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Sentiment Data per Topic: US
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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:-3.310e-17 -2.400e-19 2.210e-19 5.960e-19 3.302e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 9.035e-18 9.476e-19 9.535e+00 <2e-16 *** Output:regressor 1.000e+00 2.275e-17 4.396e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.829e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.932e+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 0.015461 0.015461 1.9321e+33 < 2.2e-16 *** Output:Residuals 149 0.000000 0.000000 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] 0.0001030754 Output:[1] 0.0001030754 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.978852e-37 -2.091131e-35 Output:regressor -2.091131e-35 5.175613e-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 7.9459e-19 1.137e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 2.4649e-17 4.057e+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 | RO | 0.4492 | +- 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:-0.0177115 -0.0053699 -0.0005784 0.0044955 0.0237599 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.023714 0.001623 14.61 <2e-16 *** Output:regressor 0.972654 0.087588 11.11 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007535 on 149 degrees of freedom Output:Multiple R-squared: 0.4528, Adjusted R-squared: 0.4492 Output:F-statistic: 123.3 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 0.0070016 0.0070016 123.32 < 2.2e-16 *** Output:Residuals 149 0.0084597 0.0000568 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] 0.0001030754 Output:[1] 4.933908e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.634717e-06 -0.0001316356 Output:regressor -1.316356e-04 0.0076715813 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) 0.0237139 0.0016762 14.1477 < 2.2e-16 *** Output:regressor 0.9726543 0.1065415 9.1293 4.547e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.2770 | +- 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:-0.016371 -0.006009 -0.001581 0.005166 0.023405 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.015252 0.003364 4.534 1.18e-05 *** Output:regressor 0.282527 0.036952 7.646 2.37e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.008633 on 149 degrees of freedom Output:Multiple R-squared: 0.2818, Adjusted R-squared: 0.277 Output:F-statistic: 58.46 on 1 and 149 DF, p-value: 2.365e-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 0.0043567 0.0043567 58.457 2.365e-12 *** Output:Residuals 149 0.0111046 0.0000745 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] 0.0001030754 Output:[1] 0.0003638665 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0000113155 -0.0001215612 Output:regressor -0.0001215612 0.0013654790 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) 0.0152517 0.0041931 3.6373 0.000379 *** Output:regressor 0.2825272 0.0461187 6.1261 7.653e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.1978 | +- 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:-0.018107 -0.006915 -0.001336 0.005866 0.027393 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.028121 0.002126 13.226 < 2e-16 *** Output:regressor 0.135927 0.022058 6.162 6.38e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.009094 on 149 degrees of freedom Output:Multiple R-squared: 0.2031, Adjusted R-squared: 0.1978 Output:F-statistic: 37.97 on 1 and 149 DF, p-value: 6.378e-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 0.0031402 0.00314020 37.975 6.378e-09 *** Output:Residuals 149 0.0123211 0.00008269 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] 0.0001030754 Output:[1] 0.001133058 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.520522e-06 -4.396566e-05 Output:regressor -4.396566e-05 4.865419e-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) 0.0281207 0.0025388 11.0763 < 2.2e-16 *** Output:regressor 0.1359273 0.0337248 4.0305 8.849e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.0083 | +- 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:-0.015210 -0.007903 -0.001399 0.007226 0.029283 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.036286 0.002861 12.682 <2e-16 *** Output:regressor 0.697238 0.464045 1.503 0.135 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01011 on 149 degrees of freedom Output:Multiple R-squared: 0.01493, Adjusted R-squared: 0.008314 Output:F-statistic: 2.258 on 1 and 149 DF, p-value: 0.1351 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 0.0002308 0.00023077 2.2576 0.1351 Output:Residuals 149 0.0152305 0.00010222 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001030754 Output:[1] 3.164594e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.186369e-06 -0.001271637 Output:regressor -1.271637e-03 0.215337551 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) 0.0362861 0.0041514 8.7408 4.48e-15 *** Output:regressor 0.6972378 0.5371905 1.2979 0.1963 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.0029 | +- 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:-0.016144 -0.008082 -0.001545 0.007564 0.028941 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.038305 0.001932 19.825 <2e-16 *** Output:regressor 0.553310 0.460785 1.201 0.232 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01014 on 149 degrees of freedom Output:Multiple R-squared: 0.009585, Adjusted R-squared: 0.002937 Output:F-statistic: 1.442 on 1 and 149 DF, p-value: 0.2317 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 0.0001482 0.00014819 1.4419 0.2317 Output:Residuals 149 0.0153131 0.00010277 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001030754 Output:[1] 3.22693e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.733447e-06 -0.0008051 Output:regressor -8.051000e-04 0.2123227 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) 0.0383055 0.0027034 14.169 <2e-16 *** Output:regressor 0.5533097 0.6610531 0.837 0.4039 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | -0.0021 | +- 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:-0.015863 -0.008086 -0.001871 0.007498 0.029152 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.042030 0.002139 19.645 <2e-16 *** Output:regressor -0.043776 0.053123 -0.824 0.411 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01016 on 149 degrees of freedom Output:Multiple R-squared: 0.004537, Adjusted R-squared: -0.002144 Output:F-statistic: 0.6791 on 1 and 149 DF, p-value: 0.4112 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 0.0000701 7.0146e-05 0.6791 0.4112 Output:Residuals 149 0.0153912 1.0330e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001030754 Output:[1] 0.0002440242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.577409e-06 -0.0001048192 Output:regressor -1.048192e-04 0.0028220255 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) 0.042029 0.003532 11.8997 <2e-16 *** Output:regressor -0.043776 0.068158 -0.6423 0.5217 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:-5.288e-18 -5.690e-19 -2.260e-19 8.400e-20 3.200e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.807e-17 1.126e-18 1.605e+01 <2e-16 *** Output:regressor 1.000e+00 1.237e-17 8.084e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.89e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 6.535e+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 0.05458 0.05458 6.5353e+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] 0.0003638665 Output:[1] 0.0003638665 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.268016e-36 -1.362217e-35 Output:regressor -1.362217e-35 1.530158e-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) 1.8070e-17 1.3192e-18 1.3698e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.2966e-17 7.7123e+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 | 0.2770 | +- 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:-0.032859 -0.009357 -0.001921 0.007295 0.067780 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.048728 0.005433 8.969 1.18e-15 *** Output:regressor 0.997350 0.130446 7.646 2.37e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01622 on 149 degrees of freedom Output:Multiple R-squared: 0.2818, Adjusted R-squared: 0.277 Output:F-statistic: 58.46 on 1 and 149 DF, p-value: 2.365e-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 0.015379 0.0153795 58.457 2.365e-12 *** Output:Residuals 149 0.039201 0.0002631 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] 0.0003638665 Output:[1] 0.0001030754 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.952014e-05 -0.0006875096 Output:regressor -6.875096e-04 0.0170160747 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) 0.0487281 0.0062062 7.8515 7.454e-13 *** Output:regressor 0.9973496 0.1903841 5.2386 5.428e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.1965 | +- 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:-0.031939 -0.011119 -0.001754 0.006582 0.071157 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.068091 0.003683 18.486 < 2e-16 *** Output:regressor 1.219986 0.198762 6.138 7.21e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0171 on 149 degrees of freedom Output:Multiple R-squared: 0.2018, Adjusted R-squared: 0.1965 Output:F-statistic: 37.67 on 1 and 149 DF, p-value: 7.212e-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 0.011015 0.0110152 37.674 7.212e-09 *** Output:Residuals 149 0.043565 0.0002924 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] 0.0003638665 Output:[1] 4.933908e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.356801e-05 -0.0006778837 Output:regressor -6.778837e-04 0.0395063485 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) 0.0680910 0.0048105 14.1547 < 2.2e-16 *** Output:regressor 1.2199864 0.3235859 3.7702 0.0002346 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 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:-0.030030 -0.011539 -0.004002 0.007455 0.075761 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.071894 0.004217 17.048 < 2e-16 *** Output:regressor 0.189572 0.043750 4.333 2.69e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01804 on 149 degrees of freedom Output:Multiple R-squared: 0.1119, Adjusted R-squared: 0.1059 Output:F-statistic: 18.78 on 1 and 149 DF, p-value: 2.691e-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 0.006108 0.0061079 18.775 2.691e-05 *** Output:Residuals 149 0.048472 0.0003253 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] 0.0003638665 Output:[1] 0.001133058 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.778405e-05 -0.000172964 Output:regressor -1.729640e-04 0.001914090 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) 0.0718942 0.0068415 10.5085 < 2e-16 *** Output:regressor 0.1895716 0.0839094 2.2592 0.02532 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.0380 | +- 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:-0.033327 -0.012267 -0.004333 0.005653 0.070584 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.080540 0.003566 22.586 <2e-16 *** Output:regressor 2.237587 0.850395 2.631 0.0094 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01871 on 149 degrees of freedom Output:Multiple R-squared: 0.0444, Adjusted R-squared: 0.03799 Output:F-statistic: 6.923 on 1 and 149 DF, p-value: 0.009402 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 0.002423 0.00242349 6.9234 0.009402 ** Output:Residuals 149 0.052156 0.00035004 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] 0.0003638665 Output:[1] 3.22693e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.271612e-05 -0.002742171 Output:regressor -2.742171e-03 0.723171460 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) 0.0805399 0.0053271 15.1190 < 2e-16 *** Output:regressor 2.2375868 1.0080399 2.2197 0.02795 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 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:-0.029034 -0.011303 -0.004497 0.006058 0.081089 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.085073 0.004014 21.196 <2e-16 *** Output:regressor 0.106377 0.099657 1.067 0.288 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01907 on 149 degrees of freedom Output:Multiple R-squared: 0.007589, Adjusted R-squared: 0.0009286 Output:F-statistic: 1.139 on 1 and 149 DF, p-value: 0.2875 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 0.000414 0.00041421 1.1394 0.2875 Output:Residuals 149 0.054166 0.00036353 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0003638665 Output:[1] 0.0002440242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.610917e-05 -0.0003688879 Output:regressor -3.688879e-04 0.0099314914 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) 0.0850734 0.0088296 9.6350 <2e-16 *** Output:regressor 0.1063773 0.1719587 0.6186 0.5371 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | -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:-0.032058 -0.011140 -0.004575 0.007134 0.080948 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.087663 0.005415 16.189 <2e-16 *** Output:regressor 0.230652 0.878251 0.263 0.793 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01913 on 149 degrees of freedom Output:Multiple R-squared: 0.0004627, Adjusted R-squared: -0.006246 Output:F-statistic: 0.06897 on 1 and 149 DF, p-value: 0.7932 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 0.000025 0.00002525 0.069 0.7932 Output:Residuals 149 0.054555 0.00036614 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0003638665 Output:[1] 3.164594e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.000029323 -0.004554915 Output:regressor -0.004554915 0.771323960 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) 0.0876625 0.0099774 8.7861 3.436e-15 *** Output:regressor 0.2306518 1.3175592 0.1751 0.8613 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:-9.754e-19 -5.038e-20 -4.460e-21 6.790e-20 3.484e-19 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 4.346e-20 0.000e+00 1 Output:regressor 1.000e+00 7.049e-18 1.419e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.536e-19 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.013e+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 0.00047469 0.00047469 2.0126e+34 < 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] 3.164594e-06 Output:[1] 3.164594e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.888886e-39 -2.934119e-37 Output:regressor -2.934119e-37 4.968602e-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 6.7140e-20 0.0000e+00 1 Output:regressor 1.0000e+00 1.0866e-17 9.2031e+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] "-------------------------------------------------------------------------------------------" | |
| ES | IT | 0.1979 | +- 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:-0.0033511 -0.0010062 -0.0000544 0.0007821 0.0058168 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0039982 0.0003354 11.922 < 2e-16 *** Output:regressor 0.0513450 0.0083272 6.166 6.26e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001593 on 149 degrees of freedom Output:Multiple R-squared: 0.2033, Adjusted R-squared: 0.1979 Output:F-statistic: 38.02 on 1 and 149 DF, p-value: 6.265e-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 0.00009650 9.6498e-05 38.019 6.265e-09 *** Output:Residuals 149 0.00037819 2.5380e-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] 3.164594e-06 Output:[1] 0.0002440242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.124758e-07 -2.575612e-06 Output:regressor -2.575612e-06 6.934265e-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) 0.00399820 0.00049076 8.1469 1.392e-13 *** Output:regressor 0.05134498 0.01228334 4.1801 4.950e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.1103 | +- 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:-0.0030635 -0.0011164 -0.0001308 0.0008078 0.0053792 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0042771 0.0003923 10.902 < 2e-16 *** Output:regressor 0.0180188 0.0040701 4.427 1.84e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001678 on 149 degrees of freedom Output:Multiple R-squared: 0.1162, Adjusted R-squared: 0.1103 Output:F-statistic: 19.6 on 1 and 149 DF, p-value: 1.836e-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 0.00005518 5.5182e-05 19.599 1.836e-05 *** Output:Residuals 149 0.00041951 2.8150e-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] 3.164594e-06 Output:[1] 0.001133058 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.539140e-07 -1.496936e-06 Output:regressor -1.496936e-06 1.656570e-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) 0.00427707 0.00067659 6.3215 2.847e-09 *** Output:regressor 0.01801884 0.00780203 2.3095 0.02229 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.0355 | +- 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:-0.0029997 -0.0012956 -0.0001671 0.0009499 0.0057426 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0050160 0.0003764 13.328 <2e-16 *** Output:regressor 0.0518289 0.0203086 2.552 0.0117 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001747 on 149 degrees of freedom Output:Multiple R-squared: 0.04188, Adjusted R-squared: 0.03545 Output:F-statistic: 6.513 on 1 and 149 DF, p-value: 0.01172 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 0.00001988 1.9881e-05 6.5131 0.01172 * Output:Residuals 149 0.00045481 3.0524e-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] 3.164594e-06 Output:[1] 4.933908e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.416476e-07 -7.076987e-06 Output:regressor -7.076987e-06 4.124393e-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) 0.00501600 0.00053479 9.3794 <2e-16 *** Output:regressor 0.05182895 0.03678003 1.4092 0.1609 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.0332 | +- 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:-0.0033590 -0.0012569 -0.0001220 0.0007581 0.0057955 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0051581 0.0003334 15.472 <2e-16 *** Output:regressor 0.1970630 0.0795055 2.479 0.0143 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001749 on 149 degrees of freedom Output:Multiple R-squared: 0.0396, Adjusted R-squared: 0.03315 Output:F-statistic: 6.143 on 1 and 149 DF, p-value: 0.0143 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 0.00001880 1.8797e-05 6.1435 0.0143 * Output:Residuals 149 0.00045589 3.0597e-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] 3.164594e-06 Output:[1] 3.22693e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.111497e-07 -2.396891e-05 Output:regressor -2.396891e-05 6.321132e-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) 0.00515808 0.00041683 12.3747 < 2.2e-16 *** Output:regressor 0.19706304 0.07435854 2.6502 0.008914 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | 0.0083 | +- 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:-0.0031062 -0.0013052 -0.0002868 0.0008693 0.0057950 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0050404 0.0005934 8.494 1.89e-14 *** Output:regressor 0.0214064 0.0142470 1.503 0.135 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001772 on 149 degrees of freedom Output:Multiple R-squared: 0.01493, Adjusted R-squared: 0.008314 Output:F-statistic: 2.258 on 1 and 149 DF, p-value: 0.1351 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 7.080e-06 7.0849e-06 2.2576 0.1351 Output:Residuals 149 4.676e-04 3.1383e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.164594e-06 Output:[1] 0.0001030754 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.521316e-07 -8.200972e-06 Output:regressor -8.200972e-06 2.029766e-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) 0.00504043 0.00076969 6.5487 8.838e-10 *** Output:regressor 0.02140642 0.02108215 1.0154 0.3116 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | DE | -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:-0.0032529 -0.0013068 -0.0002326 0.0008357 0.0060031 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0057267 0.0006953 8.236 8.36e-14 *** Output:regressor 0.0020060 0.0076383 0.263 0.793 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001784 on 149 degrees of freedom Output:Multiple R-squared: 0.0004627, Adjusted R-squared: -0.006246 Output:F-statistic: 0.06897 on 1 and 149 DF, p-value: 0.7932 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 0.00000022 2.1960e-07 0.069 0.7932 Output:Residuals 149 0.00047447 3.1844e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.164594e-06 Output:[1] 0.0003638665 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.834786e-07 -5.193960e-06 Output:regressor -5.193960e-06 5.834299e-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) 0.0057267 0.0013197 4.3393 2.624e-05 *** Output:regressor 0.0020060 0.0124073 0.1617 0.8718 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:-1.355e-18 -1.895e-19 -1.022e-19 2.300e-21 1.331e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.259e-18 2.130e-19 1.060e+01 <2e-16 *** Output:regressor 1.000e+00 5.080e-17 1.969e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.118e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.875e+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 0.00048404 0.00048404 3.8754e+32 < 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] 3.22693e-06 Output:[1] 3.22693e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.537264e-38 -9.784393e-36 Output:regressor -9.784393e-36 2.580362e-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) 2.2587e-18 4.2914e-19 5.2634e+00 4.846e-07 *** Output:regressor 1.0000e+00 9.1826e-17 1.0890e+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 | IT | 0.0429 | +- 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:-0.0031887 -0.0011875 -0.0001672 0.0009301 0.0050226 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.002844 0.000370 7.687 1.88e-12 *** Output:regressor 0.025522 0.009186 2.778 0.00617 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001757 on 149 degrees of freedom Output:Multiple R-squared: 0.04926, Adjusted R-squared: 0.04288 Output:F-statistic: 7.72 on 1 and 149 DF, p-value: 0.006166 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 2.384e-05 2.3843e-05 7.7196 0.006166 ** Output:Residuals 149 4.602e-04 3.0886e-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] 3.22693e-06 Output:[1] 0.0002440242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.368649e-07 -3.134102e-06 Output:regressor -3.134102e-06 8.437878e-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) 0.00284390 0.00050289 5.6551 7.715e-08 *** Output:regressor 0.02552204 0.01337679 1.9079 0.05832 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.0380 | +- 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:-0.0035589 -0.0011317 -0.0001807 0.0010850 0.0052027 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0020253 0.0006865 2.950 0.00369 ** Output:regressor 0.0198439 0.0075417 2.631 0.00940 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001762 on 149 degrees of freedom Output:Multiple R-squared: 0.0444, Adjusted R-squared: 0.03799 Output:F-statistic: 6.923 on 1 and 149 DF, p-value: 0.009402 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 0.00002149 2.1493e-05 6.9234 0.009402 ** Output:Residuals 149 0.00046255 3.1043e-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] 3.22693e-06 Output:[1] 0.0003638665 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.713297e-07 -5.063446e-06 Output:regressor -5.063446e-06 5.687694e-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) 0.00202527 0.00081797 2.4760 0.01441 * Output:regressor 0.01984392 0.00849722 2.3353 0.02086 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.0332 | +- 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:-0.0037192 -0.0012646 -0.0002342 0.0011151 0.0051583 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0026052 0.0004999 5.212 6.13e-07 *** Output:regressor 0.2009448 0.0810716 2.479 0.0143 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001766 on 149 degrees of freedom Output:Multiple R-squared: 0.0396, Adjusted R-squared: 0.03315 Output:F-statistic: 6.143 on 1 and 149 DF, p-value: 0.0143 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 0.00001917 1.9167e-05 6.1435 0.0143 * Output:Residuals 149 0.00046487 3.1199e-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] 3.22693e-06 Output:[1] 3.164594e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.498674e-07 -3.881338e-05 Output:regressor -3.881338e-05 6.572612e-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) 0.00260523 0.00059043 4.4124 1.95e-05 *** Output:regressor 0.20094477 0.09245984 2.1733 0.03134 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 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:-0.0036383 -0.0011664 -0.0001794 0.0010092 0.0053892 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0030890 0.0003833 8.060 2.29e-13 *** Output:regressor 0.0409628 0.0206806 1.981 0.0495 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001779 on 149 degrees of freedom Output:Multiple R-squared: 0.02566, Adjusted R-squared: 0.01912 Output:F-statistic: 3.923 on 1 and 149 DF, p-value: 0.04946 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 0.00001242 1.2418e-05 3.9233 0.04946 * Output:Residuals 149 0.00047162 3.1652e-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] 3.22693e-06 Output:[1] 4.933908e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.468838e-07 -7.338597e-06 Output:regressor -7.338597e-06 4.276857e-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) 0.00308899 0.00057107 5.4092 2.469e-07 *** Output:regressor 0.04096281 0.02692686 1.5213 0.1303 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.0029 | +- 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:-0.0038002 -0.0011687 -0.0001939 0.0009506 0.0054821 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0030920 0.0006008 5.146 8.27e-07 *** Output:regressor 0.0173222 0.0144256 1.201 0.232 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001794 on 149 degrees of freedom Output:Multiple R-squared: 0.009585, Adjusted R-squared: 0.002937 Output:F-statistic: 1.442 on 1 and 149 DF, p-value: 0.2317 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 4.640e-06 4.6393e-06 1.4419 0.2317 Output:Residuals 149 4.794e-04 3.2175e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.22693e-06 Output:[1] 0.0001030754 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.610146e-07 -8.407854e-06 Output:regressor -8.407854e-06 2.080970e-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) 0.00309199 0.00082741 3.7369 0.0002648 *** Output:regressor 0.01732220 0.01798691 0.9630 0.3370854 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | 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:-0.0038127 -0.0011870 -0.0001537 0.0009751 0.0052685 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0038389 0.0004214 9.110 5.1e-16 *** Output:regressor -0.0005199 0.0043717 -0.119 0.905 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001802 on 149 degrees of freedom Output:Multiple R-squared: 9.492e-05, Adjusted R-squared: -0.006616 Output:F-statistic: 0.01415 on 1 and 149 DF, p-value: 0.9055 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 0.00000005 4.5900e-08 0.0141 0.9055 Output:Residuals 149 0.00048399 3.2483e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.22693e-06 Output:[1] 0.001133058 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.775736e-07 -1.727044e-06 Output:regressor -1.727044e-06 1.911217e-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) 0.00383885 0.00094591 4.0584 7.95e-05 *** Output:regressor -0.00051994 0.00871677 -0.0596 0.9525 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:-4.425e-18 -2.554e-18 -1.091e-18 2.235e-18 3.300e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 9.139e-19 0.000e+00 1 Output:regressor 1.000e+00 9.482e-18 1.055e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.909e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.112e+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 0.16996 0.16996 1.1123e+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] 0.001133058 Output:[1] 0.001133058 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.353032e-37 -8.123985e-36 Output:regressor -8.123985e-36 8.990334e-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 1.3930e-18 0.0000e+00 1 Output:regressor 1.0000e+00 1.2924e-17 7.7377e+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] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.2603 | +- 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:-0.075264 -0.022415 0.002251 0.024514 0.063153 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.048012 0.006236 7.699 1.76e-12 *** Output:regressor 2.468175 0.336512 7.335 1.32e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02895 on 149 degrees of freedom Output:Multiple R-squared: 0.2653, Adjusted R-squared: 0.2603 Output:F-statistic: 53.8 on 1 and 149 DF, p-value: 1.323e-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 0.045085 0.045085 53.796 1.323e-11 *** Output:Residuals 149 0.124873 0.000838 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] 0.001133058 Output:[1] 4.933908e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.889113e-05 -0.001943076 Output:regressor -1.943076e-03 0.113240400 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) 0.048012 0.011315 4.2431 3.857e-05 *** Output:regressor 2.468175 0.385411 6.4040 1.866e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.1978 | +- 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:-0.097883 -0.025324 0.007428 0.023013 0.061674 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.02999 0.01010 2.970 0.00347 ** Output:regressor 1.49418 0.24247 6.162 6.38e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03015 on 149 degrees of freedom Output:Multiple R-squared: 0.2031, Adjusted R-squared: 0.1978 Output:F-statistic: 37.97 on 1 and 149 DF, p-value: 6.378e-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 0.034519 0.034519 37.975 6.378e-09 *** Output:Residuals 149 0.135440 0.000909 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] 0.001133058 Output:[1] 0.0001030754 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001019937 -0.002375384 Output:regressor -0.0023753840 0.058791491 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) 0.029993 0.016564 1.8107 0.07219 . Output:regressor 1.494183 0.298147 5.0116 1.511e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.1103 | +- 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:-0.077139 -0.030961 0.008211 0.024099 0.053501 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.052265 0.008985 5.817 3.53e-08 *** Output:regressor 6.451504 1.457266 4.427 1.84e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03175 on 149 degrees of freedom Output:Multiple R-squared: 0.1162, Adjusted R-squared: 0.1103 Output:F-statistic: 19.6 on 1 and 149 DF, p-value: 1.836e-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 0.019757 0.0197575 19.599 1.836e-05 *** Output:Residuals 149 0.150201 0.0010081 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] 0.001133058 Output:[1] 3.164594e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.073268e-05 -0.01254069 Output:regressor -1.254069e-02 2.12362499 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) 0.052265 0.018515 2.8229 0.005410 ** Output:regressor 6.451504 2.330194 2.7687 0.006344 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 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:-0.080720 -0.031494 0.009363 0.023945 0.058379 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.03781 0.01240 3.049 0.00272 ** Output:regressor 0.59031 0.13624 4.333 2.69e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03183 on 149 degrees of freedom Output:Multiple R-squared: 0.1119, Adjusted R-squared: 0.1059 Output:F-statistic: 18.78 on 1 and 149 DF, p-value: 2.691e-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 0.01902 0.019020 18.775 2.691e-05 *** Output:Residuals 149 0.15094 0.001013 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] 0.001133058 Output:[1] 0.0003638665 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001538051 -0.001652312 Output:regressor -0.0016523124 0.018560181 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) 0.037811 0.020856 1.8130 0.071844 . Output:regressor 0.590314 0.182444 3.2356 0.001496 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.0394 | +- 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:-0.07323 -0.03281 0.01367 0.02652 0.04932 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.073228 0.006945 10.544 <2e-16 *** Output:regressor 0.461343 0.172436 2.675 0.0083 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03299 on 149 degrees of freedom Output:Multiple R-squared: 0.04584, Adjusted R-squared: 0.03943 Output:F-statistic: 7.158 on 1 and 149 DF, p-value: 0.008298 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 0.007791 0.0077906 7.158 0.008298 ** Output:Residuals 149 0.162168 0.0010884 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] 0.001133058 Output:[1] 0.0002440242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.822959e-05 -0.001104421 Output:regressor -1.104421e-03 0.029734101 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) 0.073228 0.011774 6.2197 4.776e-09 *** Output:regressor 0.461343 0.267423 1.7251 0.08657 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | -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:-0.09067 -0.03720 0.01408 0.02599 0.05273 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.091056 0.006437 14.146 <2e-16 *** Output:regressor -0.182566 1.535032 -0.119 0.905 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03377 on 149 degrees of freedom Output:Multiple R-squared: 9.492e-05, Adjusted R-squared: -0.006616 Output:F-statistic: 0.01415 on 1 and 149 DF, p-value: 0.9055 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 0.000016 0.00001613 0.0141 0.9055 Output:Residuals 149 0.169942 0.00114055 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.001133058 Output:[1] 3.22693e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0000414332 -0.008934871 Output:regressor -0.0089348710 2.356323739 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) 0.091056 0.013974 6.5159 1.047e-09 *** Output:regressor -0.182566 3.467074 -0.0527 0.9581 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:-2.778e-17 -4.150e-19 2.380e-20 4.745e-19 6.253e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -9.035e-18 5.395e-19 -1.675e+01 <2e-16 *** Output:regressor 1.000e+00 1.339e-17 7.466e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.563e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.574e+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 0.036604 0.036604 5.5735e+33 < 2.2e-16 *** Output:Residuals 149 0.000000 0.000000 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] 0.0002440242 Output:[1] 0.0002440242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.910248e-37 -6.664250e-36 Output:regressor -6.664250e-36 1.794202e-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 1.2833e-18 -7.0403e+00 6.55e-11 *** Output:regressor 1.0000e+00 3.0146e-17 3.3172e+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 | ES | 0.1979 | +- 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:-0.039280 -0.004699 0.001066 0.007306 0.043200 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.013763 0.003959 3.476 0.000667 *** Output:regressor 3.959249 0.642118 6.166 6.26e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01399 on 149 degrees of freedom Output:Multiple R-squared: 0.2033, Adjusted R-squared: 0.1979 Output:F-statistic: 38.02 on 1 and 149 DF, p-value: 6.265e-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 0.0074411 0.0074411 38.019 6.265e-09 *** Output:Residuals 149 0.0291626 0.0001957 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] 0.0002440242 Output:[1] 3.164594e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.567479e-05 -0.002434858 Output:regressor -2.434858e-03 0.412316018 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) 0.0137626 0.0094666 1.4538 0.14810 Output:regressor 3.9592494 1.5502536 2.5539 0.01166 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.0429 | +- 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:-0.038341 -0.008058 0.000646 0.007720 0.045044 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.029825 0.002913 10.239 < 2e-16 *** Output:regressor 1.930006 0.694640 2.778 0.00617 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01528 on 149 degrees of freedom Output:Multiple R-squared: 0.04926, Adjusted R-squared: 0.04288 Output:F-statistic: 7.72 on 1 and 149 DF, p-value: 0.006166 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 0.001803 0.00180301 7.7196 0.006166 ** Output:Residuals 149 0.034801 0.00023356 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] 0.0002440242 Output:[1] 3.22693e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.484639e-06 -0.001829672 Output:regressor -1.829672e-03 0.482525083 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) 0.029825 0.007627 3.9104 0.0001395 *** Output:regressor 1.930006 1.434794 1.3451 0.1806220 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.0394 | +- 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:-0.033294 -0.008083 -0.000258 0.007628 0.043025 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.02816 0.00358 7.868 6.79e-13 *** Output:regressor 0.09936 0.03714 2.675 0.0083 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01531 on 149 degrees of freedom Output:Multiple R-squared: 0.04584, Adjusted R-squared: 0.03943 Output:F-statistic: 7.158 on 1 and 149 DF, p-value: 0.008298 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 0.001678 0.0016779 7.158 0.008298 ** Output:Residuals 149 0.034926 0.0002344 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] 0.0002440242 Output:[1] 0.001133058 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.281401e-05 -0.0001246264 Output:regressor -1.246264e-04 0.0013791661 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) 0.028165 0.008777 3.2089 0.001631 ** Output:regressor 0.099359 0.083569 1.1889 0.236355 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 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:-0.036610 -0.006970 0.000907 0.006451 0.046256 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.030792 0.006084 5.061 1.21e-06 *** Output:regressor 0.071341 0.066834 1.067 0.288 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01561 on 149 degrees of freedom Output:Multiple R-squared: 0.007589, Adjusted R-squared: 0.0009286 Output:F-statistic: 1.139 on 1 and 149 DF, p-value: 0.2875 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 0.000278 0.00027779 1.1394 0.2875 Output:Residuals 149 0.036326 0.00024380 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0002440242 Output:[1] 0.0003638665 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.701559e-05 -0.0003976546 Output:regressor -3.976546e-04 0.0044667955 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) 0.030792 0.013438 2.2915 0.02334 * Output:regressor 0.071341 0.132528 0.5383 0.59117 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | -0.0021 | +- 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:-0.038297 -0.007034 0.000903 0.006228 0.049058 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.041331 0.005238 7.890 5.99e-13 *** Output:regressor -0.103637 0.125765 -0.824 0.411 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01564 on 149 degrees of freedom Output:Multiple R-squared: 0.004537, Adjusted R-squared: -0.002144 Output:F-statistic: 0.6791 on 1 and 149 DF, p-value: 0.4112 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 0.000166 0.00016607 0.6791 0.4112 Output:Residuals 149 0.036438 0.00024455 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0002440242 Output:[1] 0.0001030754 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.743948e-05 -0.0006390521 Output:regressor -6.390521e-04 0.0158167371 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) 0.0413306 0.0064638 6.3941 1.964e-09 *** Output:regressor -0.1036375 0.1312547 -0.7896 0.431 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | -0.0052 | +- 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:-0.036890 -0.006237 0.001102 0.006658 0.047604 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.035670 0.003374 10.573 <2e-16 *** Output:regressor 0.085834 0.182056 0.471 0.638 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01566 on 149 degrees of freedom Output:Multiple R-squared: 0.00149, Adjusted R-squared: -0.005212 Output:F-statistic: 0.2223 on 1 and 149 DF, p-value: 0.638 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 0.000055 5.4526e-05 0.2223 0.638 Output:Residuals 149 0.036549 2.4530e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0002440242 Output:[1] 4.933908e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.138301e-05 -0.0005687173 Output:regressor -5.687173e-04 0.0331442442 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) 0.0356704 0.0073589 4.8473 3.113e-06 *** Output:regressor 0.0858339 0.3124973 0.2747 0.7839 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:-1.487e-17 -6.500e-20 8.740e-20 2.216e-19 2.125e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 2.761e-19 0.000e+00 1 Output:regressor 1.000e+00 1.490e-17 6.711e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.282e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.504e+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 0.0074009 0.0074009 4.5036e+33 < 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] 4.933908e-05 Output:[1] 4.933908e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 7.625819e-38 -3.810006e-36 Output:regressor -3.810006e-36 2.220431e-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) 0.0000e+00 2.4995e-19 0.0000e+00 1 Output:regressor 1.0000e+00 9.8453e-18 1.0157e+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 | 0.4492 | +- 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:-0.0125935 -0.0035912 -0.0004664 0.0039205 0.0125479 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.001652 0.001746 -0.946 0.346 Output:regressor 0.465580 0.041926 11.105 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005213 on 149 degrees of freedom Output:Multiple R-squared: 0.4528, Adjusted R-squared: 0.4492 Output:F-statistic: 123.3 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 0.0033515 0.0033515 123.32 < 2.2e-16 *** Output:Residuals 149 0.0040494 0.0000272 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] 4.933908e-05 Output:[1] 0.0001030754 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.049413e-06 -7.101934e-05 Output:regressor -7.101934e-05 1.757751e-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) -0.0016522 0.0020111 -0.8216 0.4126 Output:regressor 0.4655804 0.0547087 8.5102 1.717e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.2603 | +- 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:-0.0119587 -0.0040445 -0.0009179 0.0035937 0.0166038 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.007447 0.001412 5.272 4.65e-07 *** Output:regressor 0.107477 0.014653 7.335 1.32e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006041 on 149 degrees of freedom Output:Multiple R-squared: 0.2653, Adjusted R-squared: 0.2603 Output:F-statistic: 53.8 on 1 and 149 DF, p-value: 1.323e-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 0.0019632 0.00196324 53.796 1.323e-11 *** Output:Residuals 149 0.0054376 0.00003649 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] 4.933908e-05 Output:[1] 0.001133058 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.995023e-06 -1.940318e-05 Output:regressor -1.940318e-05 2.147235e-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) 0.0074469 0.0016645 4.4739 1.515e-05 *** Output:regressor 0.1074769 0.0225708 4.7618 4.506e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.1965 | +- 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:-0.012909 -0.004311 -0.001142 0.004086 0.017286 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.002432 0.002453 0.991 0.323 Output:regressor 0.165426 0.026951 6.138 7.21e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006296 on 149 degrees of freedom Output:Multiple R-squared: 0.2018, Adjusted R-squared: 0.1965 Output:F-statistic: 37.67 on 1 and 149 DF, p-value: 7.212e-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 0.0014936 0.00149362 37.674 7.212e-09 *** Output:Residuals 149 0.0059072 0.00003965 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] 4.933908e-05 Output:[1] 0.0003638665 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.019404e-06 -6.466583e-05 Output:regressor -6.466583e-05 7.263817e-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) 0.0024319 0.0034656 0.7017 0.484 Output:regressor 0.1654261 0.0403065 4.1042 6.658e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.0355 | +- 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:-0.011792 -0.005250 -0.001618 0.003619 0.020102 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.012387 0.001952 6.345 2.53e-09 *** Output:regressor 0.808063 0.316631 2.552 0.0117 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006899 on 149 degrees of freedom Output:Multiple R-squared: 0.04188, Adjusted R-squared: 0.03545 Output:F-statistic: 6.513 on 1 and 149 DF, p-value: 0.01172 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 0.0003100 0.00030996 6.5131 0.01172 * Output:Residuals 149 0.0070909 0.00004759 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] 4.933908e-05 Output:[1] 3.164594e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.811341e-06 -0.0005920382 Output:regressor -5.920382e-04 0.1002550423 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) 0.0123870 0.0029704 4.1702 5.146e-05 *** Output:regressor 0.8080635 0.3950813 2.0453 0.04258 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 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:-0.0115255 -0.0056055 -0.0008254 0.0039484 0.0197127 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.014784 0.001326 11.150 <2e-16 *** Output:regressor 0.626313 0.316201 1.981 0.0495 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006957 on 149 degrees of freedom Output:Multiple R-squared: 0.02566, Adjusted R-squared: 0.01912 Output:F-statistic: 3.923 on 1 and 149 DF, p-value: 0.04946 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 0.0001899 1.8987e-04 3.9233 0.04946 * Output:Residuals 149 0.0072110 4.8396e-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] 4.933908e-05 Output:[1] 3.22693e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.758091e-06 -0.0003791239 Output:regressor -3.791239e-04 0.0999833743 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) 0.0147840 0.0015925 9.2835 <2e-16 *** Output:regressor 0.6263127 0.3807868 1.6448 0.1021 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | -0.0052 | +- 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:-0.011818 -0.005599 -0.001350 0.004530 0.020059 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.016514 0.001482 11.140 <2e-16 *** Output:regressor 0.017355 0.036810 0.471 0.638 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007042 on 149 degrees of freedom Output:Multiple R-squared: 0.00149, Adjusted R-squared: -0.005212 Output:F-statistic: 0.2223 on 1 and 149 DF, p-value: 0.638 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 0.0000110 1.1024e-05 0.2223 0.638 Output:Residuals 149 0.0073898 4.9596e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.933908e-05 Output:[1] 0.0002440242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.197775e-06 -0.0000503274 Output:regressor -5.032740e-05 0.0013549539 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) 0.0165142 0.0028426 5.8095 3.66e-08 *** Output:regressor 0.0173547 0.0553241 0.3137 0.7542 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:-2.979e-17 -3.480e-18 -1.630e-18 1.096e-18 2.184e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 8.629e-18 0.000e+00 1 Output:regressor 1.000e+00 1.698e-17 5.889e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.915e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.468e+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 1.2716 1.2716 3.468e+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 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] 0.008477249 Output:[1] 0.008477249 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 7.446336e-35 -1.441236e-34 Output:regressor -1.441236e-34 2.883541e-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) 0.0000e+00 1.2707e-17 0.0000e+00 1 Output:regressor 1.0000e+00 2.7777e-17 3.6001e+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] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.0954 | +- 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:-0.258402 -0.055932 -0.002064 0.052825 0.219545 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.41763 0.02126 19.640 < 2e-16 *** Output:regressor 0.12485 0.03044 4.102 6.72e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08757 on 149 degrees of freedom Output:Multiple R-squared: 0.1015, Adjusted R-squared: 0.09543 Output:F-statistic: 16.82 on 1 and 149 DF, p-value: 6.721e-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 0.12902 0.129016 16.825 6.721e-05 *** Output:Residuals 149 1.14257 0.007668 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] 0.008477249 Output:[1] 0.05518344 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004521919 -0.0006098062 Output:regressor -0.0006098062 0.0009263965 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) 0.417634 0.026212 15.9332 < 2.2e-16 *** Output:regressor 0.124845 0.032601 3.8295 0.0001886 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.0564 | +- 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:-0.227848 -0.062886 0.005047 0.061319 0.246688 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.45293 0.01654 27.381 < 2e-16 *** Output:regressor 1.07311 0.34000 3.156 0.00193 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08944 on 149 degrees of freedom Output:Multiple R-squared: 0.06267, Adjusted R-squared: 0.05638 Output:F-statistic: 9.962 on 1 and 149 DF, p-value: 0.001934 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 0.07969 0.079688 9.9618 0.001934 ** Output:Residuals 149 1.19190 0.007999 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] 0.008477249 Output:[1] 0.0004613264 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002736293 -0.005050478 Output:regressor -0.0050504784 0.115598946 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) 0.452931 0.023775 19.0506 < 2e-16 *** Output:regressor 1.073115 0.419741 2.5566 0.01157 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.0394 | +- 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:-0.258002 -0.063910 -0.001485 0.056536 0.286277 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.33906 0.06055 5.599 1.01e-07 *** Output:regressor 0.23653 0.08844 2.674 0.00832 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09024 on 149 degrees of freedom Output:Multiple R-squared: 0.0458, Adjusted R-squared: 0.0394 Output:F-statistic: 7.153 on 1 and 149 DF, p-value: 0.008322 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 0.05824 0.058245 7.1525 0.008322 ** Output:Residuals 149 1.21334 0.008143 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] 0.008477249 Output:[1] 0.006940324 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003666877 -0.005316110 Output:regressor -0.005316110 0.007822152 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) 0.339061 0.086761 3.908 0.0001408 *** Output:regressor 0.236533 0.118328 1.999 0.0474305 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.0202 | +- 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:-0.24505 -0.05769 -0.00474 0.05495 0.25101 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.40506 0.04744 8.539 1.45e-14 *** Output:regressor 0.15168 0.07500 2.022 0.0449 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09114 on 149 degrees of freedom Output:Multiple R-squared: 0.02672, Adjusted R-squared: 0.02018 Output:F-statistic: 4.09 on 1 and 149 DF, p-value: 0.04492 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 0.03397 0.033973 4.0901 0.04492 * Output:Residuals 149 1.23761 0.008306 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] 0.008477249 Output:[1] 0.009844094 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002250278 -0.003514067 Output:regressor -0.003514067 0.005625123 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) 0.405058 0.072252 5.6062 9.746e-08 *** Output:regressor 0.151682 0.104539 1.4510 0.1489 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | -0.0003 | +- 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:-0.248895 -0.061818 -0.001251 0.060577 0.229449 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.52068 0.02266 22.983 <2e-16 *** Output:regressor -0.04711 0.04826 -0.976 0.331 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09209 on 149 degrees of freedom Output:Multiple R-squared: 0.006353, Adjusted R-squared: -0.0003154 Output:F-statistic: 0.9527 on 1 and 149 DF, p-value: 0.3306 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 0.00808 0.0080789 0.9527 0.3306 Output:Residuals 149 1.26351 0.0084799 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.008477249 Output:[1] 0.02427074 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005132577 -0.001031844 Output:regressor -0.0010318442 0.002329258 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) 0.520683 0.031576 16.4900 <2e-16 *** Output:regressor -0.047107 0.059922 -0.7861 0.433 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | -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:-0.248942 -0.062396 0.001402 0.059442 0.238148 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.51399 0.02416 21.278 <2e-16 *** Output:regressor -0.02258 0.03658 -0.617 0.538 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09226 on 149 degrees of freedom Output:Multiple R-squared: 0.002552, Adjusted R-squared: -0.004142 Output:F-statistic: 0.3812 on 1 and 149 DF, p-value: 0.5379 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 0.00324 0.0032450 0.3812 0.5379 Output:Residuals 149 1.26834 0.0085124 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.008477249 Output:[1] 0.04241175 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005835129 -0.0008398451 Output:regressor -0.0008398451 0.0013380514 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) 0.513990 0.030418 16.8977 <2e-16 *** Output:regressor -0.022585 0.043885 -0.5146 0.6076 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: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.366e-17 -2.046e-18 -2.701e-19 2.114e-18 3.131e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 3.109e-18 0.000e+00 1 Output:regressor 1.000e+00 4.916e-18 2.034e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 5.973e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.138e+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 1.4766 1.4766 4.1383e+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] 0.009844094 Output:[1] 0.009844094 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.666889e-36 -1.509595e-35 Output:regressor -1.509595e-35 2.416476e-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 2.4079e-18 0.0000e+00 1 Output:regressor 1.0000e+00 3.7613e-18 2.6586e+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 | ES | 0.1952 | +- 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:-0.254217 -0.056607 0.006352 0.058088 0.258013 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.26224 0.05973 4.391 2.13e-05 *** Output:regressor 0.53333 0.08724 6.114 8.15e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08901 on 149 degrees of freedom Output:Multiple R-squared: 0.2005, Adjusted R-squared: 0.1952 Output:F-statistic: 37.38 on 1 and 149 DF, p-value: 8.148e-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 0.29612 0.296121 37.376 8.148e-09 *** Output:Residuals 149 1.18049 0.007923 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] 0.009844094 Output:[1] 0.006940324 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003567601 -0.005172184 Output:regressor -0.005172184 0.007610378 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) 0.262244 0.081142 3.2319 0.001514 ** Output:regressor 0.533334 0.126160 4.2274 4.105e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.1412 | +- 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:-0.24772 -0.05299 -0.01173 0.05205 0.23309 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.51658 0.02262 22.836 < 2e-16 *** Output:regressor 0.24408 0.04819 5.065 1.19e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09195 on 149 degrees of freedom Output:Multiple R-squared: 0.1469, Adjusted R-squared: 0.1412 Output:F-statistic: 25.65 on 1 and 149 DF, p-value: 1.191e-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 0.21689 0.216890 25.654 1.191e-06 *** Output:Residuals 149 1.25972 0.008455 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] 0.009844094 Output:[1] 0.02427074 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005117205 -0.001028754 Output:regressor -0.0010287537 0.002322282 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) 0.516584 0.027116 19.0512 < 2.2e-16 *** Output:regressor 0.244080 0.053766 4.5397 1.154e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.1221 | +- 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:-0.309228 -0.049167 -0.000739 0.058203 0.188431 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.73286 0.02434 30.110 < 2e-16 *** Output:regressor -0.17231 0.03686 -4.675 6.53e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09296 on 149 degrees of freedom Output:Multiple R-squared: 0.1279, Adjusted R-squared: 0.1221 Output:F-statistic: 21.86 on 1 and 149 DF, p-value: 6.527e-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 0.18889 0.188892 21.856 6.527e-06 *** Output:Residuals 149 1.28772 0.008642 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] 0.009844094 Output:[1] 0.04241175 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005924289 -0.0008526779 Output:regressor -0.0008526779 0.0013584966 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) 0.732864 0.043025 17.0334 < 2.2e-16 *** Output:regressor -0.172313 0.058152 -2.9631 0.003546 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.0720 | +- 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:-0.307968 -0.057593 -0.006304 0.059035 0.259733 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.54699 0.02321 23.566 < 2e-16 *** Output:regressor 0.11807 0.03322 3.554 0.000509 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09558 on 149 degrees of freedom Output:Multiple R-squared: 0.07815, Adjusted R-squared: 0.07196 Output:F-statistic: 12.63 on 1 and 149 DF, p-value: 0.0005087 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 0.11539 0.115392 12.631 0.0005087 *** Output:Residuals 149 1.36122 0.009136 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] 0.009844094 Output:[1] 0.05518344 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005387270 -0.0007265036 Output:regressor -0.0007265036 0.0011036791 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) 0.546989 0.031554 17.3349 < 2e-16 *** Output:regressor 0.118069 0.058295 2.0254 0.04461 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.0202 | +- 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:-0.266507 -0.056662 -0.001746 0.044485 0.234819 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.53667 0.04426 12.126 <2e-16 *** Output:regressor 0.17614 0.08709 2.022 0.0449 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09821 on 149 degrees of freedom Output:Multiple R-squared: 0.02672, Adjusted R-squared: 0.02018 Output:F-statistic: 4.09 on 1 and 149 DF, p-value: 0.04492 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 0.03945 0.039451 4.0901 0.04492 * Output:Residuals 149 1.43716 0.009645 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] 0.009844094 Output:[1] 0.008477249 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001958800 -0.003791252 Output:regressor -0.003791252 0.007585315 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) 0.536673 0.063553 8.4445 2.513e-14 *** Output:regressor 0.176139 0.144585 1.2182 0.2251 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | -0.0043 | +- 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:-0.289205 -0.058012 -0.005388 0.049756 0.235485 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.61483 0.01839 33.434 <2e-16 *** Output:regressor 0.22609 0.37798 0.598 0.551 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09943 on 149 degrees of freedom Output:Multiple R-squared: 0.002395, Adjusted R-squared: -0.0043 Output:F-statistic: 0.3578 on 1 and 149 DF, p-value: 0.5506 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 0.00354 0.0035372 0.3578 0.5506 Output:Residuals 149 1.47308 0.0098864 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.009844094 Output:[1] 0.0004613264 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003381804 -0.006241921 Output:regressor -0.0062419211 0.142869536 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) 0.614832 0.029347 20.9502 <2e-16 *** Output:regressor 0.226089 0.815895 0.2771 0.7821 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:-6.802e-17 -7.230e-18 -5.160e-18 -2.660e-18 8.606e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -5.782e-16 4.776e-17 -1.211e+01 <2e-16 *** Output:regressor 1.000e+00 6.976e-17 1.433e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.118e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.055e+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 1.0411 1.0411 2.0548e+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] 0.006940324 Output:[1] 0.006940324 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.281420e-33 -3.307523e-33 Output:regressor -3.307523e-33 4.866707e-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 1.3843e-17 -4.1771e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 2.7021e-17 3.7008e+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 | 0.1952 | +- 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:-0.169890 -0.045976 0.001587 0.054017 0.166657 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.4447 0.0389 11.432 < 2e-16 *** Output:regressor 0.3760 0.0615 6.114 8.15e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.07474 on 149 degrees of freedom Output:Multiple R-squared: 0.2005, Adjusted R-squared: 0.1952 Output:F-statistic: 37.38 on 1 and 149 DF, p-value: 8.148e-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 0.20877 0.208772 37.376 8.148e-09 *** Output:Residuals 149 0.83228 0.005586 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] 0.006940324 Output:[1] 0.009844094 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001513277 -0.002363155 Output:regressor -0.002363155 0.003782807 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) 0.444724 0.048714 9.1292 4.551e-16 *** Output:regressor 0.376013 0.075018 5.0123 1.506e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.1311 | +- 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:-0.216954 -0.053588 0.006022 0.052616 0.167218 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.59325 0.01886 31.459 < 2e-16 *** Output:regressor 0.13121 0.02699 4.861 2.93e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.07766 on 149 degrees of freedom Output:Multiple R-squared: 0.1369, Adjusted R-squared: 0.1311 Output:F-statistic: 23.63 on 1 and 149 DF, p-value: 2.932e-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 0.14250 0.142500 23.63 2.932e-06 *** Output:Residuals 149 0.89855 0.006031 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] 0.006940324 Output:[1] 0.05518344 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003556157 -0.0004795678 Output:regressor -0.0004795678 0.0007285428 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) 0.593254 0.018310 32.4002 < 2.2e-16 *** Output:regressor 0.131207 0.031522 4.1623 5.307e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | 0.0394 | +- 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:-0.241881 -0.052295 0.002382 0.052478 0.210355 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.58283 0.03680 15.840 < 2e-16 *** Output:regressor 0.19365 0.07241 2.674 0.00832 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08165 on 149 degrees of freedom Output:Multiple R-squared: 0.0458, Adjusted R-squared: 0.0394 Output:F-statistic: 7.153 on 1 and 149 DF, p-value: 0.008322 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 0.04768 0.047685 7.1525 0.008322 ** Output:Residuals 149 0.99336 0.006667 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] 0.006940324 Output:[1] 0.008477249 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001353918 -0.002620504 Output:regressor -0.002620504 0.005242951 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) 0.582833 0.054302 10.7332 < 2e-16 *** Output:regressor 0.193650 0.113029 1.7133 0.08874 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.0173 | +- 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:-0.202618 -0.054767 0.004662 0.057014 0.198034 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.64306 0.02032 31.650 <2e-16 *** Output:regressor 0.08253 0.04328 1.907 0.0585 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08259 on 149 degrees of freedom Output:Multiple R-squared: 0.02382, Adjusted R-squared: 0.01727 Output:F-statistic: 3.636 on 1 and 149 DF, p-value: 0.05848 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 0.0248 0.0247971 3.6357 0.05848 . Output:Residuals 149 1.0163 0.0068205 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] 0.006940324 Output:[1] 0.02427074 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004128179 -0.0008299217 Output:regressor -0.0008299217 0.0018734438 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) 0.643062 0.022388 28.7239 < 2e-16 *** Output:regressor 0.082530 0.044493 1.8549 0.06559 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.0070 | +- 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:-0.218967 -0.050629 0.002994 0.061855 0.184806 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.65982 0.01535 42.975 <2e-16 *** Output:regressor 0.45323 0.31558 1.436 0.153 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08302 on 149 degrees of freedom Output:Multiple R-squared: 0.01365, Adjusted R-squared: 0.007035 Output:F-statistic: 2.063 on 1 and 149 DF, p-value: 0.153 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 0.01421 0.0142149 2.0627 0.153 Output:Residuals 149 1.02683 0.0068915 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.006940324 Output:[1] 0.0004613264 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002357345 -0.004351039 Output:regressor -0.0043510386 0.099589670 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) 0.659821 0.019495 33.8461 <2e-16 *** Output:regressor 0.453234 0.485537 0.9335 0.3521 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | -0.0027 | +- 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:-0.204712 -0.058753 -0.000174 0.062272 0.195980 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.69570 0.02184 31.853 <2e-16 *** Output:regressor -0.02561 0.03307 -0.774 0.44 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08342 on 149 degrees of freedom Output:Multiple R-squared: 0.004009, Adjusted R-squared: -0.002675 Output:F-statistic: 0.5998 on 1 and 149 DF, p-value: 0.4399 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 0.00417 0.0041739 0.5998 0.4399 Output:Residuals 149 1.03687 0.0069589 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.006940324 Output:[1] 0.04241175 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004770240 -0.0006865766 Output:regressor -0.0006865766 0.0010938620 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) 0.695700 0.061910 11.2372 <2e-16 *** Output:regressor -0.025614 0.088005 -0.2911 0.7714 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:-1.672e-15 1.870e-18 8.010e-18 1.828e-17 7.746e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.337e-16 3.364e-17 -1.289e+01 <2e-16 *** Output:regressor 1.000e+00 4.815e-17 2.077e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.385e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.313e+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 8.2775 8.2775 4.3135e+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] 0.05518344 Output:[1] 0.05518344 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.131609e-33 -1.526039e-33 Output:regressor -1.526039e-33 2.318306e-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: Error:Warning message: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.3367e-16 1.9428e-17 -2.2322e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.6407e-17 6.0949e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.1311 | +- 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:-0.56500 -0.16535 0.00896 0.16653 0.43198 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.05076 0.14694 -0.345 0.73 Output:regressor 1.04325 0.21461 4.861 2.93e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.219 on 149 degrees of freedom Output:Multiple R-squared: 0.1369, Adjusted R-squared: 0.1311 Output:F-statistic: 23.63 on 1 and 149 DF, p-value: 2.932e-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 1.1330 1.13304 23.63 2.932e-06 *** Output:Residuals 149 7.1445 0.04795 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] 0.05518344 Output:[1] 0.006940324 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02159152 -0.03130264 Output:regressor -0.03130264 0.04605886 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) -0.050758 0.184491 -0.2751 0.7836 Output:regressor 1.043247 0.255405 4.0847 7.182e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.1037 | +- 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:-0.50084 -0.18100 -0.01317 0.19714 0.40086 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.49999 0.04113 12.156 < 2e-16 *** Output:regressor 3.62243 0.84543 4.285 3.27e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2224 on 149 degrees of freedom Output:Multiple R-squared: 0.1097, Adjusted R-squared: 0.1037 Output:F-statistic: 18.36 on 1 and 149 DF, p-value: 3.267e-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 0.9080 0.90803 18.359 3.267e-05 *** Output:Residuals 149 7.3695 0.04946 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] 0.05518344 Output:[1] 0.0004613264 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001691844 -0.0312270 Output:regressor -0.031226999 0.7147458 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) 0.49999 0.08517 5.8705 2.717e-08 *** Output:regressor 3.62243 1.48443 2.4403 0.01585 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.0954 | +- 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:-0.44771 -0.18092 -0.01119 0.20233 0.42221 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.2521 0.1007 2.503 0.0134 * Output:regressor 0.8127 0.1981 4.102 6.72e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2234 on 149 degrees of freedom Output:Multiple R-squared: 0.1015, Adjusted R-squared: 0.09543 Output:F-statistic: 16.82 on 1 and 149 DF, p-value: 6.721e-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 0.8398 0.83984 16.825 6.721e-05 *** Output:Residuals 149 7.4377 0.04992 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] 0.05518344 Output:[1] 0.008477249 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01013727 -0.01962066 Output:regressor -0.01962066 0.03925586 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) 0.25206 0.14946 1.6864 0.093806 . Output:regressor 0.81269 0.27400 2.9660 0.003515 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.0720 | +- 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:-0.56284 -0.17031 -0.00677 0.18815 0.45795 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.2448 0.1178 2.078 0.039412 * Output:regressor 0.6619 0.1862 3.554 0.000509 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2263 on 149 degrees of freedom Output:Multiple R-squared: 0.07815, Adjusted R-squared: 0.07196 Output:F-statistic: 12.63 on 1 and 149 DF, p-value: 0.0005087 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 0.6469 0.64686 12.631 0.0005087 *** Output:Residuals 149 7.6307 0.05121 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] 0.05518344 Output:[1] 0.009844094 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01387436 -0.02166641 Output:regressor -0.02166641 0.03468238 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) 0.24478 0.17056 1.4352 0.15333 Output:regressor 0.66187 0.26264 2.5201 0.01279 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | 0.0266 | +- 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:-0.5303 -0.1781 0.0109 0.2095 0.3833 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.78841 0.06068 12.992 <2e-16 *** Output:regressor -0.20736 0.09189 -2.257 0.0255 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2318 on 149 degrees of freedom Output:Multiple R-squared: 0.03305, Adjusted R-squared: 0.02656 Output:F-statistic: 5.092 on 1 and 149 DF, p-value: 0.02549 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 0.2735 0.273545 5.0923 0.02549 * Output:Residuals 149 8.0040 0.053718 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] 0.05518344 Output:[1] 0.04241175 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003682302 -0.005299906 Output:regressor -0.005299906 0.008443874 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) 0.788409 0.075498 10.4428 < 2e-16 *** Output:regressor -0.207360 0.111351 -1.8622 0.06454 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | -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:-0.54875 -0.17772 0.00263 0.19348 0.34347 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.660769 0.057986 11.395 <2e-16 *** Output:regressor -0.005673 0.123528 -0.046 0.963 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2357 on 149 degrees of freedom Output:Multiple R-squared: 1.415e-05, Adjusted R-squared: -0.006697 Output:F-statistic: 0.002109 on 1 and 149 DF, p-value: 0.9634 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 0.0001 0.000117 0.0021 0.9634 Output:Residuals 149 8.2774 0.055553 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05518344 Output:[1] 0.02427074 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003362414 -0.006759737 Output:regressor -0.006759737 0.015259256 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) 0.660769 0.057840 11.4242 <2e-16 *** Output:regressor -0.005673 0.159274 -0.0356 0.9716 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:-1.516e-16 -3.130e-19 7.930e-19 1.615e-18 1.066e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.614e-17 2.344e-18 1.542e+01 <2e-16 *** Output:regressor 1.000e+00 4.818e-17 2.076e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.267e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.308e+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 0.069199 0.069199 4.3079e+32 < 2.2e-16 *** Output:Residuals 149 0.000000 0.000000 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] 0.0004613264 Output:[1] 0.0004613264 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.494633e-36 -1.014165e-34 Output:regressor -1.014165e-34 2.321293e-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-17 8.6400e-19 4.1828e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 2.8940e-17 3.4554e+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 | 0.1037 | +- 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:-0.043293 -0.015679 -0.003703 0.013688 0.057194 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.023756 0.004938 4.811 3.64e-06 *** Output:regressor 0.030283 0.007068 4.285 3.27e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02033 on 149 degrees of freedom Output:Multiple R-squared: 0.1097, Adjusted R-squared: 0.1037 Output:F-statistic: 18.36 on 1 and 149 DF, p-value: 3.267e-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 0.007591 0.0075910 18.359 3.267e-05 *** Output:Residuals 149 0.061608 0.0004135 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] 0.0004613264 Output:[1] 0.05518344 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.438240e-05 -3.288104e-05 Output:regressor -3.288104e-05 4.995174e-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) 0.0237557 0.0078512 3.0258 0.002922 ** Output:regressor 0.0302830 0.0126609 2.3919 0.018010 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.0844 | +- 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:-0.063381 -0.014466 -0.003394 0.012836 0.056448 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.063381 0.005381 11.78 < 2e-16 *** Output:regressor -0.031373 0.008148 -3.85 0.000175 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02055 on 149 degrees of freedom Output:Multiple R-squared: 0.09049, Adjusted R-squared: 0.08438 Output:F-statistic: 14.82 on 1 and 149 DF, p-value: 0.0001747 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 0.006262 0.0062617 14.824 0.0001747 *** Output:Residuals 149 0.062937 0.0004224 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] 0.0004613264 Output:[1] 0.04241175 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.895487e-05 -4.167450e-05 Output:regressor -4.167450e-05 6.639631e-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) 0.0633814 0.0091316 6.9409 1.117e-10 *** Output:regressor -0.0313731 0.0138123 -2.2714 0.02456 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.0564 | +- 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:-0.03790 -0.01624 -0.00319 0.01390 0.06244 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.014501 0.009402 1.542 0.12512 Output:regressor 0.058398 0.018502 3.156 0.00193 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02086 on 149 degrees of freedom Output:Multiple R-squared: 0.06267, Adjusted R-squared: 0.05638 Output:F-statistic: 9.962 on 1 and 149 DF, p-value: 0.001934 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 0.004337 0.0043366 9.9618 0.001934 ** Output:Residuals 149 0.064862 0.0004353 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] 0.0004613264 Output:[1] 0.008477249 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.840503e-05 -0.0001711077 Output:regressor -1.711077e-04 0.0003423422 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) 0.014501 0.012213 1.1874 0.23698 Output:regressor 0.058398 0.023488 2.4863 0.01401 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.0147 | +- 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:-0.039892 -0.016289 -0.003026 0.012330 0.064891 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.052604 0.005245 10.029 <2e-16 *** Output:regressor -0.020122 0.011174 -1.801 0.0737 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02132 on 149 degrees of freedom Output:Multiple R-squared: 0.0213, Adjusted R-squared: 0.01473 Output:F-statistic: 3.243 on 1 and 149 DF, p-value: 0.07375 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 0.001474 0.00147407 3.2431 0.07375 . Output:Residuals 149 0.067725 0.00045453 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] 0.0004613264 Output:[1] 0.02427074 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.751095e-05 -5.530753e-05 Output:regressor -5.530753e-05 1.248498e-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) 0.0526036 0.0051424 10.2294 < 2e-16 *** Output:regressor -0.0201220 0.0118547 -1.6974 0.09171 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.0070 | +- 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:-0.042797 -0.016659 -0.003472 0.012993 0.059165 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.02321 0.01436 1.616 0.108 Output:regressor 0.03013 0.02098 1.436 0.153 Output: Output:Residual standard error: 0.0214 on 149 degrees of freedom Output:Multiple R-squared: 0.01365, Adjusted R-squared: 0.007035 Output:F-statistic: 2.063 on 1 and 149 DF, p-value: 0.153 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 0.000945 0.00094487 2.0627 0.153 Output:Residuals 149 0.068254 0.00045808 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0004613264 Output:[1] 0.006940324 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002062726 -0.0002990468 Output:regressor -0.0002990468 0.0004400189 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) 0.023215 0.024936 0.9310 0.3534 Output:regressor 0.030127 0.038534 0.7818 0.4356 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | -0.0043 | +- 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:-0.045597 -0.016324 -0.003836 0.013499 0.059815 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.03707 0.01120 3.309 0.00117 ** Output:regressor 0.01060 0.01771 0.598 0.55065 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02152 on 149 degrees of freedom Output:Multiple R-squared: 0.002395, Adjusted R-squared: -0.0043 Output:F-statistic: 0.3578 on 1 and 149 DF, p-value: 0.5506 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 0.000166 0.00016576 0.3578 0.5506 Output:Residuals 149 0.069033 0.00046331 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0004613264 Output:[1] 0.009844094 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001255188 -0.0001960120 Output:regressor -0.0001960120 0.0003137651 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) 0.037071 0.023417 1.583 0.1155 Output:regressor 0.010595 0.039834 0.266 0.7906 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:-9.797e-17 -9.020e-18 -2.300e-18 5.120e-18 8.531e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.614e-16 1.914e-17 1.888e+01 <2e-16 *** Output:regressor 1.000e+00 2.899e-17 3.449e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.312e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.19e+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 6.3618 6.3618 1.1898e+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] 0.04241175 Output:[1] 0.04241175 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.665142e-34 -5.275208e-34 Output:regressor -5.275208e-34 8.404524e-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-16 5.5288e-17 6.5366e+00 9.41e-10 *** Output:regressor 1.0000e+00 7.9603e-17 1.2562e+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 | 0.1221 | +- 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:-0.56229 -0.06093 0.03968 0.11298 0.35127 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.0914 0.1004 10.867 < 2e-16 *** Output:regressor -0.7424 0.1588 -4.675 6.53e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.193 on 149 degrees of freedom Output:Multiple R-squared: 0.1279, Adjusted R-squared: 0.1221 Output:F-statistic: 21.86 on 1 and 149 DF, p-value: 6.527e-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 0.8138 0.81381 21.856 6.527e-06 *** Output:Residuals 149 5.5480 0.03723 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] 0.04241175 Output:[1] 0.009844094 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01008750 -0.01575279 Output:regressor -0.01575279 0.02521619 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) 1.09144 0.30416 3.5884 0.0004507 *** Output:regressor -0.74238 0.52672 -1.4094 0.1607910 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.0844 | +- 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:-0.75368 -0.06415 0.03736 0.11386 0.37991 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.75368 0.03645 20.68 < 2e-16 *** Output:regressor -2.88427 0.74912 -3.85 0.000175 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1971 on 149 degrees of freedom Output:Multiple R-squared: 0.09049, Adjusted R-squared: 0.08438 Output:F-statistic: 14.82 on 1 and 149 DF, p-value: 0.0001747 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 0.5757 0.57567 14.824 0.0001747 *** Output:Residuals 149 5.7861 0.03883 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] 0.04241175 Output:[1] 0.0004613264 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001328338 -0.02451763 Output:regressor -0.024517627 0.56117691 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) 0.753676 0.066487 11.3356 <2e-16 *** Output:regressor -2.884271 2.110744 -1.3665 0.1738 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.0266 | +- 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:-0.65545 -0.03627 0.03882 0.12730 0.29614 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.73257 0.04934 14.847 <2e-16 *** Output:regressor -0.15937 0.07062 -2.257 0.0255 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2032 on 149 degrees of freedom Output:Multiple R-squared: 0.03305, Adjusted R-squared: 0.02656 Output:F-statistic: 5.092 on 1 and 149 DF, p-value: 0.02549 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 0.2102 0.210236 5.0923 0.02549 * Output:Residuals 149 6.1515 0.041285 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] 0.04241175 Output:[1] 0.05518344 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002434571 -0.003283156 Output:regressor -0.003283156 0.004987658 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) 0.732568 0.068448 10.7026 <2e-16 *** Output:regressor -0.159369 0.145285 -1.0969 0.2744 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.0125 | +- 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:-0.65259 -0.04229 0.04245 0.10939 0.28914 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.70853 0.05035 14.073 <2e-16 *** Output:regressor -0.18255 0.10726 -1.702 0.0908 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2047 on 149 degrees of freedom Output:Multiple R-squared: 0.01907, Adjusted R-squared: 0.01249 Output:F-statistic: 2.897 on 1 and 149 DF, p-value: 0.09085 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 0.1213 0.121320 2.8967 0.09085 . Output:Residuals 149 6.2404 0.041882 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] 0.04241175 Output:[1] 0.02427074 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002534969 -0.005096257 Output:regressor -0.005096257 0.011504158 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) 0.70853 0.05421 13.0700 <2e-16 *** Output:regressor -0.18255 0.17974 -1.0156 0.3115 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | -0.0027 | +- 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:-0.63348 -0.04889 0.04004 0.12509 0.28019 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.7340 0.1384 5.305 4.01e-07 *** Output:regressor -0.1565 0.2021 -0.774 0.44 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2062 on 149 degrees of freedom Output:Multiple R-squared: 0.004009, Adjusted R-squared: -0.002675 Output:F-statistic: 0.5998 on 1 and 149 DF, p-value: 0.4399 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 0.0255 0.025506 0.5998 0.4399 Output:Residuals 149 6.3363 0.042525 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.04241175 Output:[1] 0.006940324 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01914898 -0.02776152 Output:regressor -0.02776152 0.04084844 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) 0.73404 0.42871 1.7122 0.08894 . Output:regressor -0.15653 0.68794 -0.2275 0.82032 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | -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:-0.63887 -0.03807 0.04904 0.12034 0.27767 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.6841 0.0930 7.356 1.17e-11 *** Output:regressor -0.1130 0.1830 -0.617 0.538 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2064 on 149 degrees of freedom Output:Multiple R-squared: 0.002552, Adjusted R-squared: -0.004142 Output:F-statistic: 0.3812 on 1 and 149 DF, p-value: 0.5379 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 0.0162 0.016235 0.3812 0.5379 Output:Residuals 149 6.3455 0.042587 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.04241175 Output:[1] 0.008477249 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.008648719 -0.01673957 Output:regressor -0.016739569 0.03349155 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) 0.68414 0.12968 5.2757 4.58e-07 *** Output:regressor -0.11299 0.32335 -0.3494 0.7272 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:-1.233e-16 -1.506e-17 -7.340e-18 5.320e-18 1.338e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -3.614e-16 2.765e-17 -1.307e+01 <2e-16 *** Output:regressor 1.000e+00 5.890e-17 1.698e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.124e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.882e+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 3.6406 3.6406 2.8822e+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] 0.02427074 Output:[1] 0.02427074 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 7.645371e-34 -1.537012e-33 Output:regressor -1.537012e-33 3.469610e-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 4.2518e-17 -8.4998e+00 1.823e-14 *** Output:regressor 1.0000e+00 1.1479e-16 8.7116e+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] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.1412 | +- 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:-0.26970 -0.11036 -0.01898 0.09629 0.39982 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.06705 0.07515 0.892 0.374 Output:regressor 0.60178 0.11881 5.065 1.19e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1444 on 149 degrees of freedom Output:Multiple R-squared: 0.1469, Adjusted R-squared: 0.1412 Output:F-statistic: 25.65 on 1 and 149 DF, p-value: 1.191e-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 0.53474 0.53474 25.654 1.191e-06 *** Output:Residuals 149 3.10587 0.02084 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] 0.02427074 Output:[1] 0.009844094 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005647206 -0.008818759 Output:regressor -0.008818759 0.014116578 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) 0.067053 0.068486 0.9791 0.3291 Output:regressor 0.601783 0.107354 5.6056 9.776e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.0173 | +- 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:-0.31799 -0.11798 -0.04008 0.11631 0.43365 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.2468 0.1036 2.382 0.0185 * Output:regressor 0.2886 0.1514 1.907 0.0585 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1544 on 149 degrees of freedom Output:Multiple R-squared: 0.02382, Adjusted R-squared: 0.01727 Output:F-statistic: 3.636 on 1 and 149 DF, p-value: 0.05848 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 0.0867 0.086717 3.6357 0.05848 . Output:Residuals 149 3.5539 0.023852 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] 0.02427074 Output:[1] 0.006940324 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01074032 -0.01557094 Output:regressor -0.01557094 0.02291117 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) 0.246845 0.098436 2.5077 0.01322 * Output:regressor 0.288613 0.137854 2.0936 0.03799 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.0147 | +- 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:-0.29812 -0.11541 -0.02054 0.11606 0.40703 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.4892 0.0286 17.106 <2e-16 *** Output:regressor -1.0586 0.5878 -1.801 0.0737 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1546 on 149 degrees of freedom Output:Multiple R-squared: 0.0213, Adjusted R-squared: 0.01473 Output:F-statistic: 3.243 on 1 and 149 DF, p-value: 0.07375 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 0.0776 0.077552 3.2431 0.07375 . Output:Residuals 149 3.5631 0.023913 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] 0.02427074 Output:[1] 0.0004613264 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008179863 -0.01509788 Output:regressor -0.0150978766 0.34557095 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) 0.489244 0.033912 14.4268 <2e-16 *** Output:regressor -1.058635 0.750516 -1.4105 0.1605 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.0125 | +- 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:-0.30409 -0.12035 -0.02016 0.11201 0.44543 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.50856 0.04053 12.547 <2e-16 *** Output:regressor -0.10447 0.06138 -1.702 0.0908 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1548 on 149 degrees of freedom Output:Multiple R-squared: 0.01907, Adjusted R-squared: 0.01249 Output:F-statistic: 2.897 on 1 and 149 DF, p-value: 0.09085 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 0.0694 0.069427 2.8967 0.09085 . Output:Residuals 149 3.5712 0.023968 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] 0.02427074 Output:[1] 0.04241175 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001642957 -0.002364694 Output:regressor -0.002364694 0.003767458 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) 0.508562 0.040631 12.5166 <2e-16 *** Output:regressor -0.104466 0.064659 -1.6156 0.1083 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | -0.0003 | +- 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:-0.3206 -0.1222 -0.0266 0.1184 0.4337 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.51040 0.07022 7.269 1.9e-11 *** Output:regressor -0.13487 0.13818 -0.976 0.331 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1558 on 149 degrees of freedom Output:Multiple R-squared: 0.006353, Adjusted R-squared: -0.0003154 Output:F-statistic: 0.9527 on 1 and 149 DF, p-value: 0.3306 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 0.0231 0.023130 0.9527 0.3306 Output:Residuals 149 3.6175 0.024278 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02427074 Output:[1] 0.008477249 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004930492 -0.009542952 Output:regressor -0.009542952 0.019092980 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) 0.51040 0.07539 6.7702 2.768e-10 *** Output:regressor -0.13487 0.16098 -0.8378 0.4035 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | -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:-0.31157 -0.12467 -0.02074 0.11654 0.42762 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.444635 0.037958 11.714 <2e-16 *** Output:regressor -0.002495 0.054330 -0.046 0.963 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1563 on 149 degrees of freedom Output:Multiple R-squared: 1.415e-05, Adjusted R-squared: -0.006697 Output:F-statistic: 0.002109 on 1 and 149 DF, p-value: 0.9634 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 0.0001 0.0000515 0.0021 0.9634 Output:Residuals 149 3.6406 0.0244333 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02427074 Output:[1] 0.05518344 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001440813 -0.001943018 Output:regressor -0.001943018 0.002951765 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) 0.4446350 0.0475107 9.3586 <2e-16 *** Output:regressor -0.0024951 0.0668079 -0.0373 0.9703 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:-6.653e-16 -9.710e-17 -6.310e-17 -1.240e-17 9.727e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.337e-16 7.182e-17 6.038e+00 1.19e-08 *** Output:regressor 1.000e+00 5.892e-17 1.697e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 8.047e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.88e+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 Error:Warning message: Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 186.51 186.51 2.8804e+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: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] 1.243421 Output:[1] 1.243421 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.158641e-33 1.738343e-33 Output:regressor 1.738343e-33 3.471723e-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 8.1876e-17 5.2967e+00 4.157e-07 *** Output:regressor 1.0000e+00 3.7042e-17 2.6997e+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 | GB | 0.8610 | +- 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:-0.79825 -0.37734 0.03097 0.24346 0.90053 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.15411 0.04008 3.845 0.000178 *** Output:regressor 3.38406 0.11098 30.492 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4158 on 149 degrees of freedom Output:Multiple R-squared: 0.8619, Adjusted R-squared: 0.861 Output:F-statistic: 929.8 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 1 160.752 160.752 929.77 < 2.2e-16 *** Output:Residuals 149 25.761 0.173 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] 1.243421 Output:[1] 0.09358105 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001606186 0.002383364 Output:regressor 0.002383364 0.012316920 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) 0.15411 0.46562 0.3310 0.7411197 Output:regressor 3.38406 0.99780 3.3915 0.0008902 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.5770 | +- 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:-1.2208 -0.4826 -0.1830 0.6114 1.7666 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.96118 0.11781 8.159 1.3e-13 *** Output:regressor -0.42852 0.02989 -14.339 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7253 on 149 degrees of freedom Output:Multiple R-squared: 0.5798, Adjusted R-squared: 0.577 Output:F-statistic: 205.6 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 1 108.140 108.140 205.59 < 2.2e-16 *** Output:Residuals 149 78.373 0.526 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] 1.243421 Output:[1] 3.926013 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.013878443 -0.0030470643 Output:regressor -0.003047064 0.0008931754 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) 0.96118 1.48604 0.6468 0.51875 Output:regressor -0.42852 0.21633 -1.9809 0.04945 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.4977 | +- 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:-1.3400 -0.5774 -0.1523 0.7727 1.5110 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.79660 0.06872 -11.59 <2e-16 *** Output:regressor 0.30843 0.02522 12.23 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7903 on 149 degrees of freedom Output:Multiple R-squared: 0.501, Adjusted R-squared: 0.4977 Output:F-statistic: 149.6 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 93.444 93.444 149.6 < 2.2e-16 *** Output:Residuals 149 93.069 0.625 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] 1.243421 Output:[1] 6.548678 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0047217816 -0.0006100166 Output:regressor -0.0006100166 0.0006358765 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) -0.79660 5.11154 -0.1558 0.8764 Output:regressor 0.30843 0.61177 0.5042 0.6149 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.3145 | +- 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:-1.6166 -0.9439 0.0060 0.7457 1.9734 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.07168 0.09100 -0.788 0.432 Output:regressor -1.07782 0.12900 -8.355 4.21e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9233 on 149 degrees of freedom Output:Multiple R-squared: 0.319, Adjusted R-squared: 0.3145 Output:F-statistic: 69.81 on 1 and 149 DF, p-value: 4.206e-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 59.507 59.507 69.812 4.206e-14 *** Output:Residuals 149 127.006 0.852 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] 1.243421 Output:[1] 0.3414955 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.008281620 -0.006623802 Output:regressor -0.006623802 0.016640350 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) -0.071682 1.207500 -0.0594 0.9527 Output:regressor -1.077819 1.124121 -0.9588 0.3392 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.0005 | +- 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:-1.69013 -1.06255 0.07511 0.90062 1.91520 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.33623 0.18290 -1.838 0.068 . Output:regressor -0.06801 0.06566 -1.036 0.302 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.115 on 149 degrees of freedom Output:Multiple R-squared: 0.007148, Adjusted R-squared: 0.0004849 Output:F-statistic: 1.073 on 1 and 149 DF, p-value: 0.302 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 1.333 1.3333 1.0728 0.302 Output:Residuals 149 185.180 1.2428 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.243421 Output:[1] 1.921624 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03345092 -0.010427963 Output:regressor -0.01042796 0.004311696 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) -0.336229 3.699825 -0.0909 0.9277 Output:regressor -0.068011 1.716658 -0.0396 0.9685 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | -0.0011 | +- 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:-1.7013 -1.0779 0.2105 1.0671 1.6783 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.6721 0.2079 -3.232 0.00151 ** Output:regressor 0.1443 0.1575 0.916 0.36105 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.116 on 149 degrees of freedom Output:Multiple R-squared: 0.005602, Adjusted R-squared: -0.001072 Output:F-statistic: 0.8394 on 1 and 149 DF, p-value: 0.3611 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 1.045 1.0448 0.8394 0.3611 Output:Residuals 149 185.468 1.2448 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.243421 Output:[1] 0.3343722 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.04324047 -0.02947114 Output:regressor -0.02947114 0.02481774 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) -0.67211 2.17730 -0.3087 0.7580 Output:regressor 0.14433 1.93716 0.0745 0.9407 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:-2.109e-16 -2.380e-17 -1.051e-17 1.148e-17 2.219e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 1.013e-17 0.00e+00 1 Output:regressor 1.000e+00 3.636e-18 2.75e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 6.173e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 7.564e+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 1 288.24 288.24 7.5644e+34 < 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] 1.921624 Output:[1] 1.921624 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.025611e-34 -3.197231e-35 Output:regressor -3.197231e-35 1.321973e-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 1.4246e-17 0.0000e+00 1 Output:regressor 1.0000e+00 4.5369e-18 2.2041e+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 | ES | 0.8273 | +- 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:-1.0380 -0.4268 -0.0936 0.2980 1.4485 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.17257 0.10737 -1.607 0.11 Output:regressor 2.18197 0.08135 26.823 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5761 on 149 degrees of freedom Output:Multiple R-squared: 0.8284, Adjusted R-squared: 0.8273 Output:F-statistic: 719.5 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 1 238.792 238.792 719.48 < 2.2e-16 *** Output:Residuals 149 49.452 0.332 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] 1.921624 Output:[1] 0.3343722 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.011529331 -0.007857975 Output:regressor -0.007857975 0.006617226 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) -0.17257 0.44194 -0.3905 0.6967 Output:regressor 2.18197 0.43512 5.0146 1.491e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.4346 | +- 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:-1.4120 -0.9345 -0.1811 0.7808 2.3217 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.83824 0.16931 4.951 1.98e-06 *** Output:regressor 0.46323 0.04295 10.785 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.042 on 149 degrees of freedom Output:Multiple R-squared: 0.4384, Adjusted R-squared: 0.4346 Output:F-statistic: 116.3 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 1 126.36 126.365 116.31 < 2.2e-16 *** Output:Residuals 149 161.88 1.086 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] 1.921624 Output:[1] 3.926013 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.028665724 -0.006293668 Output:regressor -0.006293668 0.001844841 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) 0.83824 7.07255 0.1185 0.9058 Output:regressor 0.46323 1.09897 0.4215 0.6740 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.2918 | +- 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:-2.9327 -0.9711 0.4148 0.7674 1.9723 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.933 0.115 25.506 < 2e-16 *** Output:regressor -1.292 0.163 -7.926 4.9e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.167 on 149 degrees of freedom Output:Multiple R-squared: 0.2966, Adjusted R-squared: 0.2918 Output:F-statistic: 62.82 on 1 and 149 DF, p-value: 4.903e-13 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 85.481 85.481 62.816 4.903e-13 *** Output:Residuals 149 202.762 1.361 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] 1.921624 Output:[1] 0.3414955 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01322142 -0.01057475 Output:regressor -0.01057475 0.02656593 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) 2.9327 1.3378 2.1921 0.02992 * Output:regressor -1.2918 2.6087 -0.4952 0.62120 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.1491 | +- 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:-2.2141 -1.0963 0.2358 0.8163 2.0435 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.2141 0.1112 19.915 < 2e-16 *** Output:regressor 0.2131 0.0408 5.223 5.84e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.279 on 149 degrees of freedom Output:Multiple R-squared: 0.1547, Adjusted R-squared: 0.1491 Output:F-statistic: 27.28 on 1 and 149 DF, p-value: 5.836e-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 44.603 44.603 27.277 5.836e-07 *** Output:Residuals 149 243.641 1.635 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] 1.921624 Output:[1] 6.548678 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.012360955 -0.001596937 Output:regressor -0.001596937 0.001664635 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) 2.21411 2.69050 0.8229 0.4119 Output:regressor 0.21309 0.98123 0.2172 0.8284 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.0069 | +- 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:-2.5116 -1.0780 0.1161 1.2881 1.7674 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.3165 0.1331 17.398 <2e-16 *** Output:regressor -0.5270 0.3687 -1.429 0.155 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.381 on 149 degrees of freedom Output:Multiple R-squared: 0.01353, Adjusted R-squared: 0.006907 Output:F-statistic: 2.043 on 1 and 149 DF, p-value: 0.155 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 3.899 3.8992 2.0432 0.155 Output:Residuals 149 284.344 1.9084 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.921624 Output:[1] 0.09358105 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01772853 0.02630676 Output:regressor 0.02630676 0.13594997 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) 2.31654 19.85581 0.1167 0.9073 Output:regressor -0.52705 16.26056 -0.0324 0.9742 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.0005 | +- 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:-2.5355 -1.1773 0.1621 1.3043 1.7033 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.3659 0.1237 19.126 <2e-16 *** Output:regressor -0.1051 0.1015 -1.036 0.302 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.386 on 149 degrees of freedom Output:Multiple R-squared: 0.007148, Adjusted R-squared: 0.0004849 Output:F-statistic: 1.073 on 1 and 149 DF, p-value: 0.302 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 2.06 2.0604 1.0728 0.302 Output:Residuals 149 286.18 1.9207 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.921624 Output:[1] 1.243421 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.015301651 0.005156304 Output:regressor 0.005156304 0.010297886 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) 2.36590 4.97101 0.4759 0.6348 Output:regressor -0.10511 2.88364 -0.0364 0.9710 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:-4.261e-16 -3.749e-17 -2.304e-17 -2.820e-18 2.990e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 7.228e-16 4.727e-17 1.529e+01 <2e-16 *** Output:regressor 1.000e+00 3.581e-17 2.792e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.536e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 7.797e+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 50.156 50.156 7.7971e+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] 0.3343722 Output:[1] 0.3343722 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.234586e-33 -1.523013e-33 Output:regressor -1.523013e-33 1.282534e-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) 7.2279e-16 9.4269e-17 7.6673e+00 2.096e-12 *** Output:regressor 1.0000e+00 6.4499e-17 1.5504e+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 | 0.8273 | +- 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:-0.5478 -0.1505 0.0440 0.1417 0.5446 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.26925 0.03943 6.829 2.02e-10 *** Output:regressor 0.37967 0.01415 26.823 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2403 on 149 degrees of freedom Output:Multiple R-squared: 0.8284, Adjusted R-squared: 0.8273 Output:F-statistic: 719.5 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 41.551 41.551 719.48 < 2.2e-16 *** Output:Residuals 149 8.605 0.058 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] 0.3343722 Output:[1] 1.921624 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0015543881 -0.0004845637 Output:regressor -0.0004845637 0.0002003547 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) 0.26925 0.17456 1.5424 0.125089 Output:regressor 0.37967 0.14337 2.6481 0.008966 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.3576 | +- 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:-1.0571 -0.3003 0.1042 0.2430 0.9639 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.05709 0.04029 26.234 < 2e-16 *** Output:regressor 0.13594 0.01479 9.193 3.12e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4635 on 149 degrees of freedom Output:Multiple R-squared: 0.3619, Adjusted R-squared: 0.3576 Output:F-statistic: 84.51 on 1 and 149 DF, p-value: 3.118e-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 18.152 18.1521 84.511 3.118e-16 *** Output:Residuals 149 32.004 0.2148 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] 0.3343722 Output:[1] 6.548678 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0016236868 -0.0002097674 Output:regressor -0.0002097674 0.0002186599 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) 1.05709 1.06839 0.9894 0.3241 Output:regressor 0.13594 0.29460 0.4614 0.6452 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.2713 | +- 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:-0.7611 -0.3332 -0.1579 0.3076 1.1133 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.66431 0.08018 8.285 6.30e-14 *** Output:regressor 0.15336 0.02034 7.540 4.27e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4936 on 149 degrees of freedom Output:Multiple R-squared: 0.2762, Adjusted R-squared: 0.2713 Output:F-statistic: 56.84 on 1 and 149 DF, p-value: 4.271e-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 13.851 13.8506 56.844 4.271e-12 *** Output:Residuals 149 36.305 0.2437 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] 0.3343722 Output:[1] 3.926013 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006429005 -0.0014115122 Output:regressor -0.001411512 0.0004137517 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) 0.66431 1.01200 0.6564 0.5126 Output:regressor 0.15336 0.17402 0.8813 0.3796 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | 0.2049 | +- 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:-1.3681 -0.3422 0.1032 0.3778 0.8626 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.36809 0.05082 26.918 < 2e-16 *** Output:regressor -0.45367 0.07204 -6.297 3.22e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5156 on 149 degrees of freedom Output:Multiple R-squared: 0.2102, Adjusted R-squared: 0.2049 Output:F-statistic: 39.66 on 1 and 149 DF, p-value: 3.221e-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 10.543 10.5429 39.656 3.221e-09 *** Output:Residuals 149 39.613 0.2659 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] 0.3343722 Output:[1] 0.3414955 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.00258302 -0.00206595 Output:regressor -0.00206595 0.00519009 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) 1.36809 0.35636 3.8391 0.0001821 *** Output:regressor -0.45367 0.52988 -0.8562 0.3932791 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | -0.0011 | +- 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:-1.2766 -0.3292 0.1219 0.3534 1.0144 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.20694 0.05164 23.372 <2e-16 *** Output:regressor 0.03881 0.04236 0.916 0.361 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5786 on 149 degrees of freedom Output:Multiple R-squared: 0.005602, Adjusted R-squared: -0.001072 Output:F-statistic: 0.8394 on 1 and 149 DF, p-value: 0.3611 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 0.281 0.28097 0.8394 0.3611 Output:Residuals 149 49.875 0.33473 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.3343722 Output:[1] 1.243421 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0026667114 0.0008986203 Output:regressor 0.0008986203 0.0017946749 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) 1.206937 1.435724 0.8406 0.4019 Output:regressor 0.038813 0.902663 0.0430 0.9658 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | 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:-1.2685 -0.3518 0.1016 0.3544 1.0626 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.20313 0.05587 21.534 <2e-16 *** Output:regressor 0.08074 0.15471 0.522 0.603 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5797 on 149 degrees of freedom Output:Multiple R-squared: 0.001825, Adjusted R-squared: -0.004875 Output:F-statistic: 0.2724 on 1 and 149 DF, p-value: 0.6025 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 0.092 0.09152 0.2724 0.6025 Output:Residuals 149 50.064 0.33600 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.3343722 Output:[1] 0.09358105 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003121450 0.004631813 Output:regressor 0.004631813 0.023936616 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) 1.203127 1.150781 1.0455 0.2975 Output:regressor 0.080744 1.796553 0.0449 0.9642 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:-9.881e-15 -1.990e-17 5.690e-17 1.380e-16 6.895e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.337e-16 7.211e-17 -6.014e+00 1.34e-08 *** Output:regressor 1.000e+00 2.646e-17 3.779e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 8.293e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.428e+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 1 982.3 982.3 1.4281e+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] 6.548678 Output:[1] 6.548678 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.199473e-33 -6.717305e-34 Output:regressor -6.717305e-34 7.002067e-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) -4.3367e-16 7.4169e-17 -5.8471e+00 3.046e-08 *** Output:regressor 1.0000e+00 1.2121e-17 8.2500e+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 | CH | 0.4977 | +- 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:-3.3531 -1.4332 0.0811 1.2996 3.7047 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.7727 0.1619 10.95 <2e-16 *** Output:regressor 1.6244 0.1328 12.23 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.814 on 149 degrees of freedom Output:Multiple R-squared: 0.501, Adjusted R-squared: 0.4977 Output:F-statistic: 149.6 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 1 492.14 492.14 149.6 < 2.2e-16 *** Output:Residuals 149 490.16 3.29 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] 6.548678 Output:[1] 1.243421 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.026207981 0.008831486 Output:regressor 0.008831486 0.017637757 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) 1.7727 10.7694 0.1646 0.8695 Output:regressor 1.6244 3.8619 0.4206 0.6746 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.4905 | +- 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:-3.2625 -1.2483 -0.1252 0.8706 4.3137 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.0969 0.1761 11.91 <2e-16 *** Output:regressor 5.8789 0.4875 12.06 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.827 on 149 degrees of freedom Output:Multiple R-squared: 0.4939, Adjusted R-squared: 0.4905 Output:F-statistic: 145.4 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 1 485.14 485.14 145.4 < 2.2e-16 *** Output:Residuals 149 497.16 3.34 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] 6.548678 Output:[1] 0.09358105 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03099716 0.04599563 Output:regressor 0.04599563 0.23769951 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) 2.0969 15.0620 0.1392 0.8895 Output:regressor 5.8789 21.0739 0.2790 0.7807 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | 0.4063 | +- 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:-3.7814 -1.3064 0.1008 1.1177 4.4462 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.0759 0.1943 10.68 <2e-16 *** Output:regressor -2.8050 0.2755 -10.18 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.972 on 149 degrees of freedom Output:Multiple R-squared: 0.4103, Adjusted R-squared: 0.4063 Output:F-statistic: 103.7 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 1 403.04 403.04 103.67 < 2.2e-16 *** Output:Residuals 149 579.27 3.89 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] 6.548678 Output:[1] 0.3414955 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03777184 -0.03021066 Output:regressor -0.03021066 0.07589538 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) 2.0759 2.6100 0.7953 0.4277 Output:regressor -2.8050 2.2978 -1.2207 0.2241 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.3576 | +- 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:-4.6984 -1.3076 0.4677 1.4329 3.1508 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.2022 0.3823 -5.761 4.64e-08 *** Output:regressor 2.6623 0.2896 9.193 3.12e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.051 on 149 degrees of freedom Output:Multiple R-squared: 0.3619, Adjusted R-squared: 0.3576 Output:F-statistic: 84.51 on 1 and 149 DF, p-value: 3.118e-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 1 355.51 355.51 84.511 3.118e-16 *** Output:Residuals 149 626.79 4.21 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] 6.548678 Output:[1] 0.3343722 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.14613166 -0.09959806 Output:regressor -0.09959806 0.08387185 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) -2.2022 3.6421 -0.6047 0.5463 Output:regressor 2.6623 6.0912 0.4371 0.6627 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.1491 | +- 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:-4.8920 -1.0967 0.1506 1.3146 4.7571 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.7970 0.3873 -2.058 0.0413 * Output:regressor 0.7262 0.1390 5.223 5.84e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.361 on 149 degrees of freedom Output:Multiple R-squared: 0.1547, Adjusted R-squared: 0.1491 Output:F-statistic: 27.28 on 1 and 149 DF, p-value: 5.836e-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 1 152.0 152.001 27.277 5.836e-07 *** Output:Residuals 149 830.3 5.572 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] 6.548678 Output:[1] 1.921624 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.14998555 -0.04675638 Output:regressor -0.04675638 0.01933257 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) -0.79695 3.35335 -0.2377 0.8125 Output:regressor 0.72618 4.46257 0.1627 0.8710 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 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:-3.3988 -1.8315 -0.6317 1.3106 5.8221 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.9847 0.4056 4.893 2.55e-06 *** Output:regressor -0.3006 0.1029 -2.921 0.00403 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.497 on 149 degrees of freedom Output:Multiple R-squared: 0.05416, Adjusted R-squared: 0.04781 Output:F-statistic: 8.532 on 1 and 149 DF, p-value: 0.004033 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 53.2 53.200 8.5317 0.004033 ** Output:Residuals 149 929.1 6.236 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] 6.548678 Output:[1] 3.926013 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.16452727 -0.03612258 Output:regressor -0.03612258 0.01058849 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) 1.98470 12.80598 0.1550 0.8770 Output:regressor -0.30056 0.87105 -0.3451 0.7305 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:-1.917e-16 -1.451e-17 -9.030e-19 1.722e-17 8.737e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 2.557e-18 0.000e+00 1 Output:regressor 1.000e+00 7.081e-18 1.412e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.653e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.994e+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 14.037 14.037 1.9942e+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] 0.09358105 Output:[1] 0.09358105 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.539264e-36 9.703391e-36 Output:regressor 9.703391e-36 5.014588e-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 2.9267e-18 0.0000e+00 1 Output:regressor 1.0000e+00 1.0174e-17 9.8294e+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] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.8610 | +- 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:-0.229571 -0.083239 -0.005629 0.076792 0.234459 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.065977 0.010182 -6.48 1.26e-09 *** Output:regressor 0.254688 0.008353 30.49 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1141 on 149 degrees of freedom Output:Multiple R-squared: 0.8619, Adjusted R-squared: 0.861 Output:F-statistic: 929.8 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 12.0983 12.098 929.77 < 2.2e-16 *** Output:Residuals 149 1.9388 0.013 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] 0.09358105 Output:[1] 1.243421 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.036648e-04 3.493266e-05 Output:regressor 3.493266e-05 6.976559e-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) -0.065977 0.124288 -0.5308 0.59632 Output:regressor 0.254688 0.099555 2.5583 0.01152 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.5862 | +- 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:-0.30943 -0.16475 -0.04548 0.20541 0.37420 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.210705 0.031965 6.592 7.06e-10 *** Output:regressor -0.118484 0.008109 -14.611 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1968 on 149 degrees of freedom Output:Multiple R-squared: 0.589, Adjusted R-squared: 0.5862 Output:F-statistic: 213.5 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 8.2673 8.2673 213.49 < 2.2e-16 *** Output:Residuals 149 5.7699 0.0387 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] 0.09358105 Output:[1] 3.926013 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0010217398 -2.243268e-04 Output:regressor -0.0002243268 6.575614e-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) 0.21070 2.69797 0.0781 0.9379 Output:regressor -0.11848 0.46937 -0.2524 0.8011 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.4905 | +- 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:-0.32504 -0.15086 -0.08846 0.16351 0.46804 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.274097 0.018985 -14.44 <2e-16 *** Output:regressor 0.084010 0.006967 12.06 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2184 on 149 degrees of freedom Output:Multiple R-squared: 0.4939, Adjusted R-squared: 0.4905 Output:F-statistic: 145.4 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 6.9327 6.9327 145.4 < 2.2e-16 *** Output:Residuals 149 7.1044 0.0477 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] 0.09358105 Output:[1] 6.548678 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.604375e-04 -4.656565e-05 Output:regressor -4.656565e-05 4.853967e-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) -0.274097 0.671607 -0.4081 0.6838 Output:regressor 0.084010 0.060544 1.3876 0.1673 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.2948 | +- 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:-0.43931 -0.25644 0.07805 0.17803 0.47355 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.07947 0.02532 -3.138 0.00205 ** Output:regressor -0.28647 0.03589 -7.981 3.58e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2569 on 149 degrees of freedom Output:Multiple R-squared: 0.2995, Adjusted R-squared: 0.2948 Output:F-statistic: 63.7 on 1 and 149 DF, p-value: 3.581e-13 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 4.2038 4.2038 63.698 3.581e-13 *** Output:Residuals 149 9.8334 0.0660 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] 0.09358105 Output:[1] 0.3414955 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0006411997 -0.0005128441 Output:regressor -0.0005128441 0.0012883695 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) -0.079471 0.440468 -0.1804 0.8571 Output:regressor -0.286472 0.314811 -0.9100 0.3643 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.0069 | +- 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:-0.5191 -0.2331 -0.0798 0.2639 0.5456 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.13143 0.05001 -2.628 0.00949 ** Output:regressor -0.02567 0.01796 -1.429 0.15498 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3049 on 149 degrees of freedom Output:Multiple R-squared: 0.01353, Adjusted R-squared: 0.006907 Output:F-statistic: 2.043 on 1 and 149 DF, p-value: 0.155 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 0.1899 0.189887 2.0432 0.155 Output:Residuals 149 13.8473 0.092935 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09358105 Output:[1] 1.921624 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0025013716 -0.0007797756 Output:regressor -0.0007797756 0.0003224173 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) -0.131428 0.238222 -0.5517 0.5820 Output:regressor -0.025667 0.168549 -0.1523 0.8792 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | -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:-0.55654 -0.25563 -0.01217 0.22365 0.54484 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.22034 0.05715 -3.855 0.000172 *** Output:regressor 0.02260 0.04330 0.522 0.602520 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3067 on 149 degrees of freedom Output:Multiple R-squared: 0.001825, Adjusted R-squared: -0.004875 Output:F-statistic: 0.2724 on 1 and 149 DF, p-value: 0.6025 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 0.0256 0.025613 0.2724 0.6025 Output:Residuals 149 14.0115 0.094037 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09358105 Output:[1] 0.3343722 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003266679 -0.002226450 Output:regressor -0.002226450 0.001874901 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) -0.220338 0.181224 -1.2158 0.2260 Output:regressor 0.022598 0.193983 0.1165 0.9074 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:-1.027e-15 -6.590e-18 5.080e-18 1.663e-17 1.020e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -7.228e-17 9.004e-18 -8.027e+00 2.75e-13 *** Output:regressor 1.000e+00 1.276e-17 7.835e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 9.135e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 6.139e+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 51.224 51.224 6.1388e+33 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- ErrorOutput::Warning message: Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 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] 0.3414955 Output:[1] 0.3414955 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.107108e-35 -6.484225e-35 Output:regressor -6.484225e-35 1.628970e-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) -7.2279e-17 9.9840e-18 -7.2395e+00 2.225e-11 *** Output:regressor 1.0000e+00 9.1666e-18 1.0909e+17 < 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 | 0.4063 | +- 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:-1.08495 -0.31700 0.03257 0.33560 0.92343 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.53838 0.03915 13.75 <2e-16 *** Output:regressor -0.14627 0.01437 -10.18 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4503 on 149 degrees of freedom Output:Multiple R-squared: 0.4103, Adjusted R-squared: 0.4063 Output:F-statistic: 103.7 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 21.017 21.0172 103.67 < 2.2e-16 *** Output:Residuals 149 30.207 0.2027 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] 0.3414955 Output:[1] 6.548678 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0015325376 -0.0001979916 Output:regressor -0.0001979916 0.0002063849 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) 0.538381 0.331895 1.6221 0.10689 Output:regressor -0.146273 0.061191 -2.3904 0.01808 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.3145 | +- 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:-1.23269 -0.25073 -0.05929 0.31502 1.20236 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.24984 0.04319 5.785 4.12e-08 *** Output:regressor -0.29601 0.03543 -8.355 4.21e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4838 on 149 degrees of freedom Output:Multiple R-squared: 0.319, Adjusted R-squared: 0.3145 Output:F-statistic: 69.81 on 1 and 149 DF, p-value: 4.206e-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 16.343 16.3431 69.812 4.206e-14 *** Output:Residuals 149 34.881 0.2341 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] 0.3414955 Output:[1] 1.243421 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0018650305 0.0006284723 Output:regressor 0.0006284723 0.0012551502 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) 0.24984 0.40284 0.6202 0.53608 Output:regressor -0.29601 0.17625 -1.6795 0.09515 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.2948 | +- 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:-1.22623 -0.30831 0.00369 0.39063 1.03244 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.1958 0.0473 4.139 5.82e-05 *** Output:regressor -1.0454 0.1310 -7.981 3.58e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4907 on 149 degrees of freedom Output:Multiple R-squared: 0.2995, Adjusted R-squared: 0.2948 Output:F-statistic: 63.7 on 1 and 149 DF, p-value: 3.581e-13 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 15.340 15.3404 63.698 3.581e-13 *** Output:Residuals 149 35.884 0.2408 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] 0.3414955 Output:[1] 0.09358105 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002237321 0.003319884 Output:regressor 0.003319884 0.017156731 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) 0.19577 0.36102 0.5423 0.58844 Output:regressor -1.04539 0.46431 -2.2515 0.02582 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.2918 | +- 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:-0.95328 -0.39397 -0.08293 0.44360 0.94225 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.95328 0.08068 11.816 < 2e-16 *** Output:regressor -0.22957 0.02897 -7.926 4.9e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4918 on 149 degrees of freedom Output:Multiple R-squared: 0.2966, Adjusted R-squared: 0.2918 Output:F-statistic: 62.82 on 1 and 149 DF, p-value: 4.903e-13 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 15.191 15.1910 62.816 4.903e-13 *** Output:Residuals 149 36.033 0.2418 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] 0.3414955 Output:[1] 1.921624 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006509061 -0.0020291294 Output:regressor -0.002029129 0.0008389932 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) 0.95328 0.30788 3.0963 0.002342 ** Output:regressor -0.22957 0.14736 -1.5578 0.121393 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | 0.2049 | +- 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:-1.08727 -0.42329 -0.04045 0.43520 0.93395 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.94827 0.09712 9.764 < 2e-16 *** Output:regressor -0.46334 0.07358 -6.297 3.22e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5211 on 149 degrees of freedom Output:Multiple R-squared: 0.2102, Adjusted R-squared: 0.2049 Output:F-statistic: 39.66 on 1 and 149 DF, p-value: 3.221e-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 10.767 10.7675 39.656 3.221e-09 *** Output:Residuals 149 40.457 0.2715 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] 0.3414955 Output:[1] 0.3343722 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009432195 -0.006428643 Output:regressor -0.006428643 0.005413581 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) 0.94827 0.31728 2.9888 0.003277 ** Output:regressor -0.46334 0.26951 -1.7192 0.087660 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.0054 | +- 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:-1.19429 -0.49749 0.05469 0.53074 0.99064 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.28767 0.09467 3.039 0.00281 ** Output:regressor 0.03236 0.02402 1.347 0.17992 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5828 on 149 degrees of freedom Output:Multiple R-squared: 0.01204, Adjusted R-squared: 0.005406 Output:F-statistic: 1.815 on 1 and 149 DF, p-value: 0.1799 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 0.617 0.61657 1.8153 0.1799 Output:Residuals 149 50.608 0.33965 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.3414955 Output:[1] 3.926013 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.008961730 -0.0019675815 Output:regressor -0.001967581 0.0005767504 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) 0.287671 0.984645 0.2922 0.7706 Output:regressor 0.032357 0.233681 0.1385 0.8901 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:-8.327e-15 -1.250e-17 6.130e-17 1.225e-16 8.913e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.735e-15 1.138e-16 -1.524e+01 <2e-16 *** Output:regressor 1.000e+00 2.887e-17 3.464e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.005e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.2e+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 1 588.9 588.9 1.2e+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] 3.926013 Output:[1] 3.926013 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.294853e-32 -2.842898e-33 Output:regressor -2.842898e-33 8.333290e-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) -1.7347e-15 1.9573e-16 -8.8625e+00 2.194e-15 *** Output:regressor 1.0000e+00 4.1878e-17 2.3879e+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 | GB | 0.5862 | +- 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:-2.7797 -0.7746 0.4070 0.9475 1.6387 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.4496 0.1229 19.94 <2e-16 *** Output:regressor -4.9708 0.3402 -14.61 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.275 on 149 degrees of freedom Output:Multiple R-squared: 0.589, Adjusted R-squared: 0.5862 Output:F-statistic: 213.5 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 1 346.84 346.84 213.49 < 2.2e-16 *** Output:Residuals 149 242.06 1.62 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] 3.926013 Output:[1] 0.09358105 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01509237 0.02239506 Output:regressor 0.02239506 0.11573478 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) 2.4496 3.4700 0.7060 0.4813 Output:regressor -4.9708 4.0731 -1.2204 0.2242 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.5770 | +- 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:-2.7886 -1.3105 0.3151 0.8807 2.3381 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.73402 0.11503 23.77 <2e-16 *** Output:regressor -1.35302 0.09436 -14.34 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.289 on 149 degrees of freedom Output:Multiple R-squared: 0.5798, Adjusted R-squared: 0.577 Output:F-statistic: 205.6 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 1 341.45 341.45 205.59 < 2.2e-16 *** Output:Residuals 149 247.46 1.66 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] 3.926013 Output:[1] 1.243421 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.013231031 0.004458553 Output:regressor 0.004458553 0.008904375 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) 2.7340 2.6777 1.0210 0.3089 Output:regressor -1.3530 1.4557 -0.9295 0.3542 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.4346 | +- 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:-3.12932 -1.13177 0.02347 1.16739 2.70141 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.12259 0.24442 4.593 9.24e-06 *** Output:regressor 0.94640 0.08775 10.785 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.49 on 149 degrees of freedom Output:Multiple R-squared: 0.4384, Adjusted R-squared: 0.4346 Output:F-statistic: 116.3 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 1 258.17 258.17 116.31 < 2.2e-16 *** Output:Residuals 149 330.73 2.22 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] 3.926013 Output:[1] 1.921624 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.05974280 -0.01862417 Output:regressor -0.01862417 0.00770062 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) 1.1226 2.8350 0.3960 0.6927 Output:regressor 0.9464 1.0861 0.8714 0.3849 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.2713 | +- 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:-2.7781 -1.4479 -0.3206 1.7300 3.2162 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.2732 0.3153 4.039 8.58e-05 *** Output:regressor 1.8007 0.2388 7.540 4.27e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.691 on 149 degrees of freedom Output:Multiple R-squared: 0.2762, Adjusted R-squared: 0.2713 Output:F-statistic: 56.84 on 1 and 149 DF, p-value: 4.271e-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 1 162.63 162.626 56.844 4.271e-12 *** Output:Residuals 149 426.28 2.861 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] 3.926013 Output:[1] 0.3343722 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.09938277 -0.06773570 Output:regressor -0.06773570 0.05704045 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) 1.2732 1.7912 0.7108 0.4783 Output:regressor 1.8007 1.7276 1.0423 0.2990 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | 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:-4.0109 -1.6645 0.8201 1.6406 2.7687 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.58436 0.16811 21.322 < 2e-16 *** Output:regressor -0.18019 0.06169 -2.921 0.00403 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.933 on 149 degrees of freedom Output:Multiple R-squared: 0.05416, Adjusted R-squared: 0.04781 Output:F-statistic: 8.532 on 1 and 149 DF, p-value: 0.004033 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 31.89 31.894 8.5317 0.004033 ** Output:Residuals 149 557.01 3.738 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] 3.926013 Output:[1] 6.548678 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.028259415 -0.003650891 Output:regressor -0.003650891 0.003805661 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) 3.58436 3.75804 0.9538 0.3417 Output:regressor -0.18019 0.78206 -0.2304 0.8181 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.0054 | +- 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:-3.6320 -1.6465 0.2845 2.1154 2.7761 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.2634 0.1948 16.755 <2e-16 *** Output:regressor 0.3720 0.2761 1.347 0.18 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.976 on 149 degrees of freedom Output:Multiple R-squared: 0.01204, Adjusted R-squared: 0.005406 Output:F-statistic: 1.815 on 1 and 149 DF, p-value: 0.1799 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 7.09 7.0884 1.8153 0.1799 Output:Residuals 149 581.81 3.9048 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.926013 Output:[1] 0.3414955 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03793798 -0.03034354 Output:regressor -0.03034354 0.07622919 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) 3.26342 5.36379 0.6084 0.5438 Output:regressor 0.37199 7.96229 0.0467 0.9628 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:-1.982e-16 -2.417e-17 -1.486e-17 5.500e-19 2.272e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 7.228e-17 1.631e-17 4.430e+00 1.81e-05 *** Output:regressor 1.000e+00 4.746e-17 2.107e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.889e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.44e+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 15.834 15.834 4.4397e+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] 0.1055626 Output:[1] 0.1055626 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.661691e-34 2.598365e-34 Output:regressor 2.598365e-34 2.252398e-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) 7.2279e-17 1.8743e-17 3.8563e+00 0.0001708 *** Output:regressor 1.0000e+00 4.0406e-17 2.4749e+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 | GB | 0.3499 | +- 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:-0.48702 -0.19356 -0.02826 0.14574 0.76428 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.03466 0.02311 -1.500 0.136 Output:regressor 2.25788 0.24974 9.041 7.66e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.262 on 149 degrees of freedom Output:Multiple R-squared: 0.3543, Adjusted R-squared: 0.3499 Output:F-statistic: 81.74 on 1 and 149 DF, p-value: 7.664e-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 5.6094 5.6094 81.741 7.664e-16 *** Output:Residuals 149 10.2250 0.0686 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] 0.1055626 Output:[1] 0.007335404 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005341293 0.002229027 Output:regressor 0.0022290270 0.062367895 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) -0.034663 0.167338 -0.2071 0.83618 Output:regressor 2.257879 1.002355 2.2526 0.02575 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.2765 | +- 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:-0.47267 -0.16002 -0.05215 0.11675 0.82923 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.007092 0.027620 0.257 0.798 Output:regressor 0.171655 0.022476 7.637 2.48e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2764 on 149 degrees of freedom Output:Multiple R-squared: 0.2813, Adjusted R-squared: 0.2765 Output:F-statistic: 58.33 on 1 and 149 DF, p-value: 2.481e-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 4.4546 4.4546 58.325 2.481e-12 *** Output:Residuals 149 11.3798 0.0764 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] 0.1055626 Output:[1] 1.007867 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0007628738 0.0003603819 Output:regressor 0.0003603819 0.0005051896 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) 0.0070918 0.1749076 0.0405 0.9677 Output:regressor 0.1716549 0.1099124 1.5617 0.1205 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.1114 | +- 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:-0.66029 -0.21923 -0.00475 0.19427 0.65304 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.32324 0.05295 -6.104 8.54e-09 *** Output:regressor -0.19870 0.04466 -4.449 1.68e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3063 on 149 degrees of freedom Output:Multiple R-squared: 0.1173, Adjusted R-squared: 0.1114 Output:F-statistic: 19.8 on 1 and 149 DF, p-value: 1.676e-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 1.8571 1.85714 19.797 1.676e-05 *** Output:Residuals 149 13.9772 0.09381 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] 0.1055626 Output:[1] 0.3135739 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002804133 0.002086501 Output:regressor 0.002086501 0.001994363 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) -0.32324 0.36609 -0.8830 0.3787 Output:regressor -0.19870 0.32008 -0.6208 0.5357 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.0740 | +- 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:-0.65414 -0.20613 0.00123 0.17345 0.94833 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.05204 0.03092 -1.683 0.094516 . Output:regressor 0.37232 0.10335 3.603 0.000429 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3127 on 149 degrees of freedom Output:Multiple R-squared: 0.08013, Adjusted R-squared: 0.07395 Output:F-statistic: 12.98 on 1 and 149 DF, p-value: 0.0004287 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 1.2687 1.26874 12.979 0.0004287 *** Output:Residuals 149 14.5656 0.09776 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] 0.1055626 Output:[1] 0.06101539 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0009563274 0.001816524 Output:regressor 0.0018165239 0.010681022 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) -0.052039 0.125805 -0.4136 0.6797 Output:regressor 0.372325 0.907473 0.4103 0.6822 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0661 | +- 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:-0.70487 -0.19360 0.03888 0.16656 0.83651 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.15371 0.08299 1.852 0.065991 . Output:regressor -0.08353 0.02451 -3.408 0.000843 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.314 on 149 degrees of freedom Output:Multiple R-squared: 0.0723, Adjusted R-squared: 0.06607 Output:F-statistic: 11.61 on 1 and 149 DF, p-value: 0.0008429 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 1.1448 1.14478 11.612 0.0008429 *** Output:Residuals 149 14.6896 0.09859 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] 0.1055626 Output:[1] 1.093877 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006887892 -0.0019355306 Output:regressor -0.001935531 0.0006008475 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) 0.153712 0.040307 3.8135 0.0002001 *** Output:regressor -0.083528 0.080480 -1.0379 0.3010080 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | -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:-0.70666 -0.21811 0.03777 0.20878 0.81226 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.07848 0.06021 -1.304 0.194 Output:regressor 0.03998 0.05862 0.682 0.496 Output: Output:Residual standard error: 0.3255 on 149 degrees of freedom Output:Multiple R-squared: 0.003113, Adjusted R-squared: -0.003577 Output:F-statistic: 0.4653 on 1 and 149 DF, p-value: 0.4962 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 0.0493 0.049293 0.4653 0.4962 Output:Residuals 149 15.7851 0.105940 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1055626 Output:[1] 0.2055612 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003624707 0.003169110 Output:regressor 0.003169110 0.003435806 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) -0.078480 0.222396 -0.3529 0.7247 Output:regressor 0.039983 0.356223 0.1122 0.9108 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:-1.688e-16 -1.717e-17 -7.700e-18 1.121e-17 1.326e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.446e-16 2.131e-17 6.783e+00 2.58e-10 *** Output:regressor 1.000e+00 2.075e-17 4.820e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.152e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.323e+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 30.834 30.834 2.3229e+33 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 Output:--- ErrorOutput: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] 0.2055612 Output:[1] 0.2055612 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Error:Warning message: Output: (Intercept) regressor Output:Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable(Intercept) 4.541621e-34 3.970775e-34 Output:regressor 3.970775e-34 4.304935e-34 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 4.4074e-17 3.2799e+00 0.001293 ** Output:regressor 1.0000e+00 3.8521e-17 2.5960e+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 | ES | 0.5579 | +- 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:-0.62629 -0.22997 0.01603 0.25652 0.68860 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.68860 0.02982 -23.09 <2e-16 *** Output:regressor 1.37460 0.09965 13.79 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3015 on 149 degrees of freedom Output:Multiple R-squared: 0.5609, Adjusted R-squared: 0.5579 Output:F-statistic: 190.3 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 17.293 17.2934 190.29 < 2.2e-16 *** Output:Residuals 149 13.541 0.0909 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] 0.2055612 Output:[1] 0.06101539 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008890349 0.001688703 Output:regressor 0.0016887033 0.009929446 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) -0.68860 0.16065 -4.2864 3.245e-05 *** Output:regressor 1.37460 0.38525 3.5681 0.0004841 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.4886 | +- 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:-0.83934 -0.14576 -0.01252 0.13944 0.79453 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.05708 0.08570 0.666 0.506 Output:regressor -0.30405 0.02531 -12.012 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3242 on 149 degrees of freedom Output:Multiple R-squared: 0.492, Adjusted R-squared: 0.4886 Output:F-statistic: 144.3 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 15.169 15.1692 144.28 < 2.2e-16 *** Output:Residuals 149 15.665 0.1051 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] 0.2055612 Output:[1] 1.093877 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007345233 -0.0020640458 Output:regressor -0.002064046 0.0006407425 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) 0.057084 0.195329 0.2922 0.7705 Output:regressor -0.304055 0.044810 -6.7854 2.554e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.3980 | +- 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:-0.5554 -0.2545 -0.1275 0.2591 0.8298 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.38530 0.06082 -6.335 2.66e-09 *** Output:regressor 0.51336 0.05129 10.009 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3518 on 149 degrees of freedom Output:Multiple R-squared: 0.402, Adjusted R-squared: 0.398 Output:F-statistic: 100.2 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 12.396 12.3958 100.17 < 2.2e-16 *** Output:Residuals 149 18.438 0.1237 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] 0.2055612 Output:[1] 0.3135739 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003699129 0.002752449 Output:regressor 0.002752449 0.002630904 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) -0.38530 0.38763 -0.9940 0.32184 Output:regressor 0.51336 0.24229 2.1188 0.03577 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.1380 | +- 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:-0.79034 -0.28863 -0.06896 0.26580 0.82517 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.80025 0.04207 -19.02 < 2e-16 *** Output:regressor 0.17120 0.03424 5.00 1.59e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.421 on 149 degrees of freedom Output:Multiple R-squared: 0.1437, Adjusted R-squared: 0.138 Output:F-statistic: 25 on 1 and 149 DF, p-value: 1.588e-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 4.4308 4.4308 25.004 1.588e-06 *** Output:Residuals 149 26.4033 0.1772 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] 0.2055612 Output:[1] 1.007867 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0017700124 0.0008361547 Output:regressor 0.0008361547 0.0011721360 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) -0.80025 0.50056 -1.5987 0.1120 Output:regressor 0.17120 0.32261 0.5307 0.5964 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.0188 | +- 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:-0.83177 -0.31143 -0.03617 0.14884 0.89224 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.89224 0.03962 -22.519 <2e-16 *** Output:regressor 0.84313 0.42814 1.969 0.0508 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4491 on 149 degrees of freedom Output:Multiple R-squared: 0.02537, Adjusted R-squared: 0.01883 Output:F-statistic: 3.878 on 1 and 149 DF, p-value: 0.05078 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 0.7822 0.78217 3.8781 0.05078 . Output:Residuals 149 30.0520 0.20169 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] 0.2055612 Output:[1] 0.007335404 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001569847 0.00655128 Output:regressor 0.006551280 0.18330398 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) -0.89224 0.51437 -1.7346 0.08488 . Output:regressor 0.84313 5.63315 0.1497 0.88123 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | -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:-0.84929 -0.27184 -0.08385 0.10865 1.01175 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.91340 0.03924 -23.279 <2e-16 *** Output:regressor 0.07786 0.11414 0.682 0.496 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4542 on 149 degrees of freedom Output:Multiple R-squared: 0.003113, Adjusted R-squared: -0.003577 Output:F-statistic: 0.4653 on 1 and 149 DF, p-value: 0.4962 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 0.096 0.095988 0.4653 0.4962 Output:Residuals 149 30.738 0.206297 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.2055612 Output:[1] 0.1055626 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001539583 0.001502954 Output:regressor 0.001502954 0.013028387 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) -0.913396 0.405219 -2.2541 0.02565 * Output:regressor 0.077859 0.834717 0.0933 0.92581 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:-1.561e-15 -3.000e-20 9.390e-18 2.054e-17 1.290e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.084e-16 1.287e-17 -8.424e+00 2.83e-14 *** Output:regressor 1.000e+00 4.301e-17 2.325e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.301e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.405e+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 9.1523 9.1523 5.4052e+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] 0.06101539 Output:[1] 0.06101539 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.656462e-34 3.146415e-34 Output:regressor 3.146415e-34 1.850068e-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) -1.0842e-16 1.5788e-17 -6.8672e+00 1.655e-10 *** Output:regressor 1.0000e+00 3.4927e-17 2.8631e+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 | 0.5579 | +- 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:-0.31075 -0.13700 0.00661 0.10923 0.33468 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.20627 0.03038 6.79 2.49e-10 *** Output:regressor 0.40801 0.02958 13.79 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1642 on 149 degrees of freedom Output:Multiple R-squared: 0.5609, Adjusted R-squared: 0.5579 Output:F-statistic: 190.3 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 5.1331 5.1331 190.29 < 2.2e-16 *** Output:Residuals 149 4.0192 0.0270 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] 0.06101539 Output:[1] 0.2055612 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0009229241 0.0008069198 Output:regressor 0.0008069198 0.0008748260 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) 0.206272 0.087571 2.3555 0.0198 * Output:regressor 0.408013 0.089551 4.5562 1.077e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.3320 | +- 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:-0.41451 -0.16337 0.04234 0.14795 0.48532 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.06826 0.02018 -3.383 0.000916 *** Output:regressor 0.14272 0.01642 8.692 5.94e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2019 on 149 degrees of freedom Output:Multiple R-squared: 0.3365, Adjusted R-squared: 0.332 Output:F-statistic: 75.56 on 1 and 149 DF, p-value: 5.943e-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 3.0795 3.07952 75.558 5.943e-15 *** Output:Residuals 149 6.0728 0.04076 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] 0.06101539 Output:[1] 1.007867 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004071042 0.0001923162 Output:regressor 0.0001923162 0.0002695921 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) -0.068257 0.156904 -0.4350 0.6642 Output:regressor 0.142723 0.086842 1.6435 0.1024 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | 0.2900 | +- 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:-0.40670 -0.18109 -0.01271 0.19854 0.38991 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.24295 0.05502 4.416 1.92e-05 *** Output:regressor -0.12821 0.01625 -7.891 5.98e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2081 on 149 degrees of freedom Output:Multiple R-squared: 0.2947, Adjusted R-squared: 0.29 Output:F-statistic: 62.26 on 1 and 149 DF, p-value: 5.98e-13 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 2.6973 2.69727 62.26 5.98e-13 *** Output:Residuals 149 6.4550 0.04332 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] 0.06101539 Output:[1] 1.093877 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0030267405 -0.0008505286 Output:regressor -0.0008505286 0.0002640299 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) 0.242947 0.139754 1.7384 0.084207 . Output:regressor -0.128213 0.047461 -2.7014 0.007705 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.2264 | +- 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:-0.42113 -0.15092 0.00138 0.16229 0.58214 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.05199 0.03756 1.384 0.168 Output:regressor 0.21225 0.03168 6.700 4.01e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2173 on 149 degrees of freedom Output:Multiple R-squared: 0.2315, Adjusted R-squared: 0.2264 Output:F-statistic: 44.89 on 1 and 149 DF, p-value: 4.005e-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 2.1190 2.1190 44.891 4.005e-10 *** Output:Residuals 149 7.0333 0.0472 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] 0.06101539 Output:[1] 0.3135739 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001411033 0.001049922 Output:regressor 0.001049922 0.001003559 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) 0.051986 0.251218 0.2069 0.8363 Output:regressor 0.212251 0.143721 1.4768 0.1418 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | 0.0740 | +- 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:-0.59392 -0.18105 -0.02335 0.17942 0.61063 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.14524 0.02053 -7.073 5.49e-11 *** Output:regressor 0.21520 0.05974 3.603 0.000429 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2377 on 149 degrees of freedom Output:Multiple R-squared: 0.08013, Adjusted R-squared: 0.07395 Output:F-statistic: 12.98 on 1 and 149 DF, p-value: 0.0004287 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 0.7333 0.73334 12.979 0.0004287 *** Output:Residuals 149 8.4190 0.05650 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] 0.06101539 Output:[1] 0.1055626 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004216809 0.0004116485 Output:regressor 0.0004116485 0.0035683832 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) -0.14524 0.20644 -0.7036 0.4828 Output:regressor 0.21520 0.53670 0.4010 0.6890 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.0522 | +- 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:-0.4405 -0.2073 -0.0195 0.2167 0.5415 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.14514 0.02122 -6.841 1.9e-10 *** Output:regressor 0.69759 0.22926 3.043 0.00277 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2405 on 149 degrees of freedom Output:Multiple R-squared: 0.0585, Adjusted R-squared: 0.05219 Output:F-statistic: 9.259 on 1 and 149 DF, p-value: 0.002771 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 0.5354 0.53545 9.2588 0.002771 ** Output:Residuals 149 8.6169 0.05783 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] 0.06101539 Output:[1] 0.007335404 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004501246 0.001878459 Output:regressor 0.0018784589 0.052559044 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) -0.14514 0.21381 -0.6788 0.4983 Output:regressor 0.69759 2.07333 0.3365 0.7370 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:-1.098e-16 -7.952e-18 -2.675e-18 2.030e-18 2.104e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.446e-16 3.659e-18 3.951e+01 <2e-16 *** Output:regressor 1.000e+00 2.978e-18 3.358e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.661e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.128e+35 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 1 151.18 151.18 1.1278e+35 < 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] 1.007867 Output:[1] 1.007867 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.338966e-35 6.325283e-36 Output:regressor 6.325283e-36 8.866890e-36 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 3.1472e-18 4.5932e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 3.6718e-18 2.7235e+17 < 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 | ES | 0.3320 | +- 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:-1.6686 -0.6433 0.1144 0.6031 1.6322 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.31241 0.08115 -3.850 0.000175 *** Output:regressor 2.35754 0.27122 8.692 5.94e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8205 on 149 degrees of freedom Output:Multiple R-squared: 0.3365, Adjusted R-squared: 0.332 Output:F-statistic: 75.56 on 1 and 149 DF, p-value: 5.943e-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 50.868 50.868 75.558 5.943e-15 *** Output:Residuals 149 100.312 0.673 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] 1.007867 Output:[1] 0.06101539 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006586102 0.01251016 Output:regressor 0.012510164 0.07355881 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) -0.31241 0.47958 -0.6514 0.51577 Output:regressor 2.35754 1.41608 1.6648 0.09805 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.3157 | +- 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:-1.2460 -0.6633 -0.1294 0.5433 1.8147 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.47628 0.07327 -6.501 1.13e-09 *** Output:regressor 6.63352 0.79171 8.379 3.68e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8305 on 149 degrees of freedom Output:Multiple R-squared: 0.3203, Adjusted R-squared: 0.3157 Output:F-statistic: 70.2 on 1 and 149 DF, p-value: 3.675e-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 48.418 48.418 70.203 3.675e-14 *** Output:Residuals 149 102.762 0.690 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] 1.007867 Output:[1] 0.007335404 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005368069 0.02240201 Output:regressor 0.022402010 0.62680544 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) -0.47628 0.81117 -0.5872 0.5580 Output:regressor 6.63352 10.97277 0.6045 0.5464 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.2765 | +- 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:-1.63495 -0.77754 -0.05908 0.77474 1.59156 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.52430 0.07377 -7.107 4.56e-11 *** Output:regressor 1.63889 0.21460 7.637 2.48e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8539 on 149 degrees of freedom Output:Multiple R-squared: 0.2813, Adjusted R-squared: 0.2765 Output:F-statistic: 58.33 on 1 and 149 DF, p-value: 2.481e-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 42.53 42.530 58.325 2.481e-12 *** Output:Residuals 149 108.65 0.729 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] 1.007867 Output:[1] 0.1055626 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005441930 0.005312458 Output:regressor 0.005312458 0.046051149 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) -0.5243 1.0238 -0.5121 0.6093 Output:regressor 1.6389 3.1901 0.5137 0.6082 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | 0.1652 | +- 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:-2.1054 -0.5783 0.0682 0.6899 1.5601 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.56457 0.24244 2.329 0.0212 * Output:regressor -0.39671 0.07161 -5.540 1.33e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9172 on 149 degrees of freedom Output:Multiple R-squared: 0.1708, Adjusted R-squared: 0.1652 Output:F-statistic: 30.69 on 1 and 149 DF, p-value: 1.334e-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 25.823 25.8226 30.693 1.334e-07 *** Output:Residuals 149 125.357 0.8413 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] 1.007867 Output:[1] 1.093877 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.05877953 -0.01651733 Output:regressor -0.01651733 0.00512748 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) 0.56457 0.25942 2.1763 0.03111 * Output:regressor -0.39671 0.33641 -1.1792 0.24019 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.1380 | +- 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:-2.0415 -0.5001 0.1151 0.6290 1.7073 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.06087 0.17241 0.353 0.725 Output:regressor 0.83938 0.16786 5.000 1.59e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9321 on 149 degrees of freedom Output:Multiple R-squared: 0.1437, Adjusted R-squared: 0.138 Output:F-statistic: 25 on 1 and 149 DF, p-value: 1.588e-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 21.724 21.7245 25.004 1.588e-06 *** Output:Residuals 149 129.456 0.8688 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] 1.007867 Output:[1] 0.2055612 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02972668 0.02599027 Output:regressor 0.02599027 0.02817747 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) 0.060865 0.879818 0.0692 0.9449 Output:regressor 0.839380 0.936211 0.8966 0.3714 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.0027 | +- 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:-2.0940 -0.4865 0.1747 0.8506 1.3931 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.5319 0.1733 -3.068 0.00256 ** Output:regressor 0.1735 0.1462 1.187 0.23720 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.003 on 149 degrees of freedom Output:Multiple R-squared: 0.009364, Adjusted R-squared: 0.002716 Output:F-statistic: 1.408 on 1 and 149 DF, p-value: 0.2372 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 1.416 1.4157 1.4085 0.2372 Output:Residuals 149 149.764 1.0051 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.007867 Output:[1] 0.3135739 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03004590 0.02235657 Output:regressor 0.02235657 0.02136933 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) -0.53186 2.94379 -0.1807 0.8569 Output:regressor 0.17349 1.49797 0.1158 0.9080 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:-7.508e-17 -7.950e-18 -5.620e-18 -1.680e-18 8.709e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.162e-17 6.353e-18 4.977e+00 1.76e-06 *** Output:regressor 1.000e+00 6.865e-17 1.457e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.202e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.122e+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 1.1003 1.1003 2.1216e+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] 0.007335404 Output:[1] 0.007335404 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.036644e-35 1.684571e-34 Output:regressor 1.684571e-34 4.713409e-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) 3.1622e-17 6.5743e-18 4.8100e+00 3.66e-06 *** Output:regressor 1.0000e+00 3.0330e-17 3.2971e+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 | 0.3499 | +- 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:-0.115685 -0.059978 -0.008809 0.053591 0.160418 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.017640 0.005966 -2.957 0.00361 ** Output:regressor 0.156897 0.017354 9.041 7.66e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06906 on 149 degrees of freedom Output:Multiple R-squared: 0.3543, Adjusted R-squared: 0.3499 Output:F-statistic: 81.74 on 1 and 149 DF, p-value: 7.664e-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 0.38979 0.38979 81.741 7.664e-16 *** Output:Residuals 149 0.71052 0.00477 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] 0.007335404 Output:[1] 0.1055626 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.558783e-05 3.474114e-05 Output:regressor 3.474114e-05 3.011543e-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) -0.017640 0.061796 -0.2855 0.7757 Output:regressor 0.156897 0.115168 1.3623 0.1751 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.3157 | +- 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:-0.132063 -0.046796 0.002217 0.055622 0.137141 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.001299 0.007081 -0.183 0.855 Output:regressor 0.048280 0.005762 8.379 3.68e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.07085 on 149 degrees of freedom Output:Multiple R-squared: 0.3203, Adjusted R-squared: 0.3157 Output:F-statistic: 70.2 on 1 and 149 DF, p-value: 3.675e-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 0.35239 0.35239 70.203 3.675e-14 *** Output:Residuals 149 0.74792 0.00502 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] 0.007335404 Output:[1] 1.007867 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.013868e-05 2.368554e-05 Output:regressor 2.368554e-05 3.320279e-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) -0.0012992 0.0928731 -0.014 0.9889 Output:regressor 0.0482797 0.0537645 0.898 0.3706 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.2594 | +- 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:-0.143375 -0.057562 -0.007396 0.068935 0.133353 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.099887 0.019482 5.127 9.01e-07 *** Output:regressor -0.042103 0.005754 -7.317 1.46e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.07371 on 149 degrees of freedom Output:Multiple R-squared: 0.2643, Adjusted R-squared: 0.2594 Output:F-statistic: 53.54 on 1 and 149 DF, p-value: 1.457e-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 0.29086 0.290856 53.539 1.457e-11 *** Output:Residuals 149 0.80946 0.005433 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] 0.007335404 Output:[1] 1.093877 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003795499 -1.066553e-04 Output:regressor -0.0001066553 3.310906e-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) 0.099887 0.046137 2.1650 0.03198 * Output:regressor -0.042103 0.027126 -1.5521 0.12276 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.0720 | +- 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:-0.13416 -0.06177 -0.01265 0.05283 0.22493 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.08049 0.01426 -5.642 8.2e-08 *** Output:regressor -0.04277 0.01203 -3.555 0.000506 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08251 on 149 degrees of freedom Output:Multiple R-squared: 0.0782, Adjusted R-squared: 0.07201 Output:F-statistic: 12.64 on 1 and 149 DF, p-value: 0.0005063 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 0.08604 0.086044 12.64 0.0005063 *** Output:Residuals 149 1.01427 0.006807 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] 0.007335404 Output:[1] 0.3135739 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002034834 0.000151408 Output:regressor 0.0001514080 0.000144722 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) -0.080487 0.148429 -0.5423 0.5885 Output:regressor -0.042771 0.075981 -0.5629 0.5743 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.0522 | +- 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:-0.13231 -0.08328 0.01535 0.07250 0.14748 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.021477 0.008247 -2.604 0.01014 * Output:regressor 0.083866 0.027562 3.043 0.00277 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08338 on 149 degrees of freedom Output:Multiple R-squared: 0.0585, Adjusted R-squared: 0.05219 Output:F-statistic: 9.259 on 1 and 149 DF, p-value: 0.002771 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 0.06437 0.064373 9.2588 0.002771 ** Output:Residuals 149 1.03594 0.006953 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] 0.007335404 Output:[1] 0.06101539 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.801591e-05 0.0001291948 Output:regressor 1.291948e-04 0.0007596556 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) -0.021477 0.111279 -0.1930 0.8472 Output:regressor 0.083866 0.254210 0.3299 0.7419 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.0188 | +- 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:-0.14372 -0.07767 0.01670 0.07179 0.17086 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.007989 0.015692 -0.509 0.6115 Output:regressor 0.030087 0.015278 1.969 0.0508 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08484 on 149 degrees of freedom Output:Multiple R-squared: 0.02537, Adjusted R-squared: 0.01883 Output:F-statistic: 3.878 on 1 and 149 DF, p-value: 0.05078 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 0.02791 0.0279115 3.8781 0.05078 . Output:Residuals 149 1.07240 0.0071973 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] 0.007335404 Output:[1] 0.2055612 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002462533 0.0002153012 Output:regressor 0.0002153012 0.0002334199 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) -0.0079886 0.2438606 -0.0328 0.9739 Output:regressor 0.0300868 0.1938970 0.1552 0.8769 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:-9.791e-16 -5.380e-17 -1.120e-17 3.060e-17 5.608e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.735e-15 1.273e-16 1.363e+01 <2e-16 *** Output:regressor 1.000e+00 3.760e-17 2.660e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.816e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 7.074e+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 1 164.08 164.08 7.0735e+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] 1.093877 Output:[1] 1.093877 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.620639e-32 -4.554073e-33 Output:regressor -4.554073e-33 1.413723e-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) 1.7347e-15 3.6422e-16 4.7627e+00 4.487e-06 *** Output:regressor 1.0000e+00 1.0209e-16 9.7950e+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] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.4886 | +- 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:-1.7986 -0.3093 0.1153 0.4656 1.4272 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.7289 0.1384 12.50 <2e-16 *** Output:regressor -1.6180 0.1347 -12.01 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.748 on 149 degrees of freedom Output:Multiple R-squared: 0.492, Adjusted R-squared: 0.4886 Output:F-statistic: 144.3 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 80.722 80.722 144.28 < 2.2e-16 *** Output:Residuals 149 83.360 0.559 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] 1.093877 Output:[1] 0.2055612 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01914178 0.01673581 Output:regressor 0.01673581 0.01814421 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) 1.7289 1.6317 1.0596 0.2910 Output:regressor -1.6180 1.5626 -1.0354 0.3021 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | 0.2900 | +- 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:-2.83041 -0.42700 0.04722 0.69645 1.44641 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.83041 0.08717 32.471 < 2e-16 *** Output:regressor -2.29859 0.29131 -7.891 5.98e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8813 on 149 degrees of freedom Output:Multiple R-squared: 0.2947, Adjusted R-squared: 0.29 Output:F-statistic: 62.26 on 1 and 149 DF, p-value: 5.98e-13 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 48.356 48.356 62.26 5.98e-13 *** Output:Residuals 149 115.725 0.777 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] 1.093877 Output:[1] 0.06101539 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007598098 0.01443243 Output:regressor 0.014432428 0.08486157 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) 2.8304 0.6682 4.2359 3.97e-05 *** Output:regressor -2.2986 2.1300 -1.0792 0.2823 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.2594 | +- 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:-3.0135 -0.2374 0.1033 0.6578 1.1875 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.99694 0.07941 37.741 < 2e-16 *** Output:regressor -6.27846 0.85806 -7.317 1.46e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9001 on 149 degrees of freedom Output:Multiple R-squared: 0.2643, Adjusted R-squared: 0.2594 Output:F-statistic: 53.54 on 1 and 149 DF, p-value: 1.457e-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 43.373 43.373 53.539 1.457e-11 *** Output:Residuals 149 120.708 0.810 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] 1.093877 Output:[1] 0.007335404 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006305519 0.02631417 Output:regressor 0.026314175 0.73626732 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) 2.99694 0.43398 6.9057 1.348e-10 *** Output:regressor -6.27846 5.63999 -1.1132 0.2674 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.1652 | +- 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:-2.9224 -0.2130 0.2773 0.5735 1.0162 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.91419 0.09550 30.51 < 2e-16 *** Output:regressor -0.43056 0.07772 -5.54 1.33e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9556 on 149 degrees of freedom Output:Multiple R-squared: 0.1708, Adjusted R-squared: 0.1652 Output:F-statistic: 30.69 on 1 and 149 DF, p-value: 1.334e-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 28.026 28.0263 30.693 1.334e-07 *** Output:Residuals 149 136.055 0.9131 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] 1.093877 Output:[1] 1.007867 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009120799 0.004308669 Output:regressor 0.004308669 0.006039967 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) 2.91419 0.71905 4.0528 8.121e-05 *** Output:regressor -0.43056 0.53532 -0.8043 0.4225 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.1632 | +- 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:-2.9083 -0.2474 0.2059 0.6458 1.2780 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.4186 0.1654 14.62 < 2e-16 *** Output:regressor -0.7673 0.1395 -5.50 1.61e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9568 on 149 degrees of freedom Output:Multiple R-squared: 0.1688, Adjusted R-squared: 0.1632 Output:F-statistic: 30.25 on 1 and 149 DF, p-value: 1.612e-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 27.691 27.6911 30.251 1.612e-07 *** Output:Residuals 149 136.390 0.9154 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] 1.093877 Output:[1] 0.3135739 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02736282 0.02036014 Output:regressor 0.02036014 0.01946106 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) 2.41861 0.81376 2.9721 0.003449 ** Output:regressor -0.76728 0.50081 -1.5321 0.127627 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.0661 | +- 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:-3.12149 -0.07192 0.26513 0.54288 1.19673 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.12149 0.08732 35.749 < 2e-16 *** Output:regressor -0.86555 0.25400 -3.408 0.000843 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.011 on 149 degrees of freedom Output:Multiple R-squared: 0.0723, Adjusted R-squared: 0.06607 Output:F-statistic: 11.61 on 1 and 149 DF, p-value: 0.0008429 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 11.863 11.8626 11.612 0.0008429 *** Output:Residuals 149 152.219 1.0216 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] 1.093877 Output:[1] 0.1055626 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007624183 0.007442792 Output:regressor 0.007442792 0.064517998 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) 3.12149 0.77014 4.0531 8.112e-05 *** Output:regressor -0.86555 1.99264 -0.4344 0.6646 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:-1.764e-15 -1.790e-18 1.332e-17 2.939e-17 1.756e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.891e-16 2.638e-17 -1.096e+01 <2e-16 *** Output:regressor 1.000e+00 2.225e-17 4.495e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.526e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.02e+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 47.036 47.036 2.0201e+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] 0.3135739 Output:[1] 0.3135739 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.960318e-34 5.179037e-34 Output:regressor 5.179037e-34 4.950337e-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) -2.8912e-16 5.1693e-17 -5.5929e+00 1.038e-07 *** Output:regressor 1.0000e+00 3.9278e-17 2.5459e+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 | 0.3980 | +- 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:-0.8985 -0.3663 0.0658 0.3326 1.0177 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.32388 0.08037 -4.03 8.86e-05 *** Output:regressor 0.78311 0.07824 10.01 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4345 on 149 degrees of freedom Output:Multiple R-squared: 0.402, Adjusted R-squared: 0.398 Output:F-statistic: 100.2 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 18.909 18.9092 100.17 < 2.2e-16 *** Output:Residuals 149 28.127 0.1888 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] 0.3135739 Output:[1] 0.2055612 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006458729 0.005646918 Output:regressor 0.005646918 0.006122133 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) -0.32388 0.30494 -1.0621 0.2899 Output:regressor 0.78311 0.40925 1.9135 0.0576 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.2264 | +- 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:-1.05413 -0.33426 0.01095 0.37107 0.89596 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.86068 0.04872 -17.67 < 2e-16 *** Output:regressor 1.09081 0.16281 6.70 4.01e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4925 on 149 degrees of freedom Output:Multiple R-squared: 0.2315, Adjusted R-squared: 0.2264 Output:F-statistic: 44.89 on 1 and 149 DF, p-value: 4.005e-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 10.890 10.8900 44.891 4.005e-10 *** Output:Residuals 149 36.146 0.2426 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] 0.3135739 Output:[1] 0.06101539 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002373218 0.004507877 Output:regressor 0.004507877 0.026505974 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) -0.86068 0.19529 -4.4071 1.992e-05 *** Output:regressor 1.09081 0.71666 1.5221 0.1301 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.1632 | +- 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:-1.0280 -0.3538 0.1094 0.4004 1.0912 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.33766 0.13540 -2.494 0.0137 * Output:regressor -0.21995 0.03999 -5.500 1.61e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5123 on 149 degrees of freedom Output:Multiple R-squared: 0.1688, Adjusted R-squared: 0.1632 Output:F-statistic: 30.25 on 1 and 149 DF, p-value: 1.612e-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 7.938 7.9380 30.251 1.612e-07 *** Output:Residuals 149 39.098 0.2624 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] 0.3135739 Output:[1] 1.093877 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.018332921 -0.005151639 Output:regressor -0.005151639 0.001599225 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) -0.33766 0.23849 -1.4158 0.1589 Output:regressor -0.21995 0.14260 -1.5424 0.1251 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.1114 | +- 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:-1.12367 -0.25145 -0.03347 0.25748 1.28203 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.1143 0.0456 -24.435 < 2e-16 *** Output:regressor -0.5903 0.1327 -4.449 1.68e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5279 on 149 degrees of freedom Output:Multiple R-squared: 0.1173, Adjusted R-squared: 0.1114 Output:F-statistic: 19.8 on 1 and 149 DF, p-value: 1.676e-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 5.517 5.5166 19.797 1.676e-05 *** Output:Residuals 149 41.519 0.2787 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] 0.3135739 Output:[1] 0.1055626 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002079584 0.002030108 Output:regressor 0.002030108 0.017598029 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) -1.11429 0.37163 -2.9984 0.003182 ** Output:regressor -0.59025 0.56340 -1.0477 0.296495 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.0720 | +- 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:-0.98504 -0.32258 0.01662 0.32665 1.19723 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.11154 0.04759 -23.356 < 2e-16 *** Output:regressor -1.82836 0.51426 -3.555 0.000506 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5394 on 149 degrees of freedom Output:Multiple R-squared: 0.0782, Adjusted R-squared: 0.07201 Output:F-statistic: 12.64 on 1 and 149 DF, p-value: 0.0005063 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 3.678 3.6782 12.64 0.0005063 *** Output:Residuals 149 43.358 0.2910 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] 0.3135739 Output:[1] 0.007335404 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002264914 0.009451932 Output:regressor 0.009451932 0.264463868 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) -1.11154 0.40216 -2.7640 0.006432 ** Output:regressor -1.82836 3.40928 -0.5363 0.592559 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.0027 | +- 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:-1.1661 -0.4299 0.1323 0.4448 1.0829 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.00769 0.05589 -18.030 <2e-16 *** Output:regressor 0.05398 0.04548 1.187 0.237 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5592 on 149 degrees of freedom Output:Multiple R-squared: 0.009364, Adjusted R-squared: 0.002716 Output:F-statistic: 1.408 on 1 and 149 DF, p-value: 0.2372 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 0.440 0.44046 1.4085 0.2372 Output:Residuals 149 46.596 0.31272 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.3135739 Output:[1] 1.007867 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003123653 0.001475615 Output:regressor 0.001475615 0.002068543 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) -1.007694 0.361763 -2.7855 0.006039 ** Output:regressor 0.053977 0.272799 0.1979 0.843422 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |