-18 3.185e-19 1.418e+01 <2e-16 *** Output:regressor 1.000e+00 3.897e-17 2.566e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.551e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 6.585e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) ErrorOutput:regressor 1 0.0015839 0.0015839 6.5849e+32 < 2.2e-16 *** :Output:Residuals 149 0.0000000 0.0000000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.055913e-05 Output:[1] 1.055913e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Error:Warning message: Output: (Intercept) regressor Output:(Intercept) 1.014609e-37 -1.139694e-35 Output:regressor -1.139694e-35 1.518619e-33 Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.5174e-18 2.1836e-19 2.0688e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.5211e-17 6.5740e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.2311 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0056221 -0.0019945 -0.0004044 0.0014754 0.0087788 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0032674 0.0006658 4.907 2.39e-06 *** Output:regressor 0.2979453 0.0438843 6.789 2.50e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002849 on 149 degrees of freedom Output:Multiple R-squared: 0.2363, Adjusted R-squared: 0.2311 Output:F-statistic: 46.1 on 1 and 149 DF, p-value: 2.501e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00037422 0.00037422 46.095 2.501e-10 *** Output:Residuals 149 0.00120965 0.00000812 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.055913e-05 Output:[1] 2.810368e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.432946e-07 -2.738924e-05 Output:regressor -2.738924e-05 1.925834e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00326742 0.00075432 4.3316 2.706e-05 *** Output:regressor 0.29794526 0.04530821 6.5760 7.667e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | 0.2281 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0068247 -0.0021072 -0.0003346 0.0017723 0.0095458 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0050091 0.0004375 11.449 < 2e-16 *** Output:regressor 0.4327732 0.0642849 6.732 3.38e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002855 on 149 degrees of freedom Output:Multiple R-squared: 0.2332, Adjusted R-squared: 0.2281 Output:F-statistic: 45.32 on 1 and 149 DF, p-value: 3.383e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0003694 3.694e-04 45.321 3.383e-10 *** Output:Residuals 149 0.0012145 8.150e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.055913e-05 Output:[1] 1.314893e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.914101e-07 -2.383152e-05 Output:regressor -2.383152e-05 4.132542e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00500909 0.00053536 9.3565 <2e-16 *** Output:regressor 0.43277321 0.07294530 5.9328 2e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.1690 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0085852 -0.0018242 -0.0003645 0.0017784 0.0095911 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0051444 0.0004848 10.613 < 2e-16 *** Output:regressor 0.5302215 0.0944728 5.612 9.46e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002962 on 149 degrees of freedom Output:Multiple R-squared: 0.1745, Adjusted R-squared: 0.169 Output:F-statistic: 31.5 on 1 and 149 DF, p-value: 9.462e-08 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0002764 2.7641e-04 31.499 9.462e-08 *** Output:Residuals 149 0.0013075 8.7750e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.055913e-05 Output:[1] 6.554495e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.349830e-07 -3.973149e-05 Output:regressor -3.973149e-05 8.925109e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00514444 0.00068898 7.4667 6.392e-12 *** Output:regressor 0.53022150 0.14710191 3.6045 0.0004259 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.1060 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0063864 -0.0020767 -0.0003436 0.0015148 0.0112079 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.012630 0.001209 10.450 < 2e-16 *** Output:regressor -0.026625 0.006142 -4.335 2.67e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.003072 on 149 degrees of freedom Output:Multiple R-squared: 0.112, Adjusted R-squared: 0.106 Output:F-statistic: 18.79 on 1 and 149 DF, p-value: 2.675e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00017735 0.00017735 18.788 2.675e-05 *** Output:Residuals 149 0.00140652 0.00000944 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.055913e-05 Output:[1] 0.00166796 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.460835e-06 -7.263468e-06 Output:regressor -7.263468e-06 3.772953e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0126304 0.0023127 5.4613 1.935e-07 *** Output:regressor -0.0266245 0.0115123 -2.3127 0.02211 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.0888 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0068113 -0.0024357 0.0000566 0.0019935 0.0091101 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0058187 0.0004958 11.736 < 2e-16 *** Output:regressor 1.4960057 0.3786134 3.951 0.00012 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.003102 on 149 degrees of freedom Output:Multiple R-squared: 0.09484, Adjusted R-squared: 0.08877 Output:F-statistic: 15.61 on 1 and 149 DF, p-value: 0.0001196 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00015022 1.5022e-04 15.613 0.0001196 *** Output:Residuals 149 0.00143365 9.6220e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.055913e-05 Output:[1] 4.474797e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.458063e-07 -0.00016156 Output:regressor -1.615600e-04 0.14334811 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00581874 0.00077653 7.4933 5.519e-12 *** Output:regressor 1.49600567 0.73686289 2.0302 0.04411 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | -0.0046 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0051519 -0.0025302 -0.0004505 0.0018157 0.0098810 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0072069 0.0005979 12.054 <2e-16 *** Output:regressor 0.0777316 0.1398380 0.556 0.579 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.003257 on 149 degrees of freedom Output:Multiple R-squared: 0.002069, Adjusted R-squared: -0.004628 Output:F-statistic: 0.309 on 1 and 149 DF, p-value: 0.5791 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00000328 3.2778e-06 0.309 0.5791 Output:Residuals 149 0.00158059 1.0608e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.055913e-05 Output:[1] 3.616529e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.574720e-07 -7.494329e-05 Output:regressor -7.494329e-05 1.955466e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0072069 0.0011452 6.2933 3.287e-09 *** Output:regressor 0.0777316 0.2480758 0.3133 0.7545 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for GB
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| GB | GB | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-9.676e-19 -7.240e-20 -4.930e-20 -1.730e-20 8.297e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.129e-18 1.274e-19 -8.865e+00 2.16e-15 *** Output:regressor 1.000e+00 2.980e-17 3.356e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 6.94e-19 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.126e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00054248 0.00054248 1.1264e+33 < 2.2e-16 *** Output:Residuals 149 0.00000000 0.00000000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.616529e-06 Output:[1] 3.616529e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.622916e-38 -3.402412e-36 Output:regressor -3.402412e-36 8.877781e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.1294e-18 6.6084e-20 -1.7090e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.3966e-17 7.1605e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.1012 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0028319 -0.0010652 -0.0004269 0.0005235 0.0089792 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0008971 0.0007092 1.265 0.208 Output:regressor 0.0152478 0.0036044 4.230 4.06e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001803 on 149 degrees of freedom Output:Multiple R-squared: 0.1072, Adjusted R-squared: 0.1012 Output:F-statistic: 17.9 on 1 and 149 DF, p-value: 4.058e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00005817 5.8169e-05 17.896 4.058e-05 *** Output:Residuals 149 0.00048431 3.2500e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.616529e-06 Output:[1] 0.00166796 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.030141e-07 -2.501054e-06 Output:regressor -2.501054e-06 1.299153e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00089708 0.00097339 0.9216 0.358223 Output:regressor 0.01524781 0.00509833 2.9907 0.003257 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.0255 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0038697 -0.0011935 -0.0002744 0.0004916 0.0082262 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0032415 0.0003072 10.551 <2e-16 *** Output:regressor 0.1327693 0.0598732 2.218 0.0281 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001877 on 149 degrees of freedom Output:Multiple R-squared: 0.03195, Adjusted R-squared: 0.02545 Output:F-statistic: 4.917 on 1 and 149 DF, p-value: 0.0281 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00001733 1.7331e-05 4.9173 0.0281 * Output:Residuals 149 0.00052515 3.5245e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.616529e-06 Output:[1] 6.554495e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.438177e-08 -0.0000159583 Output:regressor -1.595830e-05 0.0035848022 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00324146 0.00044207 7.3324 1.339e-11 *** Output:regressor 0.13276933 0.11018534 1.2050 0.2301 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | -0.0033 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0037326 -0.0012245 -0.0003551 0.0005641 0.0095800 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0036462 0.0003045 11.976 <2e-16 *** Output:regressor 0.1652993 0.2325042 0.711 0.478 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001905 on 149 degrees of freedom Output:Multiple R-squared: 0.003381, Adjusted R-squared: -0.003308 Output:F-statistic: 0.5055 on 1 and 149 DF, p-value: 0.4782 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00000183 1.8340e-06 0.5055 0.4782 Output:Residuals 149 0.00054065 3.6285e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.616529e-06 Output:[1] 4.474797e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.269635e-08 -6.092613e-05 Output:regressor -6.092613e-05 5.405821e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00364620 0.00029502 12.359 <2e-16 *** Output:regressor 0.16529931 0.23514593 0.703 0.4832 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | -0.0046 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0037993 -0.0012493 -0.0003568 0.0005195 0.0094112 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0036327 0.0003915 9.279 <2e-16 *** Output:regressor 0.0266233 0.0478949 0.556 0.579 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001906 on 149 degrees of freedom Output:Multiple R-squared: 0.002069, Adjusted R-squared: -0.004628 Output:F-statistic: 0.309 on 1 and 149 DF, p-value: 0.5791 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00000112 1.1226e-06 0.309 0.5791 Output:Residuals 149 0.00054136 3.6333e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.616529e-06 Output:[1] 1.055913e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.532596e-07 -0.0000172154 Output:regressor -1.721540e-05 0.0022939171 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00363270 0.00055892 6.4995 1.14e-09 *** Output:regressor 0.02662326 0.08936550 0.2979 0.7662 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | -0.0049 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0037055 -0.0012070 -0.0003969 0.0005375 0.0095162 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0037055 0.0002921 12.684 <2e-16 *** Output:regressor 0.0220245 0.0429264 0.513 0.609 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001906 on 149 degrees of freedom Output:Multiple R-squared: 0.001764, Adjusted R-squared: -0.004936 Output:F-statistic: 0.2632 on 1 and 149 DF, p-value: 0.6087 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00000096 9.5670e-07 0.2632 0.6087 Output:Residuals 149 0.00054152 3.6344e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.616529e-06 Output:[1] 1.314893e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.534859e-08 -1.062633e-05 Output:regressor -1.062633e-05 1.842675e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00370549 0.00026013 14.2447 <2e-16 *** Output:regressor 0.02202450 0.05671032 0.3884 0.6983 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | -0.0066 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0038326 -0.0012134 -0.0004155 0.0005232 0.0096908 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0038763 0.0004459 8.694 5.88e-15 *** Output:regressor -0.0030821 0.0293870 -0.105 0.917 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001908 on 149 degrees of freedom Output:Multiple R-squared: 7.382e-05, Adjusted R-squared: -0.006637 Output:F-statistic: 0.011 on 1 and 149 DF, p-value: 0.9166 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00000004 4.0000e-08 0.011 0.9166 Output:Residuals 149 0.00054244 3.6405e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.616529e-06 Output:[1] 2.810368e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.987852e-07 -1.228207e-05 Output:regressor -1.228207e-05 8.635957e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00387634 0.00043943 8.8213 2.794e-15 *** Output:regressor -0.00308212 0.03730500 -0.0826 0.9343 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for IT
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| IT | IT | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.852e-18 -4.560e-19 -2.710e-19 -4.600e-20 3.572e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.647e-18 4.562e-19 1.238e+01 <2e-16 *** Output:regressor 1.000e+00 6.704e-17 1.492e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.977e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.225e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0019723 0.0019723 2.2252e+32 < 2.2e-16 *** Output:Residuals 149 0.0000000 0.0000000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.314893e-05 Output:[1] 1.314893e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.081512e-37 -2.591587e-35 Output:regressor -2.591587e-35 4.493982e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.6468e-18 7.9169e-19 7.1326e+00 3.979e-11 *** Output:regressor 1.0000e+00 9.8723e-17 1.0129e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.2281 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0066708 -0.0022160 -0.0001593 0.0020205 0.0097405 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0017223 0.0006543 2.632 0.00938 ** Output:regressor 0.5389176 0.0800517 6.732 3.38e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.003186 on 149 degrees of freedom Output:Multiple R-squared: 0.2332, Adjusted R-squared: 0.2281 Output:F-statistic: 45.32 on 1 and 149 DF, p-value: 3.383e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00046001 0.00046001 45.321 3.383e-10 *** Output:Residuals 149 0.00151233 0.00001015 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.314893e-05 Output:[1] 1.055913e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.281453e-07 -4.809287e-05 Output:regressor -4.809287e-05 6.408278e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00172232 0.00079531 2.1656 0.03193 * Output:regressor 0.53891763 0.08436369 6.3880 2.026e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.2154 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0068594 -0.0017247 0.0000398 0.0014572 0.0093109 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0011971 0.0007505 1.595 0.113 Output:regressor 0.3213118 0.0494690 6.495 1.17e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.003212 on 149 degrees of freedom Output:Multiple R-squared: 0.2207, Adjusted R-squared: 0.2154 Output:F-statistic: 42.19 on 1 and 149 DF, p-value: 1.166e-09 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00043522 0.00043522 42.188 1.166e-09 *** Output:Residuals 149 0.00153712 0.00001032 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.314893e-05 Output:[1] 2.810368e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.633011e-07 -3.480391e-05 Output:regressor -3.480391e-05 2.447186e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00119709 0.00055734 2.1479 0.03334 * Output:regressor 0.32131185 0.03945529 8.1437 1.418e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.0721 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0095498 -0.0022135 -0.0000984 0.0019587 0.0085944 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0040026 0.0005716 7.002 8.03e-11 *** Output:regressor 0.3962998 0.1113987 3.557 0.000502 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.003493 on 149 degrees of freedom Output:Multiple R-squared: 0.07829, Adjusted R-squared: 0.0721 Output:F-statistic: 12.66 on 1 and 149 DF, p-value: 0.0005025 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00015441 1.5441e-04 12.656 0.0005025 *** Output:Residuals 149 0.00181793 1.2201e-05 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.314893e-05 Output:[1] 6.554495e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.267254e-07 -5.524351e-05 Output:regressor -5.524351e-05 1.240966e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00400260 0.00086451 4.6299 7.903e-06 *** Output:regressor 0.39629981 0.24260797 1.6335 0.1045 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | 0.0196 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0068650 -0.0025649 -0.0002518 0.0019173 0.0093647 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0047785 0.0005739 8.327 4.96e-14 *** Output:regressor 0.8769275 0.4382348 2.001 0.0472 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00359 on 149 degrees of freedom Output:Multiple R-squared: 0.02617, Adjusted R-squared: 0.01963 Output:F-statistic: 4.004 on 1 and 149 DF, p-value: 0.0472 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00005162 5.1617e-05 4.0042 0.0472 * Output:Residuals 149 0.00192072 1.2891e-05 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.314893e-05 Output:[1] 4.474797e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.293174e-07 -0.000216449 Output:regressor -2.164490e-04 0.192049735 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0047785 0.0008369 5.7097 5.934e-08 *** Output:regressor 0.8769275 0.7296772 1.2018 0.2313 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.0142 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0068254 -0.0024317 -0.0000432 0.0017877 0.0105662 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.008230 0.001416 5.811 3.63e-08 *** Output:regressor -0.012796 0.007198 -1.778 0.0775 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0036 on 149 degrees of freedom Output:Multiple R-squared: 0.02077, Adjusted R-squared: 0.0142 Output:F-statistic: 3.16 on 1 and 149 DF, p-value: 0.07749 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00004097 4.0965e-05 3.1603 0.07749 . Output:Residuals 149 0.00193137 1.2962e-05 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.314893e-05 Output:[1] 0.00166796 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.005963e-06 -9.973917e-06 Output:regressor -9.973917e-06 5.180875e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0082302 0.0029729 2.7684 0.006349 ** Output:regressor -0.0127958 0.0140203 -0.9127 0.362893 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | -0.0049 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0063204 -0.0028433 -0.0003052 0.0019378 0.0101854 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0054599 0.0006673 8.182 1.14e-13 *** Output:regressor 0.0800764 0.1560712 0.513 0.609 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.003635 on 149 degrees of freedom Output:Multiple R-squared: 0.001764, Adjusted R-squared: -0.004936 Output:F-statistic: 0.2632 on 1 and 149 DF, p-value: 0.6087 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00000348 3.4785e-06 0.2632 0.6087 Output:Residuals 149 0.00196886 1.3214e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.314893e-05 Output:[1] 3.616529e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.452840e-07 -9.335291e-05 Output:regressor -9.335291e-05 2.435822e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00545990 0.00091238 5.9842 1.552e-08 *** Output:regressor 0.08007637 0.19561409 0.4094 0.6829 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for RO
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| RO | RO | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.252e-18 -6.420e-20 4.050e-20 9.880e-20 7.906e-19 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.259e-18 7.767e-20 2.908e+01 <2e-16 *** Output:regressor 1.000e+00 1.514e-17 6.606e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.746e-19 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.365e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00098317 0.00098317 4.3646e+33 < 2.2e-16 *** Output:Residuals 149 0.00000000 0.00000000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.554495e-06 Output:[1] 6.554495e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.032272e-39 -1.019951e-36 Output:regressor -1.019951e-36 2.291174e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.2587e-18 1.9892e-19 1.1355e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 5.1175e-17 1.9541e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.2190 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0043264 -0.0014412 -0.0003423 0.0009175 0.0099146 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0011997 0.0005287 2.269 0.0247 * Output:regressor 0.2286588 0.0348478 6.562 8.26e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002263 on 149 degrees of freedom Output:Multiple R-squared: 0.2242, Adjusted R-squared: 0.219 Output:F-statistic: 43.06 on 1 and 149 DF, p-value: 8.26e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00022041 2.2041e-04 43.055 8.26e-10 *** Output:Residuals 149 0.00076276 5.1190e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.554495e-06 Output:[1] 2.810368e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.795268e-07 -1.727074e-05 Output:regressor -1.727074e-05 1.214367e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00119967 0.00051322 2.3375 0.02074 * Output:regressor 0.22865880 0.03434053 6.6586 4.98e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.1690 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0040341 -0.0016094 -0.0004338 0.0011619 0.0098985 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0019816 0.0004793 4.134 5.93e-05 *** Output:regressor 0.3291306 0.0586432 5.612 9.46e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002334 on 149 degrees of freedom Output:Multiple R-squared: 0.1745, Adjusted R-squared: 0.169 Output:F-statistic: 31.5 on 1 and 149 DF, p-value: 9.462e-08 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00017158 1.7158e-04 31.499 9.462e-08 *** Output:Residuals 149 0.00081160 5.4470e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.554495e-06 Output:[1] 1.055913e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.297657e-07 -2.580921e-05 Output:regressor -2.580921e-05 3.439025e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00198159 0.00069886 2.8355 0.0052120 ** Output:regressor 0.32913060 0.08384480 3.9255 0.0001319 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.1590 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0042865 -0.0014816 -0.0002863 0.0008032 0.0120922 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0093475 0.0009236 10.121 < 2e-16 *** Output:regressor -0.0254313 0.0046939 -5.418 2.37e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002348 on 149 degrees of freedom Output:Multiple R-squared: 0.1646, Adjusted R-squared: 0.159 Output:F-statistic: 29.35 on 1 and 149 DF, p-value: 2.37e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00016181 1.6181e-04 29.354 2.37e-07 *** Output:Residuals 149 0.00082136 5.5120e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.554495e-06 Output:[1] 0.00166796 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.530812e-07 -4.241635e-06 Output:regressor -4.241635e-06 2.203285e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0093475 0.0010043 9.3080 < 2.2e-16 *** Output:regressor -0.0254313 0.0052902 -4.8072 3.704e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.0721 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.003952 -0.001707 -0.000231 0.001068 0.010685 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0033124 0.0003779 8.765 3.89e-15 *** Output:regressor 0.1975481 0.0555302 3.557 0.000502 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002466 on 149 degrees of freedom Output:Multiple R-squared: 0.07829, Adjusted R-squared: 0.0721 Output:F-statistic: 12.66 on 1 and 149 DF, p-value: 0.0005025 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 7.697e-05 7.6971e-05 12.656 0.0005025 *** Output:Residuals 149 9.062e-04 6.0820e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.554495e-06 Output:[1] 1.314893e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.428254e-07 -1.778247e-05 Output:regressor -1.778247e-05 3.083598e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00331243 0.00086152 3.8449 0.0001782 *** Output:regressor 0.19754806 0.11358218 1.7393 0.0840556 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.0255 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0043726 -0.0019637 -0.0001819 0.0011570 0.0095953 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.003529 0.000464 7.607 2.93e-12 *** Output:regressor 0.240627 0.108512 2.218 0.0281 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002527 on 149 degrees of freedom Output:Multiple R-squared: 0.03195, Adjusted R-squared: 0.02545 Output:F-statistic: 4.917 on 1 and 149 DF, p-value: 0.0281 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00003141 3.1410e-05 4.9173 0.0281 * Output:Residuals 149 0.00095176 6.3877e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.554495e-06 Output:[1] 3.616529e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.152541e-07 -4.512759e-05 Output:regressor -4.512759e-05 1.177497e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0035294 0.0007638 4.6209 8.209e-06 *** Output:regressor 0.2406274 0.1886506 1.2755 0.2041 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.0103 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0042296 -0.0018544 -0.0001655 0.0010131 0.0106355 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0038904 0.0004071 9.557 <2e-16 *** Output:regressor 0.4979599 0.3108725 1.602 0.111 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002547 on 149 degrees of freedom Output:Multiple R-squared: 0.01693, Adjusted R-squared: 0.01033 Output:F-statistic: 2.566 on 1 and 149 DF, p-value: 0.1113 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00001664 1.6644e-05 2.5658 0.1113 Output:Residuals 149 0.00096653 6.4868e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.554495e-06 Output:[1] 4.474797e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.657165e-07 -0.0001089198 Output:regressor -1.089198e-04 0.0966417256 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00389043 0.00059724 6.5141 1.058e-09 *** Output:regressor 0.49795987 0.50365999 0.9887 0.3244 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Share of Positive News (for this topic)
Correlations for CH
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| CH | CH | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.685e-17 -3.820e-18 -2.050e-18 -9.900e-19 3.747e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.614e-16 3.117e-17 1.160e+01 <2e-16 *** Output:regressor 1.000e+00 4.937e-17 2.026e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.103e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.104e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.39509 0.39509 4.1035e+32 < 2.2e-16 *** Output:Residuals 149 0.00000 0.00000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.002633905 Output:[1] 0.002633905 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.715093e-34 -1.533609e-33 Output:regressor -1.533609e-33 2.436924e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.6139e-16 2.3072e-17 1.5664e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 3.2954e-17 3.0345e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0472 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.130886 -0.039898 0.001922 0.037487 0.115156 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.59873 0.01129 53.013 < 2e-16 *** Output:regressor 0.04278 0.01473 2.904 0.00425 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0501 on 149 degrees of freedom Output:Multiple R-squared: 0.05357, Adjusted R-squared: 0.04721 Output:F-statistic: 8.433 on 1 and 149 DF, p-value: 0.004246 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.02116 0.0211631 8.4331 0.004246 ** Output:Residuals 149 0.37392 0.0025095 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.002633905 Output:[1] 0.07708439 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001275588 -0.0001551713 Output:regressor -0.0001551713 0.0002170389 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.598735 0.011882 50.3905 < 2.2e-16 *** Output:regressor 0.042782 0.015673 2.7296 0.007105 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.0280 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.170868 -0.037782 0.005996 0.038375 0.130999 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.70218 0.03186 22.039 <2e-16 *** Output:regressor -0.08747 0.03793 -2.306 0.0225 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0506 on 149 degrees of freedom Output:Multiple R-squared: 0.03446, Adjusted R-squared: 0.02798 Output:F-statistic: 5.317 on 1 and 149 DF, p-value: 0.02249 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01361 0.0136136 5.3174 0.02249 * Output:Residuals 149 0.38147 0.0025602 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.002633905 Output:[1] 0.01186173 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001015133 -0.001198457 Output:regressor -0.001198457 0.001438921 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.702176 0.041582 16.8866 < 2e-16 *** Output:regressor -0.087472 0.047227 -1.8521 0.06598 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.0120 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.133944 -0.038452 0.005219 0.038688 0.126041 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.620045 0.006908 89.76 <2e-16 *** Output:regressor 0.110087 0.065518 1.68 0.095 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.05101 on 149 degrees of freedom Output:Multiple R-squared: 0.0186, Adjusted R-squared: 0.01201 Output:F-statistic: 2.823 on 1 and 149 DF, p-value: 0.095 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00735 0.0073469 2.8232 0.095 . Output:Residuals 149 0.38774 0.0026023 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.002633905 Output:[1] 0.004041437 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.771603e-05 -0.0003617327 Output:regressor -3.617327e-04 0.0042926550 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.6200448 0.0091748 67.5812 <2e-16 *** Output:regressor 0.1100873 0.0924917 1.1902 0.2358 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.0035 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.131013 -0.034994 0.000823 0.038517 0.123248 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.60816 0.01762 34.522 <2e-16 *** Output:regressor 0.03302 0.02671 1.236 0.218 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.05123 on 149 degrees of freedom Output:Multiple R-squared: 0.01015, Adjusted R-squared: 0.003509 Output:F-statistic: 1.528 on 1 and 149 DF, p-value: 0.2183 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00401 0.0040112 1.5283 0.2183 Output:Residuals 149 0.39107 0.0026247 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.002633905 Output:[1] 0.02453311 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003103482 -0.0004571129 Output:regressor -0.0004571129 0.0007132295 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.608162 0.016451 36.9676 <2e-16 *** Output:regressor 0.033015 0.026026 1.2686 0.2066 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | -0.0002 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.146355 -0.035909 0.004784 0.039169 0.128320 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.64800 0.01948 33.269 <2e-16 *** Output:regressor -0.02271 0.02312 -0.982 0.328 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.05133 on 149 degrees of freedom Output:Multiple R-squared: 0.006431, Adjusted R-squared: -0.0002376 Output:F-statistic: 0.9644 on 1 and 149 DF, p-value: 0.3277 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00254 0.0025407 0.9644 0.3277 Output:Residuals 149 0.39255 0.0026345 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.002633905 Output:[1] 0.03284863 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003793806 -0.0004399078 Output:regressor -0.0004399078 0.0005346808 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.648004 0.023929 27.0802 <2e-16 *** Output:regressor -0.022708 0.025734 -0.8824 0.379 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | -0.0055 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.140891 -0.036813 0.001806 0.037725 0.125705 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.61852 0.02577 23.999 <2e-16 *** Output:regressor 0.01315 0.03096 0.425 0.672 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.05146 on 149 degrees of freedom Output:Multiple R-squared: 0.001209, Adjusted R-squared: -0.005494 Output:F-statistic: 0.1804 on 1 and 149 DF, p-value: 0.6716 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00048 0.00047777 0.1804 0.6716 Output:Residuals 149 0.39461 0.00264838 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.002633905 Output:[1] 0.01842522 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0006642513 -0.0007872150 Output:regressor -0.0007872150 0.0009582427 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.618520 0.025553 24.2059 <2e-16 *** Output:regressor 0.013148 0.031964 0.4113 0.6814 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for DE
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| DE | DE | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-8.260e-17 -8.870e-18 -5.370e-18 -2.210e-18 9.841e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.782e-16 5.139e-17 1.125e+01 <2e-16 *** Output:regressor 1.000e+00 6.119e-17 1.634e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 8.162e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.671e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.7793 1.7793 2.6711e+32 < 2.2e-16 *** Output:Residuals 149 0.0000 0.0000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01186173 Output:[1] 0.01186173 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.641197e-33 -3.118175e-33 Output:regressor -3.118175e-33 3.743821e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.7823e-16 4.8044e-17 1.2035e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 5.0960e-17 1.9623e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.0426 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.47324 -0.05935 0.02799 0.06917 0.18747 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.72347 0.04044 17.89 < 2e-16 *** Output:regressor 0.13298 0.04801 2.77 0.00632 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1066 on 149 degrees of freedom Output:Multiple R-squared: 0.04897, Adjusted R-squared: 0.04259 Output:F-statistic: 7.673 on 1 and 149 DF, p-value: 0.006319 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.08714 0.087139 7.673 0.006319 ** Output:Residuals 149 1.69212 0.011357 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01186173 Output:[1] 0.03284863 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001635374 -0.001896285 Output:regressor -0.001896285 0.002304818 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.723473 0.053152 13.6114 <2e-16 *** Output:regressor 0.132985 0.055395 2.4007 0.0176 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.0280 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.50181 -0.04468 0.01586 0.06974 0.15696 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.0808 0.1079 10.020 <2e-16 *** Output:regressor -0.3939 0.1708 -2.306 0.0225 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1074 on 149 degrees of freedom Output:Multiple R-squared: 0.03446, Adjusted R-squared: 0.02798 Output:F-statistic: 5.317 on 1 and 149 DF, p-value: 0.02249 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.06131 0.061309 5.3174 0.02249 * Output:Residuals 149 1.71795 0.011530 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01186173 Output:[1] 0.002633905 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01163425 -0.01836564 Output:regressor -0.01836564 0.02918323 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.08079 0.15390 7.0227 7.199e-11 *** Output:regressor -0.39393 0.24584 -1.6024 0.1112 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.0138 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.49579 -0.05923 0.01619 0.07360 0.17951 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.76924 0.03719 20.683 <2e-16 *** Output:regressor 0.09931 0.05638 1.761 0.0802 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1082 on 149 degrees of freedom Output:Multiple R-squared: 0.0204, Adjusted R-squared: 0.01382 Output:F-statistic: 3.103 on 1 and 149 DF, p-value: 0.08021 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0363 0.036296 3.1028 0.08021 . Output:Residuals 149 1.7430 0.011698 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01186173 Output:[1] 0.02453311 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001383178 -0.002037288 Output:regressor -0.002037288 0.003178764 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.769235 0.051388 14.9692 <2e-16 *** Output:regressor 0.099313 0.064594 1.5375 0.1263 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.0002 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.52591 -0.05050 0.00653 0.07029 0.15787 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.85615 0.02455 34.871 <2e-16 *** Output:regressor -0.03254 0.03203 -1.016 0.311 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1089 on 149 degrees of freedom Output:Multiple R-squared: 0.006881, Adjusted R-squared: 0.0002158 Output:F-statistic: 1.032 on 1 and 149 DF, p-value: 0.3112 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01224 0.012243 1.0324 0.3112 Output:Residuals 149 1.76702 0.011859 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01186173 Output:[1] 0.07708439 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0006027947 -0.0007332812 Output:regressor -0.0007332812 0.0010256443 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.856150 0.034261 24.989 <2e-16 *** Output:regressor -0.032540 0.035525 -0.916 0.3612 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | -0.0008 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.52551 -0.05157 0.02198 0.07136 0.16420 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.88349 0.05457 16.19 <2e-16 *** Output:regressor -0.06160 0.06554 -0.94 0.349 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.109 on 149 degrees of freedom Output:Multiple R-squared: 0.005895, Adjusted R-squared: -0.0007768 Output:F-statistic: 0.8836 on 1 and 149 DF, p-value: 0.3487 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01049 0.010489 0.8836 0.3487 Output:Residuals 149 1.76877 0.011871 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01186173 Output:[1] 0.01842522 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002977408 -0.003528575 Output:regressor -0.003528575 0.004295181 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.883495 0.045717 19.3252 <2e-16 *** Output:regressor -0.061604 0.062326 -0.9884 0.3246 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | -0.0066 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.52347 -0.05538 0.02398 0.07059 0.16606 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.83459 0.01480 56.406 <2e-16 *** Output:regressor -0.02028 0.14034 -0.145 0.885 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1093 on 149 degrees of freedom Output:Multiple R-squared: 0.0001401, Adjusted R-squared: -0.00657 Output:F-statistic: 0.02088 on 1 and 149 DF, p-value: 0.8853 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00025 0.0002493 0.0209 0.8853 Output:Residuals 149 1.77901 0.0119397 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01186173 Output:[1] 0.004041437 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002189292 -0.00165969 Output:regressor -0.0016596904 0.01969542 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.834595 0.024716 33.768 <2e-16 *** Output:regressor -0.020280 0.151377 -0.134 0.8936 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for ES
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| ES | ES | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.495e-17 -3.359e-18 1.620e-19 3.076e-18 4.826e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 4.363e-18 0.000e+00 1 Output:regressor 1.000e+00 5.240e-18 1.908e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 8.712e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.641e+34 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.7638 2.7638 3.6414e+34 < 2.2e-16 *** Output:Residuals 149 0.0000 0.0000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01842522 Output:[1] 0.01842522 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.903660e-35 -2.256058e-35 Output:regressor -2.256058e-35 2.746202e-35 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0000e+00 5.8570e-18 0.0000e+00 1 Output:regressor 1.0000e+00 6.7673e-18 1.4777e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.0348 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.38120 -0.09040 0.01888 0.10522 0.25288 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.69644 0.05061 13.76 <2e-16 *** Output:regressor 0.15203 0.06008 2.53 0.0124 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1334 on 149 degrees of freedom Output:Multiple R-squared: 0.0412, Adjusted R-squared: 0.03477 Output:F-statistic: 6.403 on 1 and 149 DF, p-value: 0.01243 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.11388 0.113880 6.4033 0.01243 * Output:Residuals 149 2.64990 0.017785 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01842522 Output:[1] 0.03284863 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002561036 -0.002969629 Output:regressor -0.002969629 0.003609401 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.696440 0.051979 13.3985 < 2e-16 *** Output:regressor 0.152027 0.060486 2.5134 0.01302 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.0163 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.37882 -0.08846 0.01921 0.10581 0.20155 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.79430 0.01823 43.571 <2e-16 *** Output:regressor 0.32303 0.17291 1.868 0.0637 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1346 on 149 degrees of freedom Output:Multiple R-squared: 0.02289, Adjusted R-squared: 0.01633 Output:F-statistic: 3.49 on 1 and 149 DF, p-value: 0.0637 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.06326 0.063258 3.4902 0.0637 . Output:Residuals 149 2.70053 0.018124 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01842522 Output:[1] 0.004041437 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003323329 -0.002519398 Output:regressor -0.0025193979 0.029897507 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.794298 0.015922 49.8864 < 2e-16 *** Output:regressor 0.323030 0.165361 1.9535 0.05263 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | DE | -0.0008 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.38858 -0.08365 0.01609 0.11184 0.19113 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.90122 0.08551 10.54 <2e-16 *** Output:regressor -0.09569 0.10180 -0.94 0.349 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1358 on 149 degrees of freedom Output:Multiple R-squared: 0.005895, Adjusted R-squared: -0.0007768 Output:F-statistic: 0.8836 on 1 and 149 DF, p-value: 0.3487 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01629 0.016293 0.8836 0.3487 Output:Residuals 149 2.74749 0.018440 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01842522 Output:[1] 0.01186173 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007311329 -0.008631692 Output:regressor -0.008631692 0.010363597 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.901220 0.069275 13.0093 <2e-16 *** Output:regressor -0.095692 0.079137 -1.2092 0.2285 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | -0.0036 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.38815 -0.08416 0.02357 0.10926 0.19248 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.85221 0.04676 18.225 <2e-16 *** Output:regressor -0.04789 0.07089 -0.676 0.5 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.136 on 149 degrees of freedom Output:Multiple R-squared: 0.003053, Adjusted R-squared: -0.003637 Output:F-statistic: 0.4564 on 1 and 149 DF, p-value: 0.5004 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00844 0.0084391 0.4564 0.5004 Output:Residuals 149 2.75534 0.0184922 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01842522 Output:[1] 0.02453311 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002186581 -0.003220623 Output:regressor -0.003220623 0.005025111 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.852211 0.042590 20.0098 <2e-16 *** Output:regressor -0.047888 0.073141 -0.6547 0.5136 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | -0.0055 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.39016 -0.08462 0.01304 0.11027 0.18536 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.76364 0.13673 5.585 1.08e-07 *** Output:regressor 0.09198 0.21655 0.425 0.672 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1361 on 149 degrees of freedom Output:Multiple R-squared: 0.001209, Adjusted R-squared: -0.005494 Output:F-statistic: 0.1804 on 1 and 149 DF, p-value: 0.6716 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00334 0.0033422 0.1804 0.6716 Output:Residuals 149 2.76044 0.0185264 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01842522 Output:[1] 0.002633905 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01869416 -0.02951030 Output:regressor -0.02951030 0.04689223 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.763638 0.139516 5.4735 1.827e-07 *** Output:regressor 0.091975 0.227049 0.4051 0.686 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | -0.0066 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.38761 -0.08529 0.01333 0.11290 0.18000 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.825324 0.030704 26.880 <2e-16 *** Output:regressor -0.005321 0.040050 -0.133 0.894 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1362 on 149 degrees of freedom Output:Multiple R-squared: 0.0001185, Adjusted R-squared: -0.006592 Output:F-statistic: 0.01765 on 1 and 149 DF, p-value: 0.8945 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00033 0.0003274 0.0177 0.8945 Output:Residuals 149 2.76346 0.0185467 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01842522 Output:[1] 0.07708439 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0009427167 -0.001146786 Output:regressor -0.0011467859 0.001604016 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.8253237 0.0349824 23.5926 <2e-16 *** Output:regressor -0.0053211 0.0450401 -0.1181 0.9061 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for FR
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| FR | FR | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.754e-16 -2.081e-18 9.040e-19 4.973e-18 4.640e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.446e-16 8.630e-18 1.675e+01 <2e-16 *** Output:regressor 1.000e+00 1.308e-17 7.643e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.51e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.842e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.68 3.68 5.8422e+33 < 2.2e-16 *** Output:Residuals 149 0.00 0.00 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: ErrorOutput:[1] "-------------------------------------------------------------------------------------------" :In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02453311 Output:[1] 0.02453311 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 7.448027e-35 -1.097023e-34 Output:regressor -1.097023e-34 1.711675e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.4456e-16 6.3986e-18 2.2592e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.0223e-17 9.7818e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.0478 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.48388 -0.09881 0.00420 0.10564 0.35842 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.5926 0.0207 28.632 < 2e-16 *** Output:regressor 0.5735 0.1963 2.922 0.00402 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1528 on 149 degrees of freedom Output:Multiple R-squared: 0.05419, Adjusted R-squared: 0.04784 Output:F-statistic: 8.536 on 1 and 149 DF, p-value: 0.004024 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.1994 0.19940 8.5361 0.004024 ** Output:Residuals 149 3.4806 0.02336 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02453311 Output:[1] 0.004041437 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004283266 -0.003247121 Output:regressor -0.0032471209 0.038533343 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.592576 0.026356 22.4837 <2e-16 *** Output:regressor 0.573521 0.235374 2.4366 0.016 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.0138 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.50053 -0.10255 0.01432 0.10995 0.35333 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.46983 0.09794 4.797 3.87e-06 *** Output:regressor 0.20541 0.11661 1.761 0.0802 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1555 on 149 degrees of freedom Output:Multiple R-squared: 0.0204, Adjusted R-squared: 0.01382 Output:F-statistic: 3.103 on 1 and 149 DF, p-value: 0.08021 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0751 0.075069 3.1028 0.08021 . Output:Residuals 149 3.6049 0.024194 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02453311 Output:[1] 0.01186173 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009592968 -0.01132538 Output:regressor -0.011325376 0.01359775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.469827 0.088846 5.2881 4.325e-07 *** Output:regressor 0.205405 0.104970 1.9568 0.05224 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.0035 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.50930 -0.10334 -0.00017 0.10936 0.34538 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.4474 0.1571 2.848 0.00502 ** Output:regressor 0.3075 0.2488 1.236 0.21832 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1564 on 149 degrees of freedom Output:Multiple R-squared: 0.01015, Adjusted R-squared: 0.003509 Output:F-statistic: 1.528 on 1 and 149 DF, p-value: 0.2183 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0374 0.037362 1.5283 0.2183 Output:Residuals 149 3.6426 0.024447 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02453311 Output:[1] 0.002633905 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02466832 -0.03894101 Output:regressor -0.03894101 0.06187776 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.44738 0.15355 2.9135 0.004125 ** Output:regressor 0.30752 0.24327 1.2641 0.208175 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | -0.0036 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.51817 -0.09692 0.00927 0.10580 0.36622 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.69329 0.07859 8.822 2.78e-15 *** Output:regressor -0.06376 0.09439 -0.676 0.5 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1569 on 149 degrees of freedom Output:Multiple R-squared: 0.003053, Adjusted R-squared: -0.003637 Output:F-statistic: 0.4564 on 1 and 149 DF, p-value: 0.5004 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0112 0.011237 0.4564 0.5004 Output:Residuals 149 3.6687 0.024622 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02453311 Output:[1] 0.01842522 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006175647 -0.007318859 Output:regressor -0.007318859 0.008908930 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.693288 0.081069 8.5518 1.348e-14 *** Output:regressor -0.063762 0.097357 -0.6549 0.5135 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | -0.0038 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.53241 -0.10504 0.01115 0.10475 0.35092 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.60297 0.05955 10.125 <2e-16 *** Output:regressor 0.04611 0.07070 0.652 0.515 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1569 on 149 degrees of freedom Output:Multiple R-squared: 0.002847, Adjusted R-squared: -0.003845 Output:F-statistic: 0.4254 on 1 and 149 DF, p-value: 0.5152 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0105 0.010478 0.4254 0.5152 Output:Residuals 149 3.6695 0.024627 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02453311 Output:[1] 0.03284863 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003546429 -0.004112234 Output:regressor -0.004112234 0.004998167 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.602966 0.069278 8.7035 5.57e-15 *** Output:regressor 0.046114 0.078433 0.5879 0.5575 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | -0.0060 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.52348 -0.09887 0.01253 0.11172 0.36204 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.65136 0.03542 18.390 <2e-16 *** Output:regressor -0.01462 0.04620 -0.316 0.752 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1571 on 149 degrees of freedom Output:Multiple R-squared: 0.0006717, Adjusted R-squared: -0.006035 Output:F-statistic: 0.1001 on 1 and 149 DF, p-value: 0.7521 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0025 0.0024718 0.1001 0.7521 Output:Residuals 149 3.6775 0.0246812 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02453311 Output:[1] 0.07708439 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001254529 -0.001526096 Output:regressor -0.001526096 0.002134559 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.651359 0.029551 22.0419 <2e-16 *** Output:regressor -0.014621 0.038588 -0.3789 0.7053 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for GB
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| GB | GB | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.775e-18 -8.745e-19 -1.911e-19 3.115e-19 1.242e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 3.442e-19 0.000e+00 1 Output:regressor 1.000e+00 3.264e-18 3.064e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.542e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 9.385e+34 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.60622 0.60622 9.385e+34 < 2.2e-16 *** Output:Residuals 149 0.00000 0.00000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004041437 Output:[1] 0.004041437 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.184411e-37 -8.978953e-37 Output:regressor -8.978953e-37 1.065526e-35 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0000e+00 3.0744e-19 0.0000e+00 1 Output:regressor 1.0000e+00 3.8114e-18 2.6237e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.0478 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.095597 -0.037408 -0.009411 0.030862 0.296193 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.02372 0.02133 1.112 0.26801 Output:regressor 0.09448 0.03234 2.922 0.00402 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06203 on 149 degrees of freedom Output:Multiple R-squared: 0.05419, Adjusted R-squared: 0.04784 Output:F-statistic: 8.536 on 1 and 149 DF, p-value: 0.004024 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.03285 0.032848 8.5361 0.004024 ** Output:Residuals 149 0.57337 0.003848 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004041437 Output:[1] 0.02453311 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004550120 -0.0006701887 Output:regressor -0.0006701887 0.0010456899 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.023716 0.018039 1.3147 0.190623 Output:regressor 0.094478 0.027799 3.3986 0.000869 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.0191 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.093540 -0.041662 -0.008587 0.029696 0.275242 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.05804 0.01419 4.089 7.06e-05 *** Output:regressor 0.03668 0.01852 1.981 0.0494 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06296 on 149 degrees of freedom Output:Multiple R-squared: 0.02566, Adjusted R-squared: 0.01912 Output:F-statistic: 3.924 on 1 and 149 DF, p-value: 0.04943 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01556 0.0155566 3.9243 0.04943 * Output:Residuals 149 0.59066 0.0039642 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004041437 Output:[1] 0.07708439 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002014955 -0.0002451131 Output:regressor -0.0002451131 0.0003428411 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.058044 0.014632 3.9668 0.0001128 *** Output:regressor 0.036680 0.021236 1.7272 0.0862022 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.0163 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.093486 -0.043230 -0.006157 0.029542 0.278253 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.02606 0.03158 0.825 0.4105 Output:regressor 0.07085 0.03793 1.868 0.0637 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06305 on 149 degrees of freedom Output:Multiple R-squared: 0.02289, Adjusted R-squared: 0.01633 Output:F-statistic: 3.49 on 1 and 149 DF, p-value: 0.0637 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01388 0.0138751 3.4902 0.0637 . Output:Residuals 149 0.59234 0.0039754 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004041437 Output:[1] 0.01842522 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0009970984 -0.001181677 Output:regressor -0.0011816774 0.001438405 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.026060 0.029655 0.8787 0.38095 Output:regressor 0.070854 0.036829 1.9239 0.05628 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.0120 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.08759 -0.04201 -0.01165 0.03662 0.29178 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.02204 0.06347 -0.347 0.729 Output:regressor 0.16892 0.10053 1.680 0.095 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06319 on 149 degrees of freedom Output:Multiple R-squared: 0.0186, Adjusted R-squared: 0.01201 Output:F-statistic: 2.823 on 1 and 149 DF, p-value: 0.095 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01127 0.0112729 2.8232 0.095 . Output:Residuals 149 0.59494 0.0039929 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004041437 Output:[1] 0.002633905 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004029049 -0.006360191 Output:regressor -0.006360191 0.010106423 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.022035 0.084802 -0.2598 0.7953 Output:regressor 0.168917 0.132914 1.2709 0.2058 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.0009 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.089691 -0.044970 -0.008709 0.035817 0.289114 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.05910 0.02411 2.451 0.0154 * Output:regressor 0.03059 0.02863 1.069 0.2869 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06354 on 149 degrees of freedom Output:Multiple R-squared: 0.007608, Adjusted R-squared: 0.0009473 Output:F-statistic: 1.142 on 1 and 149 DF, p-value: 0.2869 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00461 0.0046119 1.1422 0.2869 Output:Residuals 149 0.60160 0.0040376 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004041437 Output:[1] 0.03284863 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005814282 -0.0006741905 Output:regressor -0.0006741905 0.0008194371 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.059097 0.019094 3.0951 0.00235 ** Output:regressor 0.030594 0.021799 1.4034 0.16257 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | -0.0066 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.08441 -0.04679 -0.01011 0.03711 0.28413 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.09002 0.04016 2.242 0.0265 * Output:regressor -0.00691 0.04782 -0.145 0.8853 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06378 on 149 degrees of freedom Output:Multiple R-squared: 0.0001401, Adjusted R-squared: -0.00657 Output:F-statistic: 0.02088 on 1 and 149 DF, p-value: 0.8853 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00008 0.000085 0.0209 0.8853 Output:Residuals 149 0.60613 0.004068 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004041437 Output:[1] 0.01186173 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001612970 -0.001904258 Output:regressor -0.001904258 0.002286338 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0900229 0.0399951 2.2508 0.02586 * Output:regressor -0.0069098 0.0474545 -0.1456 0.88443 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for IT
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| IT | IT | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.272e-15 -7.080e-18 1.164e-17 2.608e-17 2.620e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.891e-16 2.467e-17 -1.172e+01 <2e-16 *** Output:regressor 1.000e+00 3.218e-17 3.108e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.094e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 9.657e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 11.563 11.563 9.6571e+32 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.07708439 Output:[1] 0.07708439 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.085936e-34 -7.403354e-34 Output:regressor -7.403354e-34 1.035511e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.8912e-16 5.8349e-17 -4.9549e+00 1.942e-06 *** Output:regressor 1.0000e+00 7.0983e-17 1.4088e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.0472 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.78678 -0.15626 0.07874 0.21276 0.34737 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.07301 0.27223 -0.268 0.78893 Output:regressor 1.25207 0.43116 2.904 0.00425 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.271 on 149 degrees of freedom Output:Multiple R-squared: 0.05357, Adjusted R-squared: 0.04721 Output:F-statistic: 8.433 on 1 and 149 DF, p-value: 0.004246 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.6194 0.61936 8.4331 0.004246 ** Output:Residuals 149 10.9433 0.07344 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.07708439 Output:[1] 0.002633905 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.07410978 -0.1169885 Output:regressor -0.11698850 0.1858962 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.073006 0.412261 -0.1771 0.8597 Output:regressor 1.252067 0.615503 2.0342 0.0437 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.0191 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.82901 -0.14594 0.07307 0.21209 0.33272 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.65599 0.03723 17.618 <2e-16 *** Output:regressor 0.69961 0.35316 1.981 0.0494 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.275 on 149 degrees of freedom Output:Multiple R-squared: 0.02566, Adjusted R-squared: 0.01912 Output:F-statistic: 3.924 on 1 and 149 DF, p-value: 0.04943 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2967 0.29672 3.9243 0.04943 * Output:Residuals 149 11.2659 0.07561 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.07708439 Output:[1] 0.004041437 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001386412 -0.01051032 Output:regressor -0.010510319 0.12472518 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.655992 0.063206 10.3787 <2e-16 *** Output:regressor 0.699614 0.472302 1.4813 0.1406 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.0002 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.73164 -0.13804 0.06571 0.22069 0.31648 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.8911 0.1748 5.097 1.03e-06 *** Output:regressor -0.2115 0.2081 -1.016 0.311 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2776 on 149 degrees of freedom Output:Multiple R-squared: 0.006881, Adjusted R-squared: 0.0002158 Output:F-statistic: 1.032 on 1 and 149 DF, p-value: 0.3112 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0796 0.079563 1.0324 0.3112 Output:Residuals 149 11.4831 0.077068 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.07708439 Output:[1] 0.01186173 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03055759 -0.03607602 Output:regressor -0.03607602 0.04331449 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.89107 0.23291 3.8258 0.0001912 *** Output:regressor -0.21146 0.31130 -0.6793 0.4980037 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | -0.0060 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.72068 -0.13317 0.06448 0.21486 0.29849 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.74439 0.09576 7.774 1.16e-12 *** Output:regressor -0.04594 0.14517 -0.316 0.752 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2785 on 149 degrees of freedom Output:Multiple R-squared: 0.0006717, Adjusted R-squared: -0.006035 Output:F-statistic: 0.1001 on 1 and 149 DF, p-value: 0.7521 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0078 0.007766 0.1001 0.7521 Output:Residuals 149 11.5549 0.077550 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.07708439 Output:[1] 0.02453311 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009169711 -0.01350610 Output:regressor -0.013506098 0.02107345 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.744390 0.065263 11.4060 <2e-16 *** Output:regressor -0.045940 0.127992 -0.3589 0.7202 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | -0.0062 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.72105 -0.13818 0.06758 0.21666 0.30450 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.68662 0.10568 6.497 1.16e-09 *** Output:regressor 0.03443 0.12546 0.274 0.784 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2785 on 149 degrees of freedom Output:Multiple R-squared: 0.0005052, Adjusted R-squared: -0.006203 Output:F-statistic: 0.07532 on 1 and 149 DF, p-value: 0.7841 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0058 0.005842 0.0753 0.7841 Output:Residuals 149 11.5568 0.077563 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.07708439 Output:[1] 0.03284863 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01116925 -0.01295121 Output:regressor -0.01295121 0.01574140 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.686617 0.094674 7.2524 2.074e-11 *** Output:regressor 0.034433 0.150136 0.2293 0.8189 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | -0.0066 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.71772 -0.13518 0.06274 0.21625 0.28903 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.73324 0.13950 5.256 5.01e-07 *** Output:regressor -0.02226 0.16756 -0.133 0.894 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2786 on 149 degrees of freedom Output:Multiple R-squared: 0.0001185, Adjusted R-squared: -0.006592 Output:F-statistic: 0.01765 on 1 and 149 DF, p-value: 0.8945 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0014 0.001370 0.0177 0.8945 Output:Residuals 149 11.5613 0.077593 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.07708439 Output:[1] 0.01842522 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01946135 -0.02306396 Output:regressor -0.02306396 0.02807476 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.733235 0.151375 4.8438 3.16e-06 *** Output:regressor -0.022261 0.196532 -0.1133 0.91 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for RO
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| RO | RO | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-4.374e-16 -3.460e-18 2.580e-18 4.870e-18 4.016e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.446e-16 1.434e-17 1.008e+01 <2e-16 *** Output:regressor 1.000e+00 1.703e-17 5.872e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.78e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.448e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 4.9273 4.9273 3.4481e+33 < 2.2e-16 *** Output:Residuals 149 0.0000 0.0000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03284863 Output:[1] 0.03284863 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.057780e-34 -2.386082e-34 Output:regressor -2.386082e-34 2.900136e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.4456e-16 8.7662e-18 1.6490e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.2762e-17 7.8359e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.0426 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.61650 -0.07666 0.04143 0.13978 0.29667 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.5160 0.1117 4.621 8.21e-06 *** Output:regressor 0.3683 0.1329 2.770 0.00632 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1773 on 149 degrees of freedom Output:Multiple R-squared: 0.04897, Adjusted R-squared: 0.04259 Output:F-statistic: 7.673 on 1 and 149 DF, p-value: 0.006319 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2413 0.24131 7.673 0.006319 ** Output:Residuals 149 4.6860 0.03145 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03284863 Output:[1] 0.01186173 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01246983 -0.01472178 Output:regressor -0.01472178 0.01767563 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.51602 0.10977 4.7009 5.847e-06 *** Output:regressor 0.36827 0.12063 3.0530 0.002684 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.0348 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.56934 -0.06815 0.03449 0.13296 0.24234 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.60009 0.08918 6.729 3.44e-10 *** Output:regressor 0.27103 0.10711 2.530 0.0124 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1781 on 149 degrees of freedom Output:Multiple R-squared: 0.0412, Adjusted R-squared: 0.03477 Output:F-statistic: 6.403 on 1 and 149 DF, p-value: 0.01243 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2030 0.203027 6.4033 0.01243 * Output:Residuals 149 4.7243 0.031706 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03284863 Output:[1] 0.01842522 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007952454 -0.009424582 Output:regressor -0.009424582 0.011472136 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.600088 0.097697 6.1423 7.054e-09 *** Output:regressor 0.271035 0.113136 2.3957 0.01783 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.0009 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.62910 -0.08015 0.04083 0.14003 0.19821 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.80179 0.02453 32.685 <2e-16 *** Output:regressor 0.24867 0.23267 1.069 0.287 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1812 on 149 degrees of freedom Output:Multiple R-squared: 0.007608, Adjusted R-squared: 0.0009473 Output:F-statistic: 1.142 on 1 and 149 DF, p-value: 0.2869 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0375 0.037485 1.1422 0.2869 Output:Residuals 149 4.8898 0.032818 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03284863 Output:[1] 0.004041437 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0006017512 -0.004561844 Output:regressor -0.0045618440 0.054135064 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.801794 0.019668 40.7666 <2e-16 *** Output:regressor 0.248666 0.182375 1.3635 0.1748 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | -0.0002 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.61040 -0.08530 0.04802 0.14361 0.21245 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.0010 0.1821 5.497 1.63e-07 *** Output:regressor -0.2832 0.2884 -0.982 0.328 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1813 on 149 degrees of freedom Output:Multiple R-squared: 0.006431, Adjusted R-squared: -0.0002376 Output:F-statistic: 0.9644 on 1 and 149 DF, p-value: 0.3277 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0317 0.031686 0.9644 0.3277 Output:Residuals 149 4.8956 0.032856 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03284863 Output:[1] 0.002633905 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03315387 -0.05233616 Output:regressor -0.05233616 0.08316281 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.00097 0.22047 4.5402 1.151e-05 *** Output:regressor -0.28320 0.36393 -0.7782 0.4377 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | -0.0038 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.62648 -0.07844 0.05061 0.13872 0.20962 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.78318 0.06244 12.542 <2e-16 *** Output:regressor 0.06174 0.09466 0.652 0.515 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1816 on 149 degrees of freedom Output:Multiple R-squared: 0.002847, Adjusted R-squared: -0.003845 Output:F-statistic: 0.4254 on 1 and 149 DF, p-value: 0.5152 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0140 0.014029 0.4254 0.5152 Output:Residuals 149 4.9133 0.032975 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03284863 Output:[1] 0.02453311 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003899061 -0.005742940 Output:regressor -0.005742940 0.008960661 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.783176 0.069243 11.3105 <2e-16 *** Output:regressor 0.061744 0.110077 0.5609 0.5757 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | -0.0062 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.63054 -0.07903 0.04830 0.14199 0.18774 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.81226 0.04099 19.817 <2e-16 *** Output:regressor 0.01467 0.05347 0.274 0.784 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1818 on 149 degrees of freedom Output:Multiple R-squared: 0.0005052, Adjusted R-squared: -0.006203 Output:F-statistic: 0.07532 on 1 and 149 DF, p-value: 0.7841 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0025 0.002489 0.0753 0.7841 Output:Residuals 149 4.9248 0.033052 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03284863 Output:[1] 0.07708439 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001680033 -0.002043708 Output:regressor -0.002043708 0.002858546 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.812258 0.053850 15.0837 <2e-16 *** Output:regressor 0.014673 0.064324 0.2281 0.8199 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Index (in comparison to mean)
Correlations for CH
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| CH | CH | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.925e-15 -1.800e-17 3.650e-17 7.470e-17 6.829e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.012e-15 9.405e-17 -1.076e+01 <2e-16 *** Output:regressor 1.000e+00 6.549e-17 1.527e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 5.782e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.332e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 77.954 77.954 2.3316e+32 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5196959 Output:[1] 0.5196959 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.845284e-33 5.332966e-33 Output:regressor 5.332966e-33 4.288970e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.0119e-15 1.7417e-16 -5.8099e+00 3.653e-08 *** Output:regressor 1.0000e+00 1.0454e-16 9.5660e+15 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.7293 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.74329 -0.27395 0.02407 0.28202 0.79434 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.17610 0.06118 -2.878 0.00459 ** Output:regressor -0.51536 0.02560 -20.128 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3751 on 149 degrees of freedom Output:Multiple R-squared: 0.7311, Adjusted R-squared: 0.7293 Output:F-statistic: 405.1 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 56.993 56.993 405.13 < 2.2e-16 *** Output:Residuals 149 20.961 0.141 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5196959 Output:[1] 1.430574 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003743548 -0.0013577341 Output:regressor -0.001357734 0.0006555878 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.17610 0.64725 -0.2721 0.7859 Output:regressor -0.51536 0.23850 -2.1609 0.0323 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.5545 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.8270 -0.3151 -0.1023 0.1851 1.1609 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.38720 0.07375 -5.25 5.14e-07 *** Output:regressor 1.18411 0.08642 13.70 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4812 on 149 degrees of freedom Output:Multiple R-squared: 0.5575, Adjusted R-squared: 0.5545 Output:F-statistic: 187.7 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 43.459 43.459 187.72 < 2.2e-16 *** Output:Residuals 149 34.495 0.232 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5196959 Output:[1] 0.2066363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005438518 0.005400905 Output:regressor 0.005400905 0.007469233 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.38720 0.78911 -0.4907 0.62438 Output:regressor 1.18411 0.45885 2.5806 0.01083 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.3076 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.9134 -0.5462 -0.1349 0.5466 1.1752 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.98960 0.05775 -17.135 < 2e-16 *** Output:regressor 0.58227 0.07080 8.224 8.94e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5999 on 149 degrees of freedom Output:Multiple R-squared: 0.3122, Adjusted R-squared: 0.3076 Output:F-statistic: 67.64 on 1 and 149 DF, p-value: 8.938e-14 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 24.339 24.3389 67.639 8.938e-14 *** Output:Residuals 149 53.615 0.3598 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5196959 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003335425 0.002184939 Output:regressor 0.002184939 0.005012500 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.98960 0.61144 -1.6185 0.1077 Output:regressor 0.58227 0.40101 1.4520 0.1486 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.2698 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7571 -0.5019 -0.1511 0.3180 1.3316 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.23108 0.05016 -24.544 < 2e-16 *** Output:regressor 0.41674 0.05548 7.512 4.98e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.616 on 149 degrees of freedom Output:Multiple R-squared: 0.2747, Adjusted R-squared: 0.2698 Output:F-statistic: 56.43 on 1 and 149 DF, p-value: 4.978e-12 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 21.413 21.4130 56.428 4.978e-12 *** Output:Residuals 149 56.541 0.3795 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5196959 Output:[1] 0.82198 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.515758e-03 9.112281e-05 Output:regressor 9.112281e-05 3.077707e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.23108 1.45166 -0.8480 0.3978 Output:regressor 0.41674 0.54397 0.7661 0.4448 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.2195 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7956 -0.5465 -0.2652 0.4250 1.4424 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.89853 0.07376 -12.183 < 2e-16 *** Output:regressor 0.38711 0.05890 6.572 7.82e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6369 on 149 degrees of freedom Output:Multiple R-squared: 0.2247, Adjusted R-squared: 0.2195 Output:F-statistic: 43.19 on 1 and 149 DF, p-value: 7.819e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 17.520 17.5195 43.194 7.819e-10 *** Output:Residuals 149 60.435 0.4056 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5196959 Output:[1] 0.7794108 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005439852 0.003090887 Output:regressor 0.003090887 0.003469314 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.89853 0.86878 -1.0342 0.3027 Output:regressor 0.38711 0.28552 1.3558 0.1772 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.0030 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.8298 -0.6699 -0.1996 0.5987 1.4957 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.18460 0.07624 -15.537 <2e-16 *** Output:regressor -0.08329 0.06912 -1.205 0.23 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7198 on 149 degrees of freedom Output:Multiple R-squared: 0.009652, Adjusted R-squared: 0.003006 Output:F-statistic: 1.452 on 1 and 149 DF, p-value: 0.2301 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.752 0.75245 1.4522 0.2301 Output:Residuals 149 77.202 0.51813 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5196959 Output:[1] 0.7230366 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005813056 -0.003373178 Output:regressor -0.003373178 0.004777387 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.184603 1.222543 -0.9690 0.3341 Output:regressor -0.083294 1.139690 -0.0731 0.9418 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for DE
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| DE | DE | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-8.134e-15 -1.640e-17 4.960e-17 1.011e-16 7.179e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -8.673e-16 1.112e-16 -7.801e+00 9.91e-13 *** Output:regressor 1.000e+00 4.653e-17 2.149e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 6.816e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.619e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 214.59 214.59 4.6191e+32 < 2.2e-16 *** Output:Residuals 149 0.00 0.00 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.430574 Output:[1] 1.430574 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.236231e-32 -4.483644e-33 Output:regressor -4.483644e-33 2.164947e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -8.6735e-16 2.1068e-16 -4.1168e+00 6.34e-05 *** Output:regressor 1.0000e+00 7.7108e-17 1.2969e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.7293 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.10927 -0.49238 -0.07915 0.52596 1.14874 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.30706 0.10122 3.034 0.00285 ** Output:regressor -1.41864 0.07048 -20.128 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6223 on 149 degrees of freedom Output:Multiple R-squared: 0.7311, Adjusted R-squared: 0.7293 Output:F-statistic: 405.1 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 156.886 156.886 405.13 < 2.2e-16 *** Output:Residuals 149 57.701 0.387 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.430574 Output:[1] 0.5196959 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.010244998 0.006176877 Output:regressor 0.006176877 0.004967675 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.30706 0.43685 0.7029 0.48321 Output:regressor -1.41864 0.75580 -1.8770 0.06247 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.5185 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.1048 -0.4004 0.2338 0.5825 1.2870 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.19921 0.09612 12.48 <2e-16 *** Output:regressor -0.97854 0.07676 -12.75 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.83 on 149 degrees of freedom Output:Multiple R-squared: 0.5217, Adjusted R-squared: 0.5185 Output:F-statistic: 162.5 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 111.95 111.948 162.52 < 2.2e-16 *** Output:Residuals 149 102.64 0.689 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.430574 Output:[1] 0.7794108 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009238646 0.005249336 Output:regressor 0.005249336 0.005892028 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.19921 0.93055 1.2887 0.19949 Output:regressor -0.97854 0.41695 -2.3469 0.02025 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.4876 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.76718 -0.62025 -0.09972 0.71394 1.52868 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.7378 0.1312 5.623 9.02e-08 *** Output:regressor -1.8438 0.1538 -11.990 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8561 on 149 degrees of freedom Output:Multiple R-squared: 0.4911, Adjusted R-squared: 0.4876 Output:F-statistic: 143.8 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 105.37 105.374 143.76 < 2.2e-16 *** Output:Residuals 149 109.21 0.733 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.430574 Output:[1] 0.2066363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01721830 0.01709922 Output:regressor 0.01709922 0.02364753 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.73778 0.90485 0.8154 0.416171 Output:regressor -1.84382 0.63811 -2.8895 0.004435 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.1807 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.11877 -0.75718 0.00748 0.85834 1.97861 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.05417 0.08815 23.303 < 2e-16 *** Output:regressor -0.56919 0.09750 -5.838 3.19e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.083 on 149 degrees of freedom Output:Multiple R-squared: 0.1862, Adjusted R-squared: 0.1807 Output:F-statistic: 34.08 on 1 and 149 DF, p-value: 3.187e-08 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 39.945 39.945 34.081 3.187e-08 *** Output:Residuals 149 174.641 1.172 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.430574 Output:[1] 0.82198 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0077704864 0.0002814534 Output:regressor 0.0002814534 0.0095061934 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.05417 1.08650 1.8906 0.06061 . Output:regressor -0.56919 0.49019 -1.1612 0.24743 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.1579 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.84521 -0.87398 -0.07088 0.70913 2.24338 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.7663 0.1057 16.715 < 2e-16 *** Output:regressor -0.6991 0.1295 -5.397 2.62e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.098 on 149 degrees of freedom Output:Multiple R-squared: 0.1635, Adjusted R-squared: 0.1579 Output:F-statistic: 29.12 on 1 and 149 DF, p-value: 2.616e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 35.086 35.086 29.124 2.616e-07 *** Output:Residuals 149 179.500 1.205 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.430574 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.011166734 0.007314998 Output:regressor 0.007314998 0.016781443 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.76628 1.18062 1.4961 0.1368 Output:regressor -0.69910 0.88632 -0.7888 0.4315 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.1119 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.91344 -1.16242 0.06194 1.08445 1.83736 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.7302 0.1194 14.49 < 2e-16 *** Output:regressor 0.4827 0.1082 4.46 1.6e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.127 on 149 degrees of freedom Output:Multiple R-squared: 0.1178, Adjusted R-squared: 0.1119 Output:F-statistic: 19.89 on 1 and 149 DF, p-value: 1.603e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 25.275 25.2751 19.893 1.603e-05 *** Output:Residuals 149 189.311 1.2705 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.430574 Output:[1] 0.7230366 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.014254511 -0.008271554 Output:regressor -0.008271554 0.011714891 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.73016 1.66820 1.0371 0.3013 Output:regressor 0.48275 1.02639 0.4703 0.6388 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for ES
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| ES | ES | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-7.395e-15 6.400e-18 3.540e-17 8.360e-17 4.712e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.337e-16 7.116e-17 -6.094e+00 8.98e-09 *** Output:regressor 1.000e+00 5.683e-17 1.760e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 6.145e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.096e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 116.91 116.91 3.0963e+32 < 2.2e-16 *** Output:Residuals 149 0.00 0.00 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7794108 Output:[1] 0.7794108 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.064042e-33 2.877355e-33 Output:regressor 2.877355e-33 3.229638e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.3367e-16 1.0136e-16 -4.2786e+00 3.348e-05 *** Output:regressor 1.0000e+00 6.0464e-17 1.6539e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | DE | 0.5185 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.38575 -0.34802 -0.00484 0.32088 1.32694 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.21321 0.09993 2.133 0.0345 * Output:regressor -0.53313 0.04182 -12.748 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6126 on 149 degrees of freedom Output:Multiple R-squared: 0.5217, Adjusted R-squared: 0.5185 Output:F-statistic: 162.5 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 60.992 60.992 162.52 < 2.2e-16 *** Output:Residuals 149 55.920 0.375 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7794108 Output:[1] 1.430574 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009986869 -0.003622102 Output:regressor -0.003622102 0.001748948 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.21321 1.08771 0.1960 0.8449 Output:regressor -0.53313 0.33873 -1.5739 0.1176 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.4682 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.8275 -0.3193 0.1786 0.4979 0.8856 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.07365 0.09867 0.746 0.457 Output:regressor 1.33397 0.11564 11.536 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6438 on 149 degrees of freedom Output:Multiple R-squared: 0.4718, Adjusted R-squared: 0.4682 Output:F-statistic: 133.1 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 55.155 55.155 133.07 < 2.2e-16 *** Output:Residuals 149 61.756 0.414 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7794108 Output:[1] 0.2066363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009736456 0.009669119 Output:regressor 0.009669119 0.013371999 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.073653 0.531857 0.1385 0.890046 Output:regressor 1.333967 0.494532 2.6974 0.007793 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | 0.2195 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.65044 -0.56428 -0.06963 0.61312 1.41432 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.16904 0.12686 -1.333 0.185 Output:regressor 0.58056 0.08834 6.572 7.82e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7799 on 149 degrees of freedom Output:Multiple R-squared: 0.2247, Adjusted R-squared: 0.2195 Output:F-statistic: 43.19 on 1 and 149 DF, p-value: 7.819e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 26.275 26.2748 43.194 7.819e-10 *** Output:Residuals 149 90.637 0.6083 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7794108 Output:[1] 0.5196959 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.016092987 0.009702724 Output:regressor 0.009702724 0.007803293 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.16904 1.39159 -0.1215 0.9035 Output:regressor 0.58056 0.69960 0.8298 0.4080 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.1308 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.3637 -0.6562 -0.1069 0.6811 1.5548 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.61997 0.08718 -7.111 4.46e-11 *** Output:regressor -0.38374 0.07903 -4.855 3.01e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8231 on 149 degrees of freedom Output:Multiple R-squared: 0.1366, Adjusted R-squared: 0.1308 Output:F-statistic: 23.57 on 1 and 149 DF, p-value: 3.005e-06 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 15.971 15.9708 23.575 3.005e-06 *** Output:Residuals 149 100.941 0.6775 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7794108 Output:[1] 0.7230366 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007600516 -0.004410399 Output:regressor -0.004410399 0.006246389 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.61997 0.47698 -1.2998 0.1957 Output:regressor -0.38374 0.29871 -1.2847 0.2009 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.0993 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.9868 -0.5365 0.0880 0.6534 1.4237 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.88157 0.06822 -12.922 < 2e-16 *** Output:regressor 0.31602 0.07546 4.188 4.79e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8379 on 149 degrees of freedom Output:Multiple R-squared: 0.1053, Adjusted R-squared: 0.09932 Output:F-statistic: 17.54 on 1 and 149 DF, p-value: 4.794e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 12.314 12.314 17.541 4.794e-05 *** Output:Residuals 149 104.598 0.702 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7794108 Output:[1] 0.82198 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0046539989 0.0001685716 Output:regressor 0.0001685716 0.0056935707 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.88157 0.54451 -1.619 0.1076 Output:regressor 0.31602 0.40622 0.778 0.4378 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | -0.0019 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.83842 -0.61863 0.02453 0.80005 1.51913 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.85251 0.08508 -10.020 <2e-16 *** Output:regressor 0.08812 0.10430 0.845 0.4 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8837 on 149 degrees of freedom Output:Multiple R-squared: 0.004768, Adjusted R-squared: -0.001911 Output:F-statistic: 0.7139 on 1 and 149 DF, p-value: 0.3995 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.557 0.55747 0.7139 0.3995 Output:Residuals 149 116.354 0.78090 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7794108 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007238410 0.004741669 Output:regressor 0.004741669 0.010877931 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.852509 1.117702 -0.7627 0.4468 Output:regressor 0.088122 0.701025 0.1257 0.9001 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for FR
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| FR | FR | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.792e-15 -2.098e-17 1.247e-17 5.924e-17 1.978e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -9.035e-18 1.941e-17 -4.660e-01 0.642 Output:regressor 1.000e+00 2.147e-17 4.659e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.384e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.17e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 123.3 123.3 2.1702e+33 < 2.2e-16 *** Output:Residuals 149 0.0 0.0 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.82198 Output:[1] 0.82198 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.766570e-34 1.364282e-35 Output:regressor 1.364282e-35 4.607915e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -9.0349e-18 1.9070e-17 -4.7380e-01 0.6363 Output:regressor 1.0000e+00 1.0859e-17 9.2089e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | 0.6160 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.0737 -0.3940 -0.0665 0.3647 1.3281 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.41968 0.05409 7.759 1.26e-12 *** Output:regressor 1.03072 0.06631 15.544 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5618 on 149 degrees of freedom Output:Multiple R-squared: 0.6186, Adjusted R-squared: 0.616 Output:F-statistic: 241.6 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 76.266 76.266 241.62 < 2.2e-16 *** Output:Residuals 149 47.031 0.316 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.82198 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002925824 0.001916621 Output:regressor 0.001916621 0.004396948 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.41968 0.17718 2.3687 0.01914 * Output:regressor 1.03072 0.19079 5.4022 2.55e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.6133 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.34784 -0.36057 0.02477 0.38143 1.14742 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.10217 0.08641 12.76 <2e-16 *** Output:regressor 1.56520 0.10127 15.46 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5638 on 149 degrees of freedom Output:Multiple R-squared: 0.6159, Adjusted R-squared: 0.6133 Output:F-statistic: 238.9 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 75.935 75.935 238.89 < 2.2e-16 *** Output:Residuals 149 47.362 0.318 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.82198 Output:[1] 0.2066363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007467149 0.007415506 Output:regressor 0.007415506 0.010255344 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.10217 0.94041 1.1720 0.2431 Output:regressor 1.56520 1.09285 1.4322 0.1542 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.2698 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.77462 -0.53304 -0.01381 0.62219 1.28591 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.78997 0.12601 6.269 3.72e-09 *** Output:regressor 0.65914 0.08775 7.512 4.98e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7747 on 149 degrees of freedom Output:Multiple R-squared: 0.2747, Adjusted R-squared: 0.2698 Output:F-statistic: 56.43 on 1 and 149 DF, p-value: 4.978e-12 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 33.868 33.868 56.428 4.978e-12 *** Output:Residuals 149 89.429 0.600 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.82198 Output:[1] 0.5196959 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.015878518 0.009573417 Output:regressor 0.009573417 0.007699300 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.78997 0.98305 0.8036 0.4229 Output:regressor 0.65914 1.08099 0.6098 0.5430 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.1807 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.85303 -0.52000 0.00058 0.58118 1.66028 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.64771 0.13387 4.838 3.24e-06 *** Output:regressor -0.32705 0.05602 -5.838 3.19e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8206 on 149 degrees of freedom Output:Multiple R-squared: 0.1862, Adjusted R-squared: 0.1807 Output:F-statistic: 34.08 on 1 and 149 DF, p-value: 3.187e-08 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 22.952 22.9519 34.081 3.187e-08 *** Output:Residuals 149 100.345 0.6735 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.82198 Output:[1] 1.430574 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.017920940 -0.006499682 Output:regressor -0.006499682 0.003138399 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.64771 0.59572 1.0873 0.2787 Output:regressor -0.32705 0.58931 -0.5550 0.5798 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.1116 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.1271 -0.5569 0.3351 0.6326 1.2292 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.28765 0.09052 -3.178 0.0018 ** Output:regressor 0.36547 0.08206 4.454 1.65e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8546 on 149 degrees of freedom Output:Multiple R-squared: 0.1175, Adjusted R-squared: 0.1116 Output:F-statistic: 19.84 on 1 and 149 DF, p-value: 1.646e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 14.486 14.4859 19.836 1.646e-05 *** Output:Residuals 149 108.811 0.7303 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.82198 Output:[1] 0.7230366 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.008193120 -0.004754273 Output:regressor -0.004754273 0.006733413 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.28765 1.47163 -0.1955 0.8453 Output:regressor 0.36547 0.64755 0.5644 0.5733 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.0993 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.9563 -0.3598 0.1089 0.5100 1.6417 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.26732 0.09965 2.683 0.00813 ** Output:regressor 0.33328 0.07958 4.188 4.79e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8604 on 149 degrees of freedom Output:Multiple R-squared: 0.1053, Adjusted R-squared: 0.09932 Output:F-statistic: 17.54 on 1 and 149 DF, p-value: 4.794e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 12.986 12.9861 17.541 4.794e-05 *** Output:Residuals 149 110.311 0.7403 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.82198 Output:[1] 0.7794108 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009929281 0.005641751 Output:regressor 0.005641751 0.006332488 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.26732 0.35170 0.7601 0.4484 Output:regressor 0.33328 1.01195 0.3293 0.7424 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for GB
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| GB | GB | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.698e-16 -4.590e-17 -2.810e-17 -4.100e-18 3.971e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.782e-16 5.078e-17 1.139e+01 <2e-16 *** Output:regressor 1.000e+00 5.951e-17 1.680e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.313e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.824e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 30.995 30.995 2.824e+32 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.2066363 Output:[1] 0.2066363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.578384e-33 2.560552e-33 Output:regressor 2.560552e-33 3.541139e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.7823e-16 8.8425e-17 6.5392e+00 9.282e-10 *** Output:regressor 1.0000e+00 8.7709e-17 1.1401e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.6133 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.49447 -0.21562 -0.05883 0.14355 0.87052 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.71144 0.02302 -30.91 <2e-16 *** Output:regressor 0.39347 0.02546 15.46 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2827 on 149 degrees of freedom Output:Multiple R-squared: 0.6159, Adjusted R-squared: 0.6133 Output:F-statistic: 238.9 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 19.089 19.0891 238.89 < 2.2e-16 *** Output:Residuals 149 11.906 0.0799 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.2066363 Output:[1] 0.82198 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.297641e-04 1.918849e-05 Output:regressor 1.918849e-05 6.480984e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.711437 0.189989 -3.7446 0.0002575 *** Output:regressor 0.393474 0.088218 4.4602 1.603e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.5545 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.57782 -0.26824 0.03412 0.20523 0.57185 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.13767 0.04935 -2.79 0.00596 ** Output:regressor 0.47081 0.03436 13.70 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3034 on 149 degrees of freedom Output:Multiple R-squared: 0.5575, Adjusted R-squared: 0.5545 Output:F-statistic: 187.7 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 17.280 17.2798 187.72 < 2.2e-16 *** Output:Residuals 149 13.716 0.0921 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.2066363 Output:[1] 0.5196959 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002435282 0.001468271 Output:regressor 0.001468271 0.001180839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.13767 0.55878 -0.2464 0.8057 Output:regressor 0.47081 0.37719 1.2482 0.2139 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.4876 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.50517 -0.30837 0.04327 0.29685 0.52036 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.17152 0.05308 -3.231 0.00152 ** Output:regressor -0.26633 0.02221 -11.990 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3254 on 149 degrees of freedom Output:Multiple R-squared: 0.4911, Adjusted R-squared: 0.4876 Output:F-statistic: 143.8 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 15.221 15.2206 143.76 < 2.2e-16 *** Output:Residuals 149 15.775 0.1059 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.2066363 Output:[1] 1.430574 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002817284 -0.0010217908 Output:regressor -0.001021791 0.0004933761 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.17152 0.37247 -0.4605 0.6458 Output:regressor -0.26633 0.20735 -1.2845 0.2010 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.4682 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.64525 -0.24945 0.04841 0.20730 0.67233 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.40800 0.03839 -10.63 <2e-16 *** Output:regressor 0.35366 0.03066 11.54 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3315 on 149 degrees of freedom Output:Multiple R-squared: 0.4718, Adjusted R-squared: 0.4682 Output:F-statistic: 133.1 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 14.623 14.6227 133.07 < 2.2e-16 *** Output:Residuals 149 16.373 0.1099 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.2066363 Output:[1] 0.7794108 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0014737376 0.0008373677 Output:regressor 0.0008373677 0.0009398892 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.40800 0.14993 -2.7212 0.007279 ** Output:regressor 0.35366 0.32084 1.1023 0.272116 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.3656 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.5122 -0.2660 -0.1520 0.2575 0.8760 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.54890 0.03486 -15.747 <2e-16 *** Output:regressor 0.39960 0.04273 9.351 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3621 on 149 degrees of freedom Output:Multiple R-squared: 0.3698, Adjusted R-squared: 0.3656 Output:F-statistic: 87.44 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 11.463 11.4628 87.441 < 2.2e-16 *** Output:Residuals 149 19.533 0.1311 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.2066363 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0012151277 0.0007959943 Output:regressor 0.0007959943 0.0018261021 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.54890 0.22256 -2.4663 0.014785 * Output:regressor 0.39960 0.12904 3.0966 0.002339 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | -0.0034 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.78726 -0.37440 -0.02522 0.38632 0.92111 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.74470 0.04823 -15.44 <2e-16 *** Output:regressor 0.03061 0.04372 0.70 0.485 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4553 on 149 degrees of freedom Output:Multiple R-squared: 0.003278, Adjusted R-squared: -0.003411 Output:F-statistic: 0.4901 on 1 and 149 DF, p-value: 0.485 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.1016 0.10161 0.4901 0.485 Output:Residuals 149 30.8938 0.20734 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.2066363 Output:[1] 0.7230366 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002326206 -0.001349842 Output:regressor -0.001349842 0.001911763 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.744699 30.510068 -0.0244 0.9806 Output:regressor 0.030608 11.742705 0.0026 0.9979 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for IT
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| IT | IT | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.296e-15 -5.000e-18 6.900e-18 2.324e-17 1.698e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.168e-16 1.103e-17 -1.965e+01 <2e-16 *** Output:regressor 1.000e+00 1.353e-17 7.394e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.146e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.467e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 71.788 71.788 5.4666e+33 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.217243e-34 7.973802e-35 Output:regressor 7.973802e-35 1.829282e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.1684e-16 1.1931e-17 -1.8175e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.0479e-17 9.5429e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.6160 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.98517 -0.33978 0.08751 0.35333 0.79302 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.41813 0.03491 -11.98 <2e-16 *** Output:regressor 0.60012 0.03861 15.54 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4287 on 149 degrees of freedom Output:Multiple R-squared: 0.6186, Adjusted R-squared: 0.616 Output:F-statistic: 241.6 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 44.404 44.404 241.62 < 2.2e-16 *** Output:Residuals 149 27.383 0.184 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.82198 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0012183906 0.0000441311 Output:regressor 0.0000441311 0.0014905446 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.41813 0.15365 -2.7213 0.007277 ** Output:regressor 0.60012 0.13589 4.4161 1.92e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.3656 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.24373 -0.41123 0.03711 0.38587 1.11187 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.23331 0.08445 2.763 0.00646 ** Output:regressor 0.92549 0.09897 9.351 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.551 on 149 degrees of freedom Output:Multiple R-squared: 0.3698, Adjusted R-squared: 0.3656 Output:F-statistic: 87.44 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 26.549 26.5487 87.441 < 2.2e-16 *** Output:Residuals 149 45.239 0.3036 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.2066363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007132348 0.007083021 Output:regressor 0.007083021 0.009795531 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.23331 0.51664 0.4516 0.6522 Output:regressor 0.92549 0.56312 1.6435 0.1024 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.3076 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.50176 -0.37337 -0.02518 0.41642 1.23555 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.23083 0.09363 2.465 0.0148 * Output:regressor 0.53621 0.06520 8.224 8.94e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5756 on 149 degrees of freedom Output:Multiple R-squared: 0.3122, Adjusted R-squared: 0.3076 Output:F-statistic: 67.64 on 1 and 149 DF, p-value: 8.938e-14 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 22.414 22.4135 67.639 8.938e-14 *** Output:Residuals 149 49.374 0.3314 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.5196959 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.008766589 0.005285519 Output:regressor 0.005285519 0.004250812 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.23083 0.27305 0.8454 0.39925 Output:regressor 0.53621 0.29494 1.8181 0.07106 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.1579 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.56330 -0.37756 -0.04847 0.39367 1.47631 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.04847 0.10356 0.468 0.64 Output:regressor -0.23388 0.04334 -5.397 2.62e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6348 on 149 degrees of freedom Output:Multiple R-squared: 0.1635, Adjusted R-squared: 0.1579 Output:F-statistic: 29.12 on 1 and 149 DF, p-value: 2.616e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 11.738 11.738 29.124 2.616e-07 *** Output:Residuals 149 60.050 0.403 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 1.430574 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.010724502 -0.003889631 Output:regressor -0.003889631 0.001878125 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.048468 0.393878 0.1231 0.9022 Output:regressor -0.233878 0.372747 -0.6274 0.5313 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.1059 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.7918 -0.2864 0.1080 0.4299 1.3707 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.62801 0.06929 -9.064 6.70e-16 *** Output:regressor 0.27208 0.06281 4.332 2.71e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6541 on 149 degrees of freedom Output:Multiple R-squared: 0.1118, Adjusted R-squared: 0.1059 Output:F-statistic: 18.76 on 1 and 149 DF, p-value: 2.707e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 8.029 8.0287 18.762 2.707e-05 *** Output:Residuals 149 63.759 0.4279 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.7230366 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004800837 -0.002785812 Output:regressor -0.002785812 0.003945508 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.62801 2.98541 -0.2104 0.8337 Output:regressor 0.27208 1.96436 0.1385 0.8900 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | -0.0019 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.80361 -0.41937 0.09117 0.42152 1.32767 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.38769 0.08019 -4.834 3.29e-06 *** Output:regressor 0.05411 0.06404 0.845 0.4 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6925 on 149 degrees of freedom Output:Multiple R-squared: 0.004768, Adjusted R-squared: -0.001911 Output:F-statistic: 0.7139 on 1 and 149 DF, p-value: 0.3995 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.342 0.3423 0.7139 0.3995 Output:Residuals 149 71.445 0.4795 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.7794108 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006430919 0.003654005 Output:regressor 0.003654005 0.004101376 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.38769 0.27919 -1.3886 0.1670 Output:regressor 0.05411 0.43712 0.1238 0.9017 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for RO
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| RO | RO | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.320e-15 2.050e-18 1.375e-17 3.396e-17 1.903e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.446e-16 2.091e-17 -6.912e+00 1.3e-10 *** Output:regressor 1.000e+00 1.896e-17 5.275e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.974e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.782e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 108.45 108.45 2.7821e+33 < 2.2e-16 *** Output:Residuals 149 0.00 0.00 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7230366 Output:[1] 0.7230366 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.373676e-34 -2.537940e-34 Output:regressor -2.537940e-34 3.594451e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.4456e-16 2.4291e-17 -5.9510e+00 1.829e-08 *** Output:regressor 1.0000e+00 1.4584e-17 6.8568e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.1308 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.6409 -0.5007 -0.1173 0.4916 2.2789 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.38892 0.09181 4.236 3.96e-05 *** Output:regressor -0.35598 0.07332 -4.855 3.01e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7928 on 149 degrees of freedom Output:Multiple R-squared: 0.1366, Adjusted R-squared: 0.1308 Output:F-statistic: 23.57 on 1 and 149 DF, p-value: 3.005e-06 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 14.816 14.8156 23.575 3.005e-06 *** Output:Residuals 149 93.640 0.6285 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7230366 Output:[1] 0.7794108 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.008428692 0.004789126 Output:regressor 0.004789126 0.005375473 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.38892 0.76080 0.5112 0.6100 Output:regressor -0.35598 0.53962 -0.6597 0.5105 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.1119 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.2951 -0.5230 -0.1372 0.3842 2.2874 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.2008 0.1307 1.536 0.127 Output:regressor 0.2440 0.0547 4.460 1.6e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8013 on 149 degrees of freedom Output:Multiple R-squared: 0.1178, Adjusted R-squared: 0.1119 Output:F-statistic: 19.89 on 1 and 149 DF, p-value: 1.603e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 12.774 12.7745 19.893 1.603e-05 *** Output:Residuals 149 95.681 0.6422 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7230366 Output:[1] 1.430574 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.017087969 -0.006197575 Output:regressor -0.006197575 0.002992526 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.20077 0.83176 0.2414 0.8096 Output:regressor 0.24399 0.37264 0.6548 0.5136 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.1116 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.93980 -0.54313 -0.09122 0.54897 1.91085 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.71559 0.06526 10.965 < 2e-16 *** Output:regressor 0.32147 0.07218 4.454 1.65e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8015 on 149 degrees of freedom Output:Multiple R-squared: 0.1175, Adjusted R-squared: 0.1116 Output:F-statistic: 19.84 on 1 and 149 DF, p-value: 1.646e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 12.742 12.7422 19.836 1.646e-05 *** Output:Residuals 149 95.713 0.6424 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7230366 Output:[1] 0.82198 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0042586783 0.0001542528 Output:regressor 0.0001542528 0.0052099467 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.71559 0.83421 0.8578 0.3924 Output:regressor 0.32147 0.57521 0.5589 0.5771 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.1059 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.08068 -0.54492 0.00808 0.48617 1.97869 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.88525 0.07741 11.436 < 2e-16 *** Output:regressor 0.41105 0.09490 4.332 2.71e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.804 on 149 degrees of freedom Output:Multiple R-squared: 0.1118, Adjusted R-squared: 0.1059 Output:F-statistic: 18.76 on 1 and 149 DF, p-value: 2.707e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 12.130 12.1296 18.762 2.707e-05 *** Output:Residuals 149 96.326 0.6465 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7230366 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005992447 0.003925475 Output:regressor 0.003925475 0.009005489 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.88525 13.95101 0.0635 0.9495 Output:regressor 0.41105 11.81638 0.0348 0.9723 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.0030 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.6354 -0.5460 -0.1477 0.3908 2.3932 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.56198 0.13810 4.069 7.62e-05 *** Output:regressor -0.11588 0.09616 -1.205 0.23 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.849 on 149 degrees of freedom Output:Multiple R-squared: 0.009652, Adjusted R-squared: 0.003006 Output:F-statistic: 1.452 on 1 and 149 DF, p-value: 0.2301 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.047 1.04686 1.4522 0.2301 Output:Residuals 149 107.409 0.72086 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7230366 Output:[1] 0.5196959 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01907090 0.011498154 Output:regressor 0.01149815 0.009247244 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.56198 5.59875 0.1004 0.9202 Output:regressor -0.11588 4.33898 -0.0267 0.9787 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | -0.0034 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.8505 -0.5329 -0.1757 0.4161 2.3454 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.7835 0.1305 6.002 1.42e-08 *** Output:regressor 0.1071 0.1530 0.700 0.485 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8518 on 149 degrees of freedom Output:Multiple R-squared: 0.003278, Adjusted R-squared: -0.003411 Output:F-statistic: 0.4901 on 1 and 149 DF, p-value: 0.485 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.356 0.35554 0.4901 0.485 Output:Residuals 149 108.100 0.72550 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7230366 Output:[1] 0.2066363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01704299 0.01692513 Output:regressor 0.01692513 0.02340676 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.78351 1.59514 0.4912 0.624 Output:regressor 0.10710 1.77702 0.0603 0.952 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Index (in comparison 12 month moving average)
Correlations for CH
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| CH | CH | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.796e-15 4.170e-18 1.257e-17 2.057e-17 1.671e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.891e-16 2.191e-17 -1.320e+01 <2e-16 *** Output:regressor 1.000e+00 5.898e-17 1.695e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.496e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.874e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.437 6.437 2.8743e+32 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.04291334 Output:[1] 0.04291334 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.798526e-34 -1.073995e-33 Output:regressor -1.073995e-33 3.479095e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.8912e-16 3.5878e-17 -8.0582e+00 2.31e-13 *** Output:regressor 1.0000e+00 8.0210e-17 1.2467e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.3455 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.34088 -0.12637 -0.00612 0.11543 0.38600 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.28949 0.01381 20.969 < 2e-16 *** Output:regressor -0.31773 0.03548 -8.955 1.27e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1676 on 149 degrees of freedom Output:Multiple R-squared: 0.3499, Adjusted R-squared: 0.3455 Output:F-statistic: 80.2 on 1 and 149 DF, p-value: 1.272e-15 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.2523 2.25232 80.196 1.272e-15 *** Output:Residuals 149 4.1847 0.02809 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.04291334 Output:[1] 0.148738 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001905957 0.000076109 Output:regressor 0.0000761090 0.001258818 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.28949 0.11051 2.6196 0.009714 ** Output:regressor -0.31773 0.14372 -2.2108 0.028577 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.1705 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.36476 -0.14236 0.00479 0.12592 0.47847 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.24695 0.01885 13.097 < 2e-16 *** Output:regressor 0.57689 0.10224 5.643 8.19e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1887 on 149 degrees of freedom Output:Multiple R-squared: 0.1761, Adjusted R-squared: 0.1705 Output:F-statistic: 31.84 on 1 and 149 DF, p-value: 8.192e-08 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.1333 1.1333 31.839 8.192e-08 *** Output:Residuals 149 5.3037 0.0356 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.04291334 Output:[1] 0.02270215 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003554992 -0.001118894 Output:regressor -0.0011188944 0.010452836 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.24695 0.10882 2.2692 0.02469 * Output:regressor 0.57689 0.51040 1.1303 0.26017 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.1606 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.38220 -0.17811 -0.01191 0.17653 0.35390 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.27041 0.01697 15.935 < 2e-16 *** Output:regressor -0.12762 0.02342 -5.449 2.05e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1898 on 149 degrees of freedom Output:Multiple R-squared: 0.1661, Adjusted R-squared: 0.1606 Output:F-statistic: 29.69 on 1 and 149 DF, p-value: 2.051e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.0695 1.06950 29.689 2.051e-07 *** Output:Residuals 149 5.3675 0.03602 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.04291334 Output:[1] 0.437795 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002879493 0.0001645894 Output:regressor 0.0001645894 0.0005485590 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.27041 0.14400 1.8779 0.06235 . Output:regressor -0.12762 0.32497 -0.3927 0.69510 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0926 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.39124 -0.16221 0.03093 0.13865 0.42782 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.34971 0.01900 18.407 < 2e-16 *** Output:regressor 0.09407 0.02329 4.039 8.56e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1973 on 149 degrees of freedom Output:Multiple R-squared: 0.09869, Adjusted R-squared: 0.09264 Output:F-statistic: 16.32 on 1 and 149 DF, p-value: 8.558e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.6353 0.63528 16.315 8.558e-05 *** Output:Residuals 149 5.8017 0.03894 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.04291334 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003609260 0.0002364319 Output:regressor 0.0002364319 0.0005424020 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.349705 0.148310 2.3579 0.01968 * Output:regressor 0.094071 0.087028 1.0809 0.28147 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.0337 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.39953 -0.15944 -0.00234 0.15428 0.48337 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.34010 0.02080 16.351 <2e-16 *** Output:regressor 0.13491 0.05401 2.498 0.0136 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2036 on 149 degrees of freedom Output:Multiple R-squared: 0.04018, Adjusted R-squared: 0.03374 Output:F-statistic: 6.238 on 1 and 149 DF, p-value: 0.01359 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2587 0.258667 6.2381 0.01359 * Output:Residuals 149 6.1783 0.041465 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.04291334 Output:[1] 0.09475131 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004326249 0.0006789855 Output:regressor 0.0006789855 0.0029174849 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.34010 0.16871 2.0158 0.04562 * Output:regressor 0.13491 0.24826 0.5434 0.58766 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | -0.0047 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.35682 -0.16620 -0.01724 0.18318 0.44287 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.31443 0.01989 15.810 <2e-16 *** Output:regressor 0.02216 0.04055 0.546 0.586 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2076 on 149 degrees of freedom Output:Multiple R-squared: 0.002, Adjusted R-squared: -0.004698 Output:F-statistic: 0.2986 on 1 and 149 DF, p-value: 0.5856 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0129 0.012874 0.2986 0.5856 Output:Residuals 149 6.4241 0.043115 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.04291334 Output:[1] 0.1747937 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003955521 0.0004253499 Output:regressor 0.0004253499 0.0016444123 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.314431 0.178924 1.7573 0.08091 . Output:regressor 0.022159 0.164007 0.1351 0.89271 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for DE
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| DE | DE | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-8.742e-16 -1.400e-18 4.190e-18 1.106e-17 7.846e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -9.035e-18 6.135e-18 -1.473e+00 0.143 Output:regressor 1.000e+00 1.577e-17 6.342e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.448e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.022e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 22.311 22.311 4.0223e+33 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.148738 Output:[1] 0.148738 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.764252e-35 1.503147e-35 Output:regressor 1.503147e-35 2.486157e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -9.0349e-18 5.9507e-18 -1.5183e+00 0.1311 Output:regressor 1.0000e+00 5.6270e-18 1.7771e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.3455 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.9907 -0.1723 0.0688 0.2478 0.4282 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.27950 0.04567 6.120 7.89e-09 *** Output:regressor -1.10126 0.12297 -8.955 1.27e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.312 on 149 degrees of freedom Output:Multiple R-squared: 0.3499, Adjusted R-squared: 0.3455 Output:F-statistic: 80.2 on 1 and 149 DF, p-value: 1.272e-15 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 7.8066 7.8066 80.196 1.272e-15 *** Output:Residuals 149 14.5041 0.0973 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.148738 Output:[1] 0.04291334 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002085757 -0.004668293 Output:regressor -0.004668293 0.015122449 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.27950 0.25435 1.0989 0.2736 Output:regressor -1.10126 0.78730 -1.3988 0.1640 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.2656 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.96731 -0.14554 0.01352 0.19172 0.61651 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.18684 0.03182 -5.872 2.70e-08 *** Output:regressor -0.28992 0.03901 -7.432 7.73e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3305 on 149 degrees of freedom Output:Multiple R-squared: 0.2705, Adjusted R-squared: 0.2656 Output:F-statistic: 55.24 on 1 and 149 DF, p-value: 7.732e-12 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.0341 6.0341 55.238 7.732e-12 *** Output:Residuals 149 16.2765 0.1092 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.148738 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0010125665 0.0006633024 Output:regressor 0.0006633024 0.0015216917 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.18684 0.22859 -0.8173 0.41504 Output:regressor -0.28992 0.13784 -2.1034 0.03711 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.1231 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.14960 -0.13168 0.03865 0.24525 0.57944 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.002333 0.032289 0.072 0.942 Output:regressor 0.209285 0.044567 4.696 5.97e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3612 on 149 degrees of freedom Output:Multiple R-squared: 0.1289, Adjusted R-squared: 0.1231 Output:F-statistic: 22.05 on 1 and 149 DF, p-value: 5.971e-06 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.8763 2.87633 22.052 5.971e-06 *** Output:Residuals 149 19.4344 0.13043 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.148738 Output:[1] 0.437795 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0010425928 0.0005959372 Output:regressor 0.0005959372 0.0019861959 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0023331 0.1473832 0.0158 0.98739 Output:regressor 0.2092849 0.1096562 1.9086 0.05824 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.0915 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.95445 -0.21072 0.06811 0.25461 0.65233 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.15153 0.03755 -4.036 8.68e-05 *** Output:regressor -0.39131 0.09751 -4.013 9.46e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3676 on 149 degrees of freedom Output:Multiple R-squared: 0.09754, Adjusted R-squared: 0.09149 Output:F-statistic: 16.11 on 1 and 149 DF, p-value: 9.458e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.1763 2.17628 16.105 9.458e-05 *** Output:Residuals 149 20.1344 0.13513 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.148738 Output:[1] 0.09475131 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001409871 0.002212729 Output:regressor 0.002212729 0.009507718 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.15153 0.23658 -0.6405 0.5228 Output:regressor -0.39131 0.37526 -1.0428 0.2987 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.0184 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.14466 -0.21138 0.00852 0.32325 0.59776 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.02279 0.03660 -0.623 0.5345 Output:regressor 0.14565 0.07462 1.952 0.0528 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3821 on 149 degrees of freedom Output:Multiple R-squared: 0.02493, Adjusted R-squared: 0.01839 Output:F-statistic: 3.81 on 1 and 149 DF, p-value: 0.05283 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.5562 0.55622 3.8097 0.05283 . Output:Residuals 149 21.7545 0.14600 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.148738 Output:[1] 0.1747937 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001339486 0.001440392 Output:regressor 0.001440392 0.005568588 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.022786 0.149494 -0.1524 0.8791 Output:regressor 0.145652 0.592450 0.2458 0.8061 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.0180 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.21329 -0.15183 0.06161 0.24403 0.64977 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.01753 0.03819 -0.459 0.6469 Output:regressor -0.40104 0.20710 -1.936 0.0547 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3822 on 149 degrees of freedom Output:Multiple R-squared: 0.02455, Adjusted R-squared: 0.018 Output:F-statistic: 3.75 on 1 and 149 DF, p-value: 0.05471 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.5477 0.54768 3.7497 0.05471 . Output:Residuals 149 21.7630 0.14606 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.148738 Output:[1] 0.02270215 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001458744 -0.004591236 Output:regressor -0.004591236 0.042891834 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.017533 0.359543 -0.0488 0.9612 Output:regressor -0.401036 0.940167 -0.4266 0.6703 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for ES
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| ES | ES | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.167e-16 -2.130e-17 -1.398e-17 -6.100e-19 2.053e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.446e-16 1.752e-17 8.250e+00 7.73e-14 *** Output:regressor 1.000e+00 4.550e-17 2.198e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.716e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.829e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 14.213 14.213 4.8293e+32 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09475131 Output:[1] 0.09475131 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.070562e-34 4.819110e-34 Output:regressor 4.819110e-34 2.070689e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.4456e-16 2.3287e-17 6.2077e+00 5.075e-09 *** Output:regressor 1.0000e+00 4.4020e-17 2.2717e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | 0.2441 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.64059 -0.19352 -0.00435 0.16462 0.60473 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.13592 0.02577 -5.275 4.59e-07 *** Output:regressor 0.22210 0.03159 7.031 6.87e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2676 on 149 degrees of freedom Output:Multiple R-squared: 0.2491, Adjusted R-squared: 0.2441 Output:F-statistic: 49.44 on 1 and 149 DF, p-value: 6.869e-11 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.5411 3.5411 49.441 6.869e-11 *** Output:Residuals 149 10.6716 0.0716 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09475131 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0006638838 0.0004348907 Output:regressor 0.0004348907 0.0009976891 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.13592 0.15385 -0.8834 0.3784 Output:regressor 0.22210 0.15370 1.4450 0.1506 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.1089 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.55559 -0.20831 -0.01791 0.15175 0.80979 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.30682 0.02904 -10.566 < 2e-16 *** Output:regressor 0.69218 0.15747 4.396 2.09e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2906 on 149 degrees of freedom Output:Multiple R-squared: 0.1148, Adjusted R-squared: 0.1089 Output:F-statistic: 19.32 on 1 and 149 DF, p-value: 2.087e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.6315 1.63152 19.322 2.087e-05 *** Output:Residuals 149 12.5812 0.08444 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09475131 Output:[1] 0.02270215 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008432986 -0.002654189 Output:regressor -0.0026541891 0.024795730 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.306822 0.087098 -3.5227 0.0005674 *** Output:regressor 0.692176 0.487930 1.4186 0.1581049 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | DE | 0.0915 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.57818 -0.22171 -0.01977 0.18681 0.67100 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.24780 0.02417 -10.252 < 2e-16 *** Output:regressor -0.24928 0.06212 -4.013 9.46e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2934 on 149 degrees of freedom Output:Multiple R-squared: 0.09754, Adjusted R-squared: 0.09149 Output:F-statistic: 16.11 on 1 and 149 DF, p-value: 9.458e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.3864 1.38637 16.105 9.458e-05 *** Output:Residuals 149 12.8263 0.08608 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09475131 Output:[1] 0.148738 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005841888 0.0002332792 Output:regressor 0.0002332792 0.0038583634 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.24780 0.13479 -1.8384 0.06799 . Output:regressor -0.24928 0.43512 -0.5729 0.56758 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | 0.0337 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.49709 -0.22715 -0.05191 0.18594 0.75482 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.32468 0.04429 -7.331 1.35e-11 *** Output:regressor 0.29787 0.11926 2.498 0.0136 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3026 on 149 degrees of freedom Output:Multiple R-squared: 0.04018, Adjusted R-squared: 0.03374 Output:F-statistic: 6.238 on 1 and 149 DF, p-value: 0.01359 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.5711 0.57113 6.2381 0.01359 * Output:Residuals 149 13.6416 0.09155 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09475131 Output:[1] 0.04291334 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001961716 -0.004390667 Output:regressor -0.004390667 0.014223107 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.32468 0.18405 -1.7641 0.07977 . Output:regressor 0.29787 0.79966 0.3725 0.71006 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | -0.0008 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.54893 -0.20322 -0.07373 0.18937 0.84149 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.24341 0.02753 -8.841 2.49e-15 *** Output:regressor -0.03559 0.03800 -0.937 0.35 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3079 on 149 degrees of freedom Output:Multiple R-squared: 0.005853, Adjusted R-squared: -0.0008191 Output:F-statistic: 0.8772 on 1 and 149 DF, p-value: 0.3505 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0832 0.083187 0.8772 0.3505 Output:Residuals 149 14.1295 0.094829 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09475131 Output:[1] 0.437795 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0007580038 0.0004332685 Output:regressor 0.0004332685 0.0014440385 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.243409 0.141439 -1.7209 0.08734 . Output:regressor -0.035591 0.256014 -0.1390 0.88962 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | -0.0041 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.54274 -0.22165 -0.06806 0.16466 0.80405 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.22312 0.02954 -7.552 3.98e-12 *** Output:regressor 0.03714 0.06024 0.617 0.538 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3085 on 149 degrees of freedom Output:Multiple R-squared: 0.002545, Adjusted R-squared: -0.004149 Output:F-statistic: 0.3802 on 1 and 149 DF, p-value: 0.5385 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0362 0.036171 0.3802 0.5385 Output:Residuals 149 14.1765 0.095144 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09475131 Output:[1] 0.1747937 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008728897 0.0009386465 Output:regressor 0.0009386465 0.0036288283 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.223122 0.121045 -1.8433 0.06727 . Output:regressor 0.037142 0.178349 0.2083 0.83531 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for FR
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| FR | FR | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.531e-15 -6.500e-18 1.322e-17 2.402e-17 1.761e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.446e-16 1.243e-17 -1.163e+01 <2e-16 *** Output:regressor 1.000e+00 2.534e-17 3.946e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.297e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.557e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 26.219 26.219 1.5575e+33 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1747937 Output:[1] 0.1747937 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.544443e-34 1.660789e-34 Output:regressor 1.660789e-34 6.420648e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.4456e-16 1.3262e-17 -1.0900e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.4791e-17 6.7608e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.2323 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.01251 -0.25285 0.04757 0.26451 0.84589 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.40338 0.03661 -11.019 < 2e-16 *** Output:regressor 1.35199 0.19851 6.811 2.23e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3663 on 149 degrees of freedom Output:Multiple R-squared: 0.2374, Adjusted R-squared: 0.2323 Output:F-statistic: 46.39 on 1 and 149 DF, p-value: 2.233e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.2245 6.2245 46.386 2.233e-10 *** Output:Residuals 149 19.9945 0.1342 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1747937 Output:[1] 0.02270215 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001340204 -0.004218145 Output:regressor -0.004218145 0.039406381 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.40338 0.18554 -2.1741 0.03128 * Output:regressor 1.35199 2.16569 0.6243 0.53340 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.0671 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.86305 -0.32397 0.04596 0.26448 0.82567 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.20733 0.03610 -5.743 5.06e-08 *** Output:regressor 0.17109 0.04983 3.433 0.000772 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4038 on 149 degrees of freedom Output:Multiple R-squared: 0.07332, Adjusted R-squared: 0.0671 Output:F-statistic: 11.79 on 1 and 149 DF, p-value: 0.0007719 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.9223 1.92230 11.789 0.0007719 *** Output:Residuals 149 24.2968 0.16307 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1747937 Output:[1] 0.437795 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0013034451 0.0007450381 Output:regressor 0.0007450381 0.0024831338 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.20733 0.18926 -1.0955 0.2751 Output:regressor 0.17109 0.22360 0.7652 0.4454 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | 0.0242 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.97826 -0.35345 0.05391 0.27950 0.96192 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.21248 0.03976 -5.344 3.34e-07 *** Output:regressor 0.10594 0.04874 2.173 0.0313 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.413 on 149 degrees of freedom Output:Multiple R-squared: 0.03073, Adjusted R-squared: 0.02423 Output:F-statistic: 4.724 on 1 and 149 DF, p-value: 0.03132 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.8057 0.80573 4.7241 0.03132 * Output:Residuals 149 25.4133 0.17056 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1747937 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001580967 0.001035645 Output:regressor 0.001035645 0.002375888 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.21248 0.22015 -0.9652 0.336 Output:regressor 0.10594 0.23961 0.4421 0.659 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.0184 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.83342 -0.38140 0.05181 0.30831 0.91911 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.24831 0.03412 -7.277 1.81e-11 *** Output:regressor 0.17117 0.08770 1.952 0.0528 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4142 on 149 degrees of freedom Output:Multiple R-squared: 0.02493, Adjusted R-squared: 0.01839 Output:F-statistic: 3.81 on 1 and 149 DF, p-value: 0.05283 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.6537 0.65366 3.8097 0.05283 . Output:Residuals 149 25.5654 0.17158 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1747937 Output:[1] 0.148738 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0011644030 0.0004649713 Output:regressor 0.0004649713 0.0076904763 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.24831 0.23343 -1.0638 0.2892 Output:regressor 0.17117 0.43549 0.3930 0.6948 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | -0.0041 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.92424 -0.38029 0.06317 0.32184 0.92130 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.24272 0.04279 -5.672 7.12e-08 *** Output:regressor 0.06852 0.11113 0.617 0.538 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4189 on 149 degrees of freedom Output:Multiple R-squared: 0.002545, Adjusted R-squared: -0.004149 Output:F-statistic: 0.3802 on 1 and 149 DF, p-value: 0.5385 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0667 0.066726 0.3802 0.5385 Output:Residuals 149 26.1523 0.175519 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1747937 Output:[1] 0.09475131 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001831263 0.002874085 Output:regressor 0.002874085 0.012349453 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.242717 0.216149 -1.1229 0.2633 Output:regressor 0.068519 0.379906 0.1804 0.8571 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | -0.0047 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.90815 -0.36781 0.06944 0.32300 0.88040 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.28653 0.06134 -4.671 6.64e-06 *** Output:regressor 0.09026 0.16517 0.546 0.586 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4191 on 149 degrees of freedom Output:Multiple R-squared: 0.002, Adjusted R-squared: -0.004698 Output:F-statistic: 0.2986 on 1 and 149 DF, p-value: 0.5856 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0524 0.052437 0.2986 0.5856 Output:Residuals 149 26.1666 0.175615 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1747937 Output:[1] 0.04291334 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003762872 -0.008421973 Output:regressor -0.008421973 0.027282106 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.286526 0.278879 -1.0274 0.3059 Output:regressor 0.090256 0.733999 0.1230 0.9023 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for GB
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| GB | GB | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.260e-16 -1.456e-17 -9.730e-18 -4.060e-18 1.414e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 9.035e-17 1.171e-17 7.717e+00 1.59e-12 *** Output:regressor 1.000e+00 6.348e-17 1.575e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.172e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.481e+32 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.4053 3.4053 2.4813e+32 < 2.2e-16 *** Output:Residuals 149 0.0000 0.0000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02270215 Output:[1] 0.02270215 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.370665e-34 -4.314017e-34 Output:regressor -4.314017e-34 4.030203e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 9.0349e-17 1.4195e-17 6.3649e+00 2.28e-09 *** Output:regressor 1.0000e+00 4.6545e-17 2.1484e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.2323 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.37425 -0.09056 -0.00329 0.08425 0.45615 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.15246 0.01265 12.057 < 2e-16 *** Output:regressor 0.17560 0.02578 6.811 2.23e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.132 on 149 degrees of freedom Output:Multiple R-squared: 0.2374, Adjusted R-squared: 0.2323 Output:F-statistic: 46.39 on 1 and 149 DF, p-value: 2.233e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.80844 0.80844 46.386 2.233e-10 *** Output:Residuals 149 2.59688 0.01743 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02270215 Output:[1] 0.1747937 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001598975 0.0001719429 Output:regressor 0.0001719429 0.0006647352 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.152463 0.046872 3.2527 0.001414 ** Output:regressor 0.175596 0.623193 0.2818 0.778512 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.1705 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.23893 -0.12255 0.00229 0.10067 0.40052 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.01283 0.02009 0.639 0.524 Output:regressor 0.30519 0.05409 5.643 8.19e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1372 on 149 degrees of freedom Output:Multiple R-squared: 0.1761, Adjusted R-squared: 0.1705 Output:F-statistic: 31.84 on 1 and 149 DF, p-value: 8.192e-08 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.59954 0.59954 31.839 8.192e-08 *** Output:Residuals 149 2.80578 0.01883 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02270215 Output:[1] 0.04291334 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004034828 -0.0009030659 Output:regressor -0.0009030659 0.0029253878 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.012830 0.086034 0.1491 0.8817 Output:regressor 0.305189 0.287786 1.0605 0.2906 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.1089 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.295626 -0.124778 -0.008851 0.105068 0.297712 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.14564 0.01453 10.024 < 2e-16 *** Output:regressor 0.16584 0.03773 4.396 2.09e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1422 on 149 degrees of freedom Output:Multiple R-squared: 0.1148, Adjusted R-squared: 0.1089 Output:F-statistic: 19.32 on 1 and 149 DF, p-value: 2.087e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.39091 0.39091 19.322 2.087e-05 *** Output:Residuals 149 3.01442 0.02023 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02270215 Output:[1] 0.09475131 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002110781 0.0003312777 Output:regressor 0.0003312777 0.0014234438 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.145639 0.096038 1.5165 0.1315 Output:regressor 0.165843 0.145973 1.1361 0.2577 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.0376 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.31287 -0.11966 0.00525 0.09922 0.35049 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.12697 0.01423 8.922 1.55e-15 *** Output:regressor 0.04571 0.01745 2.620 0.0097 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1478 on 149 degrees of freedom Output:Multiple R-squared: 0.04405, Adjusted R-squared: 0.03763 Output:F-statistic: 6.865 on 1 and 149 DF, p-value: 0.009698 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.1500 0.149996 6.8655 0.009698 ** Output:Residuals 149 3.2553 0.021848 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02270215 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002025144 0.0001326612 Output:regressor 0.0001326612 0.0003043399 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.126967 0.108210 1.1733 0.2425 Output:regressor 0.045710 0.089832 0.5088 0.6116 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.0180 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.27675 -0.13052 0.00002 0.10937 0.38072 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.10334 0.01230 8.402 3.22e-14 *** Output:regressor -0.06121 0.03161 -1.936 0.0547 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1493 on 149 degrees of freedom Output:Multiple R-squared: 0.02455, Adjusted R-squared: 0.018 Output:F-statistic: 3.75 on 1 and 149 DF, p-value: 0.05471 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0836 0.083593 3.7497 0.05471 . Output:Residuals 149 3.3217 0.022293 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02270215 Output:[1] 0.148738 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.512917e-04 6.041403e-05 Output:regressor 6.041403e-05 9.992287e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.103341 0.097797 1.0567 0.2924 Output:regressor -0.061211 0.229363 -0.2669 0.7899 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.0018 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.30033 -0.12920 -0.01042 0.11081 0.36167 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.10075 0.01346 7.486 5.75e-12 *** Output:regressor -0.02097 0.01858 -1.129 0.261 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1505 on 149 degrees of freedom Output:Multiple R-squared: 0.008482, Adjusted R-squared: 0.001827 Output:F-statistic: 1.275 on 1 and 149 DF, p-value: 0.2607 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0289 0.028883 1.2746 0.2607 Output:Residuals 149 3.3764 0.022661 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02270215 Output:[1] 0.437795 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001811353 0.0001035354 Output:regressor 0.0001035354 0.0003450726 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.100750 0.075465 1.3351 0.1839 Output:regressor -0.020972 0.223221 -0.0940 0.9253 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for IT
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| IT | IT | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.296e-15 -5.000e-18 6.900e-18 2.324e-17 1.698e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.168e-16 1.103e-17 -1.965e+01 <2e-16 *** Output:regressor 1.000e+00 1.353e-17 7.394e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.146e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.467e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 71.788 71.788 5.4666e+33 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.217243e-34 7.973802e-35 Output:regressor 7.973802e-35 1.829282e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.1684e-16 1.1931e-17 -1.8175e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.0479e-17 9.5429e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.2656 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.53757 -0.33270 0.04647 0.44252 1.09589 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.49230 0.04884 -10.080 < 2e-16 *** Output:regressor -0.93287 0.12552 -7.432 7.73e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5929 on 149 degrees of freedom Output:Multiple R-squared: 0.2705, Adjusted R-squared: 0.2656 Output:F-statistic: 55.24 on 1 and 149 DF, p-value: 7.732e-12 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 19.416 19.4157 55.238 7.732e-12 *** Output:Residuals 149 52.372 0.3515 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.148738 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0023853344 0.0009525156 Output:regressor 0.0009525156 0.0157543039 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.49230 0.32376 -1.5206 0.13049 Output:regressor -0.93287 0.52039 -1.7926 0.07506 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | 0.2441 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.75896 -0.27369 0.05396 0.38986 1.42793 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.17482 0.06144 -2.846 0.00506 ** Output:regressor 1.12180 0.15954 7.031 6.87e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6015 on 149 degrees of freedom Output:Multiple R-squared: 0.2491, Adjusted R-squared: 0.2441 Output:F-statistic: 49.44 on 1 and 149 DF, p-value: 6.869e-11 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 17.886 17.8857 49.441 6.869e-11 *** Output:Residuals 149 53.902 0.3618 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.09475131 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003774365 0.005923696 Output:regressor 0.005923696 0.025453113 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.17482 0.18197 -0.9607 0.3383 Output:regressor 1.12180 0.43619 2.5718 0.0111 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.0926 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.89176 -0.31374 0.04583 0.56309 1.03305 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.75976 0.09646 -7.876 6.48e-13 *** Output:regressor 1.04912 0.25973 4.039 8.56e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.659 on 149 degrees of freedom Output:Multiple R-squared: 0.09869, Adjusted R-squared: 0.09264 Output:F-statistic: 16.32 on 1 and 149 DF, p-value: 8.558e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 7.085 7.0848 16.315 8.558e-05 *** Output:Residuals 149 64.703 0.4342 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.04291334 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009304529 -0.02082518 Output:regressor -0.020825182 0.06746101 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.75976 0.40493 -1.8763 0.06257 . Output:regressor 1.04912 0.75487 1.3898 0.16667 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.0376 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.7760 -0.3572 0.1224 0.4931 1.1025 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.53905 0.06782 -7.948 4.32e-13 *** Output:regressor 0.96362 0.36777 2.620 0.0097 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6787 on 149 degrees of freedom Output:Multiple R-squared: 0.04405, Adjusted R-squared: 0.03763 Output:F-statistic: 6.865 on 1 and 149 DF, p-value: 0.009698 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.162 3.16206 6.8655 0.009698 ** Output:Residuals 149 68.626 0.46057 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.02270215 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004599872 -0.01447759 Output:regressor -0.014477587 0.13525123 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.53905 0.35813 -1.5052 0.1344 Output:regressor 0.96362 1.77446 0.5430 0.5879 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.0242 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.7678 -0.3047 0.1015 0.4055 1.2045 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.36087 0.06545 -5.513 1.51e-07 *** Output:regressor 0.29007 0.13346 2.173 0.0313 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6834 on 149 degrees of freedom Output:Multiple R-squared: 0.03073, Adjusted R-squared: 0.02423 Output:F-statistic: 4.724 on 1 and 149 DF, p-value: 0.03132 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.206 2.20608 4.7241 0.03132 * Output:Residuals 149 69.582 0.46699 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.1747937 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004284334 0.004607083 Output:regressor 0.004607083 0.017811085 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.36087 0.53054 -0.6802 0.4974 Output:regressor 0.29007 0.63136 0.4594 0.6466 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.0161 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.74888 -0.41156 0.04868 0.51763 1.39946 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.48307 0.06135 -7.874 6.58e-13 *** Output:regressor -0.15721 0.08468 -1.857 0.0653 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6862 on 149 degrees of freedom Output:Multiple R-squared: 0.02261, Adjusted R-squared: 0.01605 Output:F-statistic: 3.447 on 1 and 149 DF, p-value: 0.06535 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.623 1.6231 3.4468 0.06535 . Output:Residuals 149 70.164 0.4709 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4785839 Output:[1] 0.437795 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003764103 0.002151529 Output:regressor 0.002151529 0.007170821 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.48307 0.57052 -0.8467 0.3985 Output:regressor -0.15721 0.52290 -0.3007 0.7641 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for RO
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| RO | RO | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.021e-16 -3.478e-18 1.643e-18 8.523e-18 2.028e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 3.092e-18 0.000e+00 1 Output:regressor 1.000e+00 4.267e-18 2.343e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.458e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.492e+34 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 65.669 65.669 5.4917e+34 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.437795 Output:[1] 0.437795 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.558399e-36 5.463500e-36 Output:regressor 5.463500e-36 1.820927e-35 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0000e+00 2.3944e-18 0.0000e+00 1 Output:regressor 1.0000e+00 4.9447e-18 2.0224e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.1606 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.59777 -0.29769 0.01653 0.43058 1.18168 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.10187 0.08874 1.148 0.253 Output:regressor -1.30193 0.23894 -5.449 2.05e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6062 on 149 degrees of freedom Output:Multiple R-squared: 0.1661, Adjusted R-squared: 0.1606 Output:F-statistic: 29.69 on 1 and 149 DF, p-value: 2.051e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 10.911 10.9109 29.689 2.051e-07 *** Output:Residuals 149 54.758 0.3675 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.437795 Output:[1] 0.04291334 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007874482 -0.01762448 Output:regressor -0.017624483 0.05709268 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.10187 0.67625 0.1506 0.8805 Output:regressor -1.30193 2.10325 -0.6190 0.5369 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.1231 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.7643 -0.3052 0.0829 0.4046 1.1096 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.26280 0.05104 -5.149 8.18e-07 *** Output:regressor 0.61601 0.13118 4.696 5.97e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6196 on 149 degrees of freedom Output:Multiple R-squared: 0.1289, Adjusted R-squared: 0.1231 Output:F-statistic: 22.05 on 1 and 149 DF, p-value: 5.971e-06 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 8.466 8.4662 22.052 5.971e-06 *** Output:Residuals 149 57.203 0.3839 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.437795 Output:[1] 0.148738 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002605374 0.001040382 Output:regressor 0.001040382 0.017207592 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.26280 0.53227 -0.4937 0.6222 Output:regressor 0.61601 1.13403 0.5432 0.5878 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.0671 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.08871 -0.06978 0.14564 0.42064 0.77573 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.18920 0.06121 -3.091 0.002383 ** Output:regressor 0.42852 0.12481 3.433 0.000772 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6391 on 149 degrees of freedom Output:Multiple R-squared: 0.07332, Adjusted R-squared: 0.0671 Output:F-statistic: 11.79 on 1 and 149 DF, p-value: 0.0007719 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 4.815 4.8147 11.789 0.0007719 *** Output:Residuals 149 60.855 0.4084 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.437795 Output:[1] 0.1747937 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003746994 0.004029263 Output:regressor 0.004029263 0.015577221 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.18920 0.58460 -0.3236 0.7467 Output:regressor 0.42852 0.51669 0.8294 0.4082 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.0161 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.8829 -0.2095 0.1297 0.4079 1.0225 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.36273 0.06319 -5.740 5.12e-08 *** Output:regressor -0.14382 0.07746 -1.857 0.0653 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6563 on 149 degrees of freedom Output:Multiple R-squared: 0.02261, Adjusted R-squared: 0.01605 Output:F-statistic: 3.447 on 1 and 149 DF, p-value: 0.06535 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.485 1.48478 3.4468 0.06535 . Output:Residuals 149 64.184 0.43077 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.437795 Output:[1] 0.4785839 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003992926 0.002615648 Output:regressor 0.002615648 0.006000596 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.36273 1.15712 -0.3135 0.7544 Output:regressor -0.14382 0.85702 -0.1678 0.8670 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.0018 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.8738 -0.2006 0.1152 0.4704 0.9472 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.25675 0.06606 -3.886 0.000153 *** Output:regressor -0.40443 0.35823 -1.129 0.260718 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6611 on 149 degrees of freedom Output:Multiple R-squared: 0.008482, Adjusted R-squared: 0.001827 Output:F-statistic: 1.275 on 1 and 149 DF, p-value: 0.2607 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.557 0.55700 1.2746 0.2607 Output:Residuals 149 65.112 0.43699 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.437795 Output:[1] 0.02270215 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004364382 -0.01373641 Output:regressor -0.013736409 0.12832706 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.25675 0.21854 -1.1748 0.2419 Output:regressor -0.40443 3.40031 -0.1189 0.9055 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | -0.0008 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.87496 -0.18788 0.09115 0.46583 0.96236 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.33831 0.06761 -5.004 1.57e-06 *** Output:regressor -0.16445 0.17558 -0.937 0.35 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6619 on 149 degrees of freedom Output:Multiple R-squared: 0.005853, Adjusted R-squared: -0.0008191 Output:F-statistic: 0.8772 on 1 and 149 DF, p-value: 0.3505 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.384 0.38436 0.8772 0.3505 Output:Residuals 149 65.285 0.43815 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.437795 Output:[1] 0.09475131 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004571438 0.007174668 Output:regressor 0.007174668 0.030828325 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.33831 0.73871 -0.4580 0.6476 Output:regressor -0.16445 1.32393 -0.1242 0.9013 Output: Output:[1] "-------------------------------------------------------------------------------------------" |