Regression 1

> # Copyright 2014 by Michael Grogan

> # Tools -> Install Packages
>
> # Set working directory to where csv file is located
> setwd("C:\\Users\\Michael Grogan\\Documents\\Computer Programming\\R")
>
> # Read the data
> mydata<- read.csv("C:\\Users\\Michael Grogan\\Documents\\Computer Programming\
\R\\deltabrent.csv")
> attach(mydata)
The following objects are masked from mydata (position 5):
brent, delta
>
> # OLS regression - delta (dependent variable) and brent (independent variables
)
> olsreg <- lm(delta ~ brent)
> summary(olsreg)
Call:
lm(formula = delta ~ brent)
Residuals:
Min 1Q Median 3Q Max
-0.238737 -0.017422 0.000562 0.018630 0.233336
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.0003832 0.0009605 0.399 0.690
brent -0.0613406 0.0450621 -1.361 0.174
Residual standard error: 0.0407 on 1794 degrees of freedom
Multiple R-squared: 0.001032, Adjusted R-squared: 0.000475
F-statistic: 1.853 on 1 and 1794 DF, p-value: 0.1736
> # summary(lm(delta ~ brent))
>
> # Plotting data
> plot (delta ~ brent)
> olsreg1 <- lm(delta ~ brent)
> abline(olsreg1)
>
> # Redefining variables
> Y <- cbind(delta)
> X <- cbind(brent)
> summary(Y)
delta
Min. :-0.2378755
1st Qu.:-0.0175615
Median : 0.0010153
Mean : 0.0003651
3rd Qu.: 0.0192368
Max. : 0.2355927
> summary(X)
brent
Min. :-0.1683201
1st Qu.:-0.0095683
Median : 0.0006402
Mean : 0.0002948
3rd Qu.: 0.0109008
Max. : 0.1812974
> olsreg <- lm(delta ~ brent)
> summary(olsreg)
Call:
lm(formula = delta ~ brent)
Residuals:
Min 1Q Median 3Q Max
-0.238737 -0.017422 0.000562 0.018630 0.233336
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.0003832 0.0009605 0.399 0.690
brent -0.0613406 0.0450621 -1.361 0.174
Residual standard error: 0.0407 on 1794 degrees of freedom
Multiple R-squared: 0.001032, Adjusted R-squared: 0.000475
F-statistic: 1.853 on 1 and 1794 DF, p-value: 0.1736
>
> # Test for Heteroscedasticity: Breusch-Pagan Test/Test for Autocorrelation: Du
rbin-Watson Test
>
> library(lmtest)
> bptest(Y ~ X)
studentized Breusch-Pagan test
data: Y ~ X
BP = 1.3826, df = 1, p-value = 0.2397
> dwtest(Y ~ X)
Durbin-Watson test
data: Y ~ X
DW = 1.9788, p-value = 0.3262
alternative hypothesis: true autocorrelation is greater than 0
Regression 2
> # Copyright 2014 by Michael Grogan
> # Tools -> Install Packages
>
> # Set working directory to where csv file is located
> setwd("C:\\Users\\Michael Grogan\\Documents\\Computer Programming\\R")
>
> # Read the data
> mydata<- read.csv("C:\\Users\\Michael Grogan\\Documents\\Computer Programming\
\R\\deltabrentlag.csv")
> attach(mydata)
>
> # OLS regression - delta (dependent variable) and brent + deltalag (independen
t variables)
> olsreg <- lm(delta ~ brent + deltalag)
> summary(olsreg)
Call:
lm(formula = delta ~ brent + deltalag)
Residuals:
Min 1Q Median 3Q Max
-0.236613 -0.018455 0.000471 0.019998 0.232610
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.0003871 0.0010504 0.369 0.7125
brent -0.0842389 0.0472123 -1.784 0.0746 .
deltalag -0.0164105 0.0255036 -0.643 0.5200
---
Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1
Residual standard error: 0.04223 on 1614 degrees of freedom
Multiple R-squared: 0.002177, Adjusted R-squared: 0.0009404
F-statistic: 1.761 on 2 and 1614 DF, p-value: 0.1723
> # summary(lm(delta ~ brent + deltalag))
>
> # Plotting data
> plot (delta ~ brent + deltalag)
> olsreg1 <- lm(delta ~ brent + deltalag)
> abline(olsreg1)
>
> # Redefining variables
> Y <- cbind(delta)
> X <- cbind(brent + deltalag)
> summary(Y)
delta
Min. :-0.2378755
1st Qu.:-0.0180185
Median : 0.0010055
Mean : 0.0003526
3rd Qu.: 0.0200007
Max. : 0.2355927
> summary(X)
V1
Min. :-0.2596511
1st Qu.:-0.0227297
Median : 0.0013149
Mean : 0.0008906
3rd Qu.: 0.0240305
Max. : 0.2451407
> olsreg <- lm(delta ~ brent + deltalag)
> summary(olsreg)
Call:
lm(formula = delta ~ brent + deltalag)
Residuals:
Min 1Q Median 3Q Max
-0.236613 -0.018455 0.000471 0.019998 0.232610
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.0003871 0.0010504 0.369 0.7125
brent -0.0842389 0.0472123 -1.784 0.0746 .
deltalag -0.0164105 0.0255036 -0.643 0.5200
---
Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1
Residual standard error: 0.04223 on 1614 degrees of freedom
Multiple R-squared: 0.002177, Adjusted R-squared: 0.0009404
F-statistic: 1.761 on 2 and 1614 DF, p-value: 0.1723
>
> # Test for Heteroscedasticity: Breusch-Pagan Test/Test for Autocorrelation: Du
rbin-Watson Test
>
> library(lmtest)
Loading required package: zoo
Attaching package: zoo
> bptest(Y ~ X)
studentized Breusch-Pagan test
data: Y ~ X
BP = 0.9315, df = 1, p-value = 0.3345
> dwtest(Y ~ X)
Durbin-Watson test
data: Y ~ X
DW = 1.9797, p-value = 0.3413
alternative hypothesis: true autocorrelation is greater than 0