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Sentiment Data per Topic: France
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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:-4.270e-19 1.680e-21 4.100e-21 6.860e-21 4.338e-19 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 1.565e-20 0.000e+00 1 Output:regressor 1.000e+00 9.795e-19 1.021e+18 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 6.405e-20 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.042e+36 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 0.004276 0.004276 1.0423e+36 < 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] 2.850655e-05 Output:[1] 2.850655e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.447988e-40 -1.444977e-38 Output:regressor -1.444977e-38 9.594045e-37 Output:[1] "-------------------------------------------------------------------------------------------" Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0000e+00 1.2688e-20 0.0000e+00 1 Output:regressor 1.0000e+00 6.7118e-19 1.4899e+18 <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 | 0.3425 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0073999 -0.0032608 -0.0003257 0.0023783 0.0190272 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.004540 0.001234 3.679 0.000326 *** Output:regressor 0.441309 0.049610 8.896 1.81e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.004329 on 149 degrees of freedom Output:Multiple R-squared: 0.3469, Adjusted R-squared: 0.3425 Output:F-statistic: 79.13 on 1 and 149 DF, p-value: 1.807e-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 0.0014832 0.00148320 79.131 1.807e-15 *** Output:Residuals 149 0.0027928 0.00001874 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.850655e-05 Output:[1] 5.077173e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.522886e-06 -5.867321e-05 Output:regressor -5.867321e-05 2.461147e-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) 0.0045405 0.0020378 2.2281 0.02737 * Output:regressor 0.4413095 0.0908977 4.8550 3.01e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.2577 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0093403 -0.0029337 -0.0008981 0.0015372 0.0215978 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.006414 0.002972 -2.159 0.0325 * Output:regressor 0.128579 0.017650 7.285 1.74e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0046 on 149 degrees of freedom Output:Multiple R-squared: 0.2626, Adjusted R-squared: 0.2577 Output:F-statistic: 53.07 on 1 and 149 DF, p-value: 1.736e-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 0.0011230 1.123e-03 53.071 1.736e-11 *** Output:Residuals 149 0.0031529 2.116e-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] 2.850655e-05 Output:[1] 0.0004528569 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.830357e-06 -5.203012e-05 Output:regressor -5.203012e-05 3.115149e-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) -0.0064144 0.0056366 -1.1380 0.2569501 Output:regressor 0.1285788 0.0351202 3.6611 0.0003481 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0948 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0131475 -0.0030664 -0.0003998 0.0017322 0.0246761 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0118998 0.0008767 13.573 < 2e-16 *** Output:regressor 0.1915449 0.0468462 4.089 7.07e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00508 on 149 degrees of freedom Output:Multiple R-squared: 0.1009, Adjusted R-squared: 0.09485 Output:F-statistic: 16.72 on 1 and 149 DF, p-value: 7.068e-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 0.0004314 0.00043138 16.718 7.068e-05 *** Output:Residuals 149 0.0038446 0.00002580 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.850655e-05 Output:[1] 7.83837e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 7.686705e-07 -3.622005e-05 Output:regressor -3.622005e-05 2.194564e-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) 0.0118998 0.0012293 9.6803 < 2e-16 *** Output:regressor 0.1915449 0.0891332 2.1490 0.03325 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.0940 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0094136 -0.0029942 -0.0006066 0.0024327 0.0260577 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.009367 0.001459 6.419 1.73e-09 *** Output:regressor 0.934465 0.229660 4.069 7.63e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005082 on 149 degrees of freedom Output:Multiple R-squared: 0.1, Adjusted R-squared: 0.09396 Output:F-statistic: 16.56 on 1 and 149 DF, p-value: 7.634e-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 0.0004276 0.00042761 16.556 7.634e-05 *** Output:Residuals 149 0.0038484 0.00002583 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.850655e-05 Output:[1] 3.264585e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.129354e-06 -0.0003213856 Output:regressor -3.213856e-04 0.0527438470 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0093672 0.0018587 5.0396 1.334e-06 *** Output:regressor 0.9344648 0.3297194 2.8341 0.005233 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.0823 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0080923 -0.0031851 -0.0005448 0.0018954 0.0266816 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.01144 0.00104 11.000 < 2e-16 *** Output:regressor 0.23137 0.06085 3.803 0.000208 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005115 on 149 degrees of freedom Output:Multiple R-squared: 0.08846, Adjusted R-squared: 0.08234 Output:F-statistic: 14.46 on 1 and 149 DF, p-value: 0.0002084 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0003782 0.00037824 14.459 0.0002084 *** Output:Residuals 149 0.0038977 0.00002616 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.850655e-05 Output:[1] 4.710415e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.081175e-06 -5.797829e-05 Output:regressor -5.797829e-05 3.702340e-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) 0.0114379 0.0010963 10.4328 < 2.2e-16 *** Output:regressor 0.2313708 0.0623820 3.7089 0.0002931 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.0073 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0085979 -0.0032582 -0.0004116 0.0021260 0.0255269 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.01371 0.00103 13.309 <2e-16 *** Output:regressor 0.07927 0.05461 1.452 0.149 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00532 on 149 degrees of freedom Output:Multiple R-squared: 0.01395, Adjusted R-squared: 0.007329 Output:F-statistic: 2.108 on 1 and 149 DF, p-value: 0.1487 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000596 5.9637e-05 2.1075 0.1487 Output:Residuals 149 0.0042163 2.8298e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.850655e-05 Output:[1] 6.326438e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.060405e-06 -5.102202e-05 Output:regressor -5.102202e-05 2.981943e-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) 0.0137048 0.0020006 6.8504 1.809e-10 *** Output:regressor 0.0792747 0.1227452 0.6458 0.5194 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:-7.323e-17 3.100e-19 5.600e-19 7.970e-19 7.145e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.355e-17 1.237e-18 -1.096e+01 <2e-16 *** Output:regressor 1.000e+00 7.239e-17 1.381e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 6.085e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.908e+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 0.0070656 0.0070656 1.9083e+32 < 2.2e-16 *** Output:Residuals 149 0.0000000 0.0000000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.710415e-05 Output:[1] 4.710415e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.530288e-36 -8.206211e-35 Output:regressor -8.206211e-35 5.240270e-33 Error:Warning message: Error:Output:[1] "-------------------------------------------------------------------------------------------" In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.3552e-17 1.7949e-18 -7.5505e+00 4.019e-12 *** Output:regressor 1.0000e+00 8.5436e-17 1.1705e+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 | 0.0823 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.011966 -0.004207 -0.001654 0.002353 0.023364 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.009902 0.001606 6.165 6.28e-09 *** Output:regressor 0.382317 0.100543 3.803 0.000208 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006575 on 149 degrees of freedom Output:Multiple R-squared: 0.08846, Adjusted R-squared: 0.08234 Output:F-statistic: 14.46 on 1 and 149 DF, p-value: 0.0002084 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0006250 6.250e-04 14.459 0.0002084 *** Output:Residuals 149 0.0064406 4.323e-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] 4.710415e-05 Output:[1] 2.850655e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.579367e-06 -0.0001522526 Output:regressor -1.522526e-04 0.0101089386 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0099018 0.0023132 4.2806 3.322e-05 *** Output:regressor 0.3823166 0.1575586 2.4265 0.01644 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.0775 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.014751 -0.004216 -0.001492 0.002807 0.025535 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.011959 0.001138 10.511 < 2e-16 *** Output:regressor 0.224254 0.060792 3.689 0.000315 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006592 on 149 degrees of freedom Output:Multiple R-squared: 0.08368, Adjusted R-squared: 0.07754 Output:F-statistic: 13.61 on 1 and 149 DF, p-value: 0.0003151 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0005913 0.00059129 13.608 0.0003151 *** Output:Residuals 149 0.0064743 0.00004345 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] 4.710415e-05 Output:[1] 7.83837e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.294446e-06 -0.0000609948 Output:regressor -6.099480e-05 0.0036956606 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0119587 0.0016771 7.1305 4.025e-11 *** Output:regressor 0.2242539 0.0938047 2.3906 0.01807 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.0412 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.009165 -0.004380 -0.002015 0.002854 0.024767 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.003908 0.004341 0.900 0.36948 Output:regressor 0.070362 0.025785 2.729 0.00712 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00672 on 149 degrees of freedom Output:Multiple R-squared: 0.0476, Adjusted R-squared: 0.0412 Output:F-statistic: 7.446 on 1 and 149 DF, p-value: 0.007122 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0003363 3.363e-04 7.4463 0.007122 ** Output:Residuals 149 0.0067293 4.516e-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] 4.710415e-05 Output:[1] 0.0004528569 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.884657e-05 -0.0001110475 Output:regressor -1.110475e-04 0.0006648641 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0039079 0.0052593 0.7430 0.45863 Output:regressor 0.0703618 0.0321081 2.1914 0.02998 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.0318 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.009959 -0.004522 -0.001239 0.002845 0.024995 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.020186 0.001939 10.410 <2e-16 *** Output:regressor -0.742808 0.305180 -2.434 0.0161 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006753 on 149 degrees of freedom Output:Multiple R-squared: 0.03824, Adjusted R-squared: 0.03179 Output:F-statistic: 5.924 on 1 and 149 DF, p-value: 0.01612 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0002702 2.7019e-04 5.9244 0.01612 * Output:Residuals 149 0.0067954 4.5607e-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] 4.710415e-05 Output:[1] 3.264585e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.759998e-06 -0.0005675003 Output:regressor -5.675003e-04 0.0931346964 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0201861 0.0033502 6.0253 1.266e-08 *** Output:regressor -0.7428076 0.4759010 -1.5608 0.1207 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.0158 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.009573 -0.004354 -0.001644 0.002587 0.026324 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.012229 0.001941 6.301 3.16e-09 *** Output:regressor 0.143896 0.078023 1.844 0.0671 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006809 on 149 degrees of freedom Output:Multiple R-squared: 0.02232, Adjusted R-squared: 0.01576 Output:F-statistic: 3.401 on 1 and 149 DF, p-value: 0.06713 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0001577 1.5769e-04 3.4013 0.06713 . Output:Residuals 149 0.0069079 4.6362e-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] 4.710415e-05 Output:[1] 5.077173e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.766849e-06 -0.0001451278 Output:regressor -1.451278e-04 0.0060876330 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0122294 0.0021884 5.5883 1.062e-07 *** Output:regressor 0.1438964 0.0730177 1.9707 0.05061 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | -0.0032 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.008773 -0.004476 -0.001867 0.002560 0.024868 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.016534 0.001331 12.425 <2e-16 *** Output:regressor -0.051078 0.070566 -0.724 0.47 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006874 on 149 degrees of freedom Output:Multiple R-squared: 0.003504, Adjusted R-squared: -0.003184 Output:F-statistic: 0.5239 on 1 and 149 DF, p-value: 0.4703 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000248 2.4758e-05 0.5239 0.4703 Output:Residuals 149 0.0070409 4.7254e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.710415e-05 Output:[1] 6.326438e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.770768e-06 -8.520156e-05 Output:regressor -8.520156e-05 4.979540e-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) 0.016534 0.002342 7.0597 5.899e-11 *** Output:regressor -0.051077 0.116363 -0.4390 0.6613 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:-1.422e-18 -5.568e-20 2.203e-20 7.975e-20 5.216e-19 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 5.744e-20 0.000e+00 1 Output:regressor 1.000e+00 9.040e-18 1.106e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2e-19 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.224e+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 0.00048969 0.00048969 1.2237e+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) : Output:Error: ANOVA F-tests on an essentially perfect fit are unreliable[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.264585e-06 Output:[1] 3.264585e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor ErrorOutput::Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable (Intercept) 3.299235e-39 -4.979568e-37 Output:regressor -4.979568e-37 8.172164e-35 Output:[1] "-------------------------------------------------------------------------------------------" 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 1.3699e-19 0.0000e+00 1 Output:regressor 1.0000e+00 2.3600e-17 4.2373e+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 | RO | 0.1512 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0029705 -0.0010146 -0.0003492 0.0006263 0.0089855 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0045541 0.0003222 14.132 < 2e-16 *** Output:regressor 0.0899580 0.0170884 5.264 4.83e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001665 on 149 degrees of freedom Output:Multiple R-squared: 0.1568, Adjusted R-squared: 0.1512 Output:F-statistic: 27.71 on 1 and 149 DF, p-value: 4.826e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00007679 7.6794e-05 27.713 4.826e-07 *** Output:Residuals 149 0.00041289 2.7710e-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] 3.264585e-06 Output:[1] 6.326438e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.038421e-07 -4.996425e-06 Output:regressor -4.996425e-06 2.920122e-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) 0.00455412 0.00070335 6.4749 1.295e-09 *** Output:regressor 0.08995798 0.03130907 2.8732 0.004657 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | 0.1204 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0036564 -0.0009545 -0.0001803 0.0009527 0.0080800 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0048966 0.0002925 16.74 < 2e-16 *** Output:regressor 0.0725103 0.0156280 4.64 7.58e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001695 on 149 degrees of freedom Output:Multiple R-squared: 0.1262, Adjusted R-squared: 0.1204 Output:F-statistic: 21.53 on 1 and 149 DF, p-value: 7.58e-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 0.00006182 6.1818e-05 21.527 7.58e-06 *** Output:Residuals 149 0.00042787 2.8720e-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] 3.264585e-06 Output:[1] 7.83837e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.554605e-08 -4.030963e-06 Output:regressor -4.030963e-06 2.442351e-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) 0.0048966 0.0005084 9.6314 < 2.2e-16 *** Output:regressor 0.0725103 0.0254394 2.8503 0.004987 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | 0.0940 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0037231 -0.0010069 -0.0001217 0.0010123 0.0067470 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0044815 0.0004201 10.667 < 2e-16 *** Output:regressor 0.1070154 0.0263008 4.069 7.63e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00172 on 149 degrees of freedom Output:Multiple R-squared: 0.1, Adjusted R-squared: 0.09396 Output:F-statistic: 16.56 on 1 and 149 DF, p-value: 7.634e-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 0.00004897 4.897e-05 16.556 7.634e-05 *** Output:Residuals 149 0.00044072 2.958e-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] 3.264585e-06 Output:[1] 2.850655e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.765006e-07 -1.041832e-05 Output:regressor -1.041832e-05 6.917332e-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) 0.00448155 0.00060356 7.4252 8.038e-12 *** Output:regressor 0.10701541 0.04170319 2.5661 0.01127 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.0789 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0042479 -0.0009604 -0.0000328 0.0010358 0.0078896 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0043302 0.0004943 8.761 3.99e-15 *** Output:regressor 0.0739573 0.0198703 3.722 0.00028 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001734 on 149 degrees of freedom Output:Multiple R-squared: 0.08507, Adjusted R-squared: 0.07893 Output:F-statistic: 13.85 on 1 and 149 DF, p-value: 0.0002796 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00004166 4.1656e-05 13.853 0.0002796 *** Output:Residuals 149 0.00044803 3.0070e-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] 3.264585e-06 Output:[1] 5.077173e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.443089e-07 -9.412650e-06 Output:regressor -9.412650e-06 3.948295e-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) 0.00433020 0.00060734 7.1298 4.038e-11 *** Output:regressor 0.07395725 0.02679605 2.7600 0.006506 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | DE | 0.0318 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0034838 -0.0009814 -0.0003684 0.0008365 0.0085151 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0068995 0.0003614 19.089 <2e-16 *** Output:regressor -0.0514808 0.0211507 -2.434 0.0161 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001778 on 149 degrees of freedom Output:Multiple R-squared: 0.03824, Adjusted R-squared: 0.03179 Output:F-statistic: 5.924 on 1 and 149 DF, p-value: 0.01612 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00001873 1.8726e-05 5.9244 0.01612 * Output:Residuals 149 0.00047096 3.1608e-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] 3.264585e-06 Output:[1] 4.710415e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.306378e-07 -7.005484e-06 Output:regressor -7.005484e-06 4.473517e-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) 0.00689951 0.00043897 15.7174 <2e-16 *** Output:regressor -0.05148078 0.03159689 -1.6293 0.1054 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.0017 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0037962 -0.0010212 -0.0002165 0.0009680 0.0078344 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.004794 0.001166 4.111 6.49e-05 *** Output:regressor 0.007781 0.006926 1.123 0.263 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001805 on 149 degrees of freedom Output:Multiple R-squared: 0.008398, Adjusted R-squared: 0.001743 Output:F-statistic: 1.262 on 1 and 149 DF, p-value: 0.2631 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00000411 4.1122e-06 1.2618 0.2631 Output:Residuals 149 0.00048558 3.2589e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.264585e-06 Output:[1] 0.0004528569 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.359934e-06 -8.012984e-06 Output:regressor -8.012984e-06 4.797537e-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) 0.0047938 0.0020679 2.3182 0.0218 * Output:regressor 0.0077806 0.0134435 0.5788 0.5636 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:-4.996e-18 -1.100e-18 -2.017e-19 8.222e-19 1.698e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -3.614e-17 1.434e-18 -2.520e+01 <2e-16 *** Output:regressor 1.000e+00 8.517e-18 1.174e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.22e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.379e+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 0.067929 0.067929 1.3786e+34 < 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] 0.0004528569 Output:[1] 0.0004528569 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.056197e-36 -1.211550e-35 Output:regressor -1.211550e-35 7.253795e-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) -3.6139e-17 2.2956e-18 -1.5743e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.3849e-17 7.2207e+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 | 0.2577 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.056148 -0.010161 -0.000113 0.012628 0.057607 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.136259 0.004479 30.423 < 2e-16 *** Output:regressor 2.042612 0.280386 7.285 1.74e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01833 on 149 degrees of freedom Output:Multiple R-squared: 0.2626, Adjusted R-squared: 0.2577 Output:F-statistic: 53.07 on 1 and 149 DF, p-value: 1.736e-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 0.017841 0.0178405 53.071 1.736e-11 *** Output:Residuals 149 0.050088 0.0003362 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] 0.0004528569 Output:[1] 2.850655e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.005946e-05 -0.001184052 Output:regressor -1.184052e-03 0.078616131 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.1362587 0.0040584 33.5747 < 2.2e-16 *** Output:regressor 2.0426122 0.2507022 8.1476 1.387e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.2247 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.052984 -0.011624 -0.000056 0.011468 0.050823 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.132889 0.005341 24.880 < 2e-16 *** Output:regressor 1.431805 0.214717 6.668 4.73e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01874 on 149 degrees of freedom Output:Multiple R-squared: 0.2298, Adjusted R-squared: 0.2247 Output:F-statistic: 44.47 on 1 and 149 DF, p-value: 4.731e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.015613 0.0156128 44.467 4.731e-10 *** Output:Residuals 149 0.052316 0.0003511 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] 0.0004528569 Output:[1] 5.077173e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.852743e-05 -0.001099095 Output:regressor -1.099095e-03 0.046103392 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.1328890 0.0058909 22.5584 < 2.2e-16 *** Output:regressor 1.4318049 0.2163938 6.6167 6.201e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.0691 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.050308 -0.011409 -0.001498 0.011679 0.070785 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.179588 0.003975 45.185 < 2e-16 *** Output:regressor -0.734335 0.210766 -3.484 0.000649 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02053 on 149 degrees of freedom Output:Multiple R-squared: 0.07533, Adjusted R-squared: 0.06913 Output:F-statistic: 12.14 on 1 and 149 DF, p-value: 0.0006486 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.005117 0.0051173 12.139 0.0006486 *** Output:Residuals 149 0.062811 0.0004216 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] 0.0004528569 Output:[1] 6.326438e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.579694e-05 -0.0007600795 Output:regressor -7.600795e-04 0.0444222654 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.1795876 0.0071783 25.0182 < 2e-16 *** Output:regressor -0.7343352 0.4413863 -1.6637 0.09827 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.0412 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.056781 -0.011565 -0.001317 0.011876 0.074631 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.156430 0.004236 36.927 < 2e-16 *** Output:regressor 0.676455 0.247895 2.729 0.00712 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02084 on 149 degrees of freedom Output:Multiple R-squared: 0.0476, Adjusted R-squared: 0.0412 Output:F-statistic: 7.446 on 1 and 149 DF, p-value: 0.007122 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.003233 0.0032332 7.4463 0.007122 ** Output:Residuals 149 0.064695 0.0004342 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] 0.0004528569 Output:[1] 4.710415e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.794553e-05 -0.0009623334 Output:regressor -9.623334e-04 0.0614520667 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.1564297 0.0053005 29.5120 < 2.2e-16 *** Output:regressor 0.6764546 0.2506672 2.6986 0.007767 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | 0.0084 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.056783 -0.010895 -0.000858 0.012436 0.070379 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.162169 0.003658 44.338 <2e-16 *** Output:regressor 0.294078 0.195434 1.505 0.135 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02119 on 149 degrees of freedom Output:Multiple R-squared: 0.01497, Adjusted R-squared: 0.008358 Output:F-statistic: 2.264 on 1 and 149 DF, p-value: 0.1345 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.001017 0.00101681 2.2643 0.1345 Output:Residuals 149 0.066912 0.00044907 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0004528569 Output:[1] 7.83837e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.337799e-05 -0.0006303761 Output:regressor -6.303761e-04 0.0381943348 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.1621693 0.0066772 24.2870 <2e-16 *** Output:regressor 0.2940776 0.3729822 0.7884 0.4317 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.0017 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.063893 -0.012698 0.000056 0.013988 0.068027 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.160446 0.006105 26.281 <2e-16 *** Output:regressor 1.079303 0.960820 1.123 0.263 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02126 on 149 degrees of freedom Output:Multiple R-squared: 0.008398, Adjusted R-squared: 0.001743 Output:F-statistic: 1.262 on 1 and 149 DF, p-value: 0.2631 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000570 0.00057044 1.2618 0.2631 Output:Residuals 149 0.067358 0.00045207 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0004528569 Output:[1] 3.264585e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.727009e-05 -0.005625212 Output:regressor -5.625212e-03 0.923175606 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.160446 0.010583 15.1611 <2e-16 *** Output:regressor 1.079303 1.660284 0.6501 0.5166 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:-2.881e-18 -2.047e-19 -1.012e-19 2.220e-20 1.772e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.517e-18 4.298e-19 -1.051e+01 <2e-16 *** Output:regressor 1.000e+00 1.728e-17 5.788e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.508e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.35e+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 0.0076158 0.0076158 3.35e+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] 5.077173e-05 Output:[1] 5.077173e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.847049e-37 -7.116247e-36 Output:regressor -7.116247e-36 2.985030e-34 Output:[1] "-------------------------------------------------------------------------------------------" Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.5174e-18 2.7253e-19 -1.6576e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.4871e-17 6.7243e+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 | 0.3425 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0206886 -0.0042830 -0.0000375 0.0033303 0.0173840 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.012002 0.001411 8.503 1.79e-14 *** Output:regressor 0.785996 0.088358 8.896 1.81e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005778 on 149 degrees of freedom Output:Multiple R-squared: 0.3469, Adjusted R-squared: 0.3425 Output:F-statistic: 79.13 on 1 and 149 DF, p-value: 1.807e-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 0.0026417 0.00264166 79.131 1.807e-15 *** Output:Residuals 149 0.0049741 0.00003338 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] 5.077173e-05 Output:[1] 2.850655e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.992048e-06 -0.0001175848 Output:regressor -1.175848e-04 0.0078071448 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0120017 0.0026498 4.5292 1.205e-05 *** Output:regressor 0.7859965 0.1993601 3.9426 0.0001236 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.2247 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0212554 -0.0036269 -0.0007057 0.0032370 0.0299454 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.002972 0.004053 -0.733 0.465 Output:regressor 0.160526 0.024073 6.668 4.73e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006274 on 149 degrees of freedom Output:Multiple R-squared: 0.2298, Adjusted R-squared: 0.2247 Output:F-statistic: 44.47 on 1 and 149 DF, p-value: 4.731e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0017504 0.00175042 44.467 4.731e-10 *** Output:Residuals 149 0.0058653 0.00003936 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] 5.077173e-05 Output:[1] 0.0004528569 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.642685e-05 -9.679004e-05 Output:regressor -9.679004e-05 5.795017e-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) -0.0029717 0.0075083 -0.3958 0.692828 Output:regressor 0.1605258 0.0480067 3.3438 0.001045 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.0993 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0195288 -0.0040956 -0.0008693 0.0030726 0.0308313 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.019529 0.001167 16.732 < 2e-16 *** Output:regressor 0.261204 0.062364 4.188 4.79e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006762 on 149 degrees of freedom Output:Multiple R-squared: 0.1053, Adjusted R-squared: 0.09933 Output:F-statistic: 17.54 on 1 and 149 DF, p-value: 4.791e-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 0.0008022 0.00080219 17.542 4.791e-05 *** Output:Residuals 149 0.0068136 0.00004573 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] 5.077173e-05 Output:[1] 7.83837e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.36227e-06 -0.0000641907 Output:regressor -6.41907e-05 0.0038892990 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0195288 0.0019056 10.2480 < 2e-16 *** Output:regressor 0.2612043 0.1474755 1.7712 0.07858 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.0789 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.023220 -0.003726 -0.000850 0.003387 0.035539 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.016831 0.001964 8.572 1.2e-14 *** Output:regressor 1.150204 0.309029 3.722 0.00028 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006838 on 149 degrees of freedom Output:Multiple R-squared: 0.08507, Adjusted R-squared: 0.07893 Output:F-statistic: 13.85 on 1 and 149 DF, p-value: 0.0002796 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0006478 0.00064784 13.853 0.0002796 *** Output:Residuals 149 0.0069679 0.00004676 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] 5.077173e-05 Output:[1] 3.264585e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.855437e-06 -0.000581905 Output:regressor -5.819050e-04 0.095498704 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0168312 0.0030046 5.6018 9.956e-08 *** Output:regressor 1.1502035 0.5512520 2.0865 0.03863 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.0158 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.022686 -0.003936 -0.000895 0.002821 0.036754 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.021411 0.001437 14.898 <2e-16 *** Output:regressor 0.155100 0.084098 1.844 0.0671 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007069 on 149 degrees of freedom Output:Multiple R-squared: 0.02232, Adjusted R-squared: 0.01576 Output:F-statistic: 3.401 on 1 and 149 DF, p-value: 0.06713 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0001700 1.6997e-04 3.4013 0.06713 . Output:Residuals 149 0.0074458 4.9972e-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] 5.077173e-05 Output:[1] 4.710415e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.065350e-06 -0.0001107549 Output:regressor -1.107549e-04 0.0070725155 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0214109 0.0015351 13.9472 < 2e-16 *** Output:regressor 0.1551003 0.0821025 1.8891 0.06082 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.0062 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.024264 -0.004148 -0.000988 0.002934 0.034792 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.022106 0.001375 16.08 <2e-16 *** Output:regressor 0.101344 0.072919 1.39 0.167 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007103 on 149 degrees of freedom Output:Multiple R-squared: 0.0128, Adjusted R-squared: 0.006172 Output:F-statistic: 1.932 on 1 and 149 DF, p-value: 0.1667 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000975 9.7465e-05 1.9316 0.1667 Output:Residuals 149 0.0075183 5.0458e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.077173e-05 Output:[1] 6.326438e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.890840e-06 -9.097893e-05 Output:regressor -9.097893e-05 5.317194e-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) 0.0221057 0.0026083 8.4752 2.103e-14 *** Output:regressor 0.1013444 0.1795715 0.5644 0.5734 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:-2.597e-18 -2.601e-19 -1.918e-19 -4.450e-20 1.702e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.259e-18 2.619e-19 8.625e+00 8.79e-15 *** Output:regressor 1.000e+00 1.399e-17 7.147e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.517e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.108e+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 0.011758 0.011758 5.1076e+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] 7.83837e-05 Output:[1] 7.83837e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.857619e-38 -3.231337e-36 Output:regressor -3.231337e-36 1.957859e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.2587e-18 5.2084e-19 4.3367e+00 2.652e-05 *** Output:regressor 1.0000e+00 2.7302e-17 3.6627e+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 | 0.1204 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0201449 -0.0037319 -0.0003137 0.0028403 0.0295349 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.005896 0.002384 2.473 0.0145 * Output:regressor 1.740995 0.375234 4.640 7.58e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.008304 on 149 degrees of freedom Output:Multiple R-squared: 0.1262, Adjusted R-squared: 0.1204 Output:F-statistic: 21.53 on 1 and 149 DF, p-value: 7.58e-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 0.0014843 0.00148428 21.527 7.58e-06 *** Output:Residuals 149 0.0102733 0.00006895 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] 7.83837e-05 Output:[1] 3.264585e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.684336e-06 -0.0008579425 Output:regressor -8.579425e-04 0.1408002945 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0058960 0.0032986 1.7874 0.075902 . Output:regressor 1.7409955 0.5769681 3.0175 0.002998 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.0993 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0187833 -0.0037761 -0.0004478 0.0028153 0.0297509 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.006891 0.002395 2.877 0.0046 ** Output:regressor 0.403259 0.096281 4.188 4.79e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.008402 on 149 degrees of freedom Output:Multiple R-squared: 0.1053, Adjusted R-squared: 0.09933 Output:F-statistic: 17.54 on 1 and 149 DF, p-value: 4.791e-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 0.0012385 0.0012385 17.542 4.791e-05 *** Output:Residuals 149 0.0105191 0.0000706 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] 7.83837e-05 Output:[1] 5.077173e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.735994e-06 -0.0002209944 Output:regressor -2.209944e-04 0.0092699840 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0068908 0.0036175 1.9049 0.058725 . Output:regressor 0.4032590 0.1321487 3.0516 0.002696 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.0948 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.018869 -0.004439 -0.000506 0.003021 0.032360 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.008572 0.002058 4.166 5.23e-05 *** Output:regressor 0.526686 0.128812 4.089 7.07e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.008423 on 149 degrees of freedom Output:Multiple R-squared: 0.1009, Adjusted R-squared: 0.09485 Output:F-statistic: 16.72 on 1 and 149 DF, p-value: 7.068e-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 0.0011861 0.00118615 16.718 7.068e-05 *** Output:Residuals 149 0.0105714 0.00007095 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] 7.83837e-05 Output:[1] 2.850655e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.233682e-06 -0.000249902 Output:regressor -2.499020e-04 0.016592455 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0085719 0.0029765 2.8798 0.004565 ** Output:regressor 0.5266858 0.1859833 2.8319 0.005268 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.0917 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0248628 -0.0026441 -0.0000662 0.0028262 0.0280827 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.010551 0.001633 6.459 1.40e-09 *** Output:regressor 0.347964 0.086618 4.017 9.31e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.008438 on 149 degrees of freedom Output:Multiple R-squared: 0.09772, Adjusted R-squared: 0.09167 Output:F-statistic: 16.14 on 1 and 149 DF, p-value: 9.311e-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 0.001149 0.0011490 16.138 9.311e-05 *** Output:Residuals 149 0.010609 0.0000712 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] 7.83837e-05 Output:[1] 6.326438e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.668038e-06 -0.0001283743 Output:regressor -1.283743e-04 0.0075027349 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0105507 0.0032157 3.2810 0.001288 ** Output:regressor 0.3479637 0.2409237 1.4443 0.150757 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.0775 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.016410 -0.004523 -0.000654 0.003062 0.032267 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.010661 0.001729 6.167 6.24e-09 *** Output:regressor 0.373170 0.101161 3.689 0.000315 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.008503 on 149 degrees of freedom Output:Multiple R-squared: 0.08368, Adjusted R-squared: 0.07754 Output:F-statistic: 13.61 on 1 and 149 DF, p-value: 0.0003151 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0009839 0.00098393 13.608 0.0003151 *** Output:Residuals 149 0.0107736 0.00007231 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] 7.83837e-05 Output:[1] 4.710415e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.988442e-06 -0.000160256 Output:regressor -1.602560e-04 0.010233523 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0106606 0.0035833 2.9751 0.003418 ** Output:regressor 0.3731698 0.2088883 1.7865 0.076059 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.0084 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.015740 -0.004921 -0.000972 0.002971 0.034551 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.008003 0.005695 1.405 0.162 Output:regressor 0.050901 0.033827 1.505 0.135 Output: Output:Residual standard error: 0.008816 on 149 degrees of freedom Output:Multiple R-squared: 0.01497, Adjusted R-squared: 0.008358 Output:F-statistic: 2.264 on 1 and 149 DF, p-value: 0.1345 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000176 1.7600e-04 2.2643 0.1345 Output:Residuals 149 0.011582 7.7729e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 7.83837e-05 Output:[1] 0.0004528569 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.243604e-05 -0.0001911192 Output:regressor -1.911192e-04 0.0011442698 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0080028 0.0125071 0.6399 0.5232 Output:regressor 0.0509010 0.0710945 0.7160 0.4751 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:-1.072e-17 -2.310e-19 -1.900e-21 3.728e-19 1.744e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.259e-18 2.053e-19 1.100e+01 <2e-16 *** Output:regressor 1.000e+00 1.089e-17 9.183e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.061e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 8.434e+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 0.0094897 0.0094897 8.4336e+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] 6.326438e-05 Output:[1] 6.326438e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.216576e-38 -2.028831e-36 Output:regressor -2.028831e-36 1.185735e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.2587e-18 2.1252e-19 1.0628e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.4397e-17 6.9457e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.1512 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.023332 -0.004644 -0.000898 0.003650 0.021982 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.006488 0.002104 3.083 0.00244 ** Output:regressor 1.743295 0.331155 5.264 4.83e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007328 on 149 degrees of freedom Output:Multiple R-squared: 0.1568, Adjusted R-squared: 0.1512 Output:F-statistic: 27.71 on 1 and 149 DF, p-value: 4.826e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0014882 0.0014882 27.713 4.826e-07 *** Output:Residuals 149 0.0080015 0.0000537 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] 6.326438e-05 Output:[1] 3.264585e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.427308e-06 -0.000668218 Output:regressor -6.682180e-04 0.109663872 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0064879 0.0041816 1.5515 0.12289 Output:regressor 1.7432953 0.7811839 2.2316 0.02713 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.0917 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.011547 -0.005395 -0.001282 0.003638 0.028656 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.012475 0.001308 9.535 < 2e-16 *** Output:regressor 0.280846 0.069911 4.017 9.31e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007581 on 149 degrees of freedom Output:Multiple R-squared: 0.09772, Adjusted R-squared: 0.09167 Output:F-statistic: 16.14 on 1 and 149 DF, p-value: 9.311e-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 0.0009274 0.00092737 16.138 9.311e-05 *** Output:Residuals 149 0.0085623 0.00005747 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] 6.326438e-05 Output:[1] 7.83837e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.711901e-06 -8.066542e-05 Output:regressor -8.066542e-05 4.887498e-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) 0.0124751 0.0049419 2.5243 0.01264 * Output:regressor 0.2808455 0.2305398 1.2182 0.22507 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.0691 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.013232 -0.004788 -0.001154 0.003864 0.029328 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.034245 0.004957 6.908 1.33e-10 *** Output:regressor -0.102587 0.029444 -3.484 0.000649 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007674 on 149 degrees of freedom Output:Multiple R-squared: 0.07533, Adjusted R-squared: 0.06913 Output:F-statistic: 12.14 on 1 and 149 DF, p-value: 0.0006486 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0007149 0.00071489 12.139 0.0006486 *** Output:Residuals 149 0.0087748 0.00005889 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] 6.326438e-05 Output:[1] 0.0004528569 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.457518e-05 -0.0001448015 Output:regressor -1.448015e-04 0.0008669563 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.034245 0.010373 3.3013 0.001204 ** Output:regressor -0.102587 0.061479 -1.6687 0.097286 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.0073 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0129661 -0.0056344 -0.0008987 0.0043472 0.0244935 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.014461 0.001936 7.470 6.28e-12 *** Output:regressor 0.175934 0.121189 1.452 0.149 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007925 on 149 degrees of freedom Output:Multiple R-squared: 0.01395, Adjusted R-squared: 0.007329 Output:F-statistic: 2.108 on 1 and 149 DF, p-value: 0.1487 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0001324 1.3235e-04 2.1075 0.1487 Output:Residuals 149 0.0093573 6.2801e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.326438e-05 Output:[1] 2.850655e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.747453e-06 -0.0002212013 Output:regressor -2.212013e-04 0.0146868489 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0144606 0.0038325 3.7731 0.0002321 *** Output:regressor 0.1759337 0.2665774 0.6600 0.5102905 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 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:-0.012260 -0.005801 -0.001249 0.004288 0.024921 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.01410 0.00226 6.238 4.35e-09 *** Output:regressor 0.12628 0.09086 1.390 0.167 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007929 on 149 degrees of freedom Output:Multiple R-squared: 0.0128, Adjusted R-squared: 0.006172 Output:F-statistic: 1.932 on 1 and 149 DF, p-value: 0.1667 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0001214 1.2145e-04 1.9316 0.1667 Output:Residuals 149 0.0093682 6.2874e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.326438e-05 Output:[1] 5.077173e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.108423e-06 -0.0001968156 Output:regressor -1.968156e-04 0.0082557619 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0140998 0.0046143 3.0557 0.002662 ** Output:regressor 0.1262808 0.1875356 0.6734 0.501755 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | -0.0032 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.012977 -0.005684 -0.001199 0.004122 0.024872 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.01818 0.00162 11.228 <2e-16 *** Output:regressor -0.06860 0.09477 -0.724 0.47 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007967 on 149 degrees of freedom Output:Multiple R-squared: 0.003504, Adjusted R-squared: -0.003184 Output:F-statistic: 0.5239 on 1 and 149 DF, p-value: 0.4703 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000333 3.3251e-05 0.5239 0.4703 Output:Residuals 149 0.0094564 6.3466e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.326438e-05 Output:[1] 4.710415e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.623065e-06 -0.0001406625 Output:regressor -1.406625e-04 0.0089823375 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0181846 0.0026019 6.9890 8.628e-11 *** Output:regressor -0.0686009 0.1496021 -0.4586 0.6472 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:-6.802e-16 8.800e-19 5.360e-18 8.310e-18 7.314e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.168e-16 1.742e-17 -1.245e+01 <2e-16 *** Output:regressor 1.000e+00 3.358e-17 2.978e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 5.685e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 8.867e+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 2.8652 2.8652 8.8665e+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] 0.01910153 Output:[1] 0.01910153 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.033102e-34 -5.638687e-34 Output:regressor -5.638687e-34 1.127837e-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) -2.1684e-16 1.9011e-17 -1.1406e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 2.9392e-17 3.4023e+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 | 0.0637 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.28530 -0.09014 -0.01277 0.09432 0.36411 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.42506 0.02488 17.084 < 2e-16 *** Output:regressor 0.93578 0.27956 3.347 0.00103 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1337 on 149 degrees of freedom Output:Multiple R-squared: 0.06994, Adjusted R-squared: 0.0637 Output:F-statistic: 11.2 on 1 and 149 DF, p-value: 0.001033 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.20039 0.200386 11.204 0.001033 ** Output:Residuals 149 2.66484 0.017885 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] 0.01910153 Output:[1] 0.001525568 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0006190817 -0.006255236 Output:regressor -0.0062552356 0.078156076 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.425061 0.032459 13.0952 < 2.2e-16 *** Output:regressor 0.935777 0.331210 2.8253 0.005371 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0289 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.28516 -0.09536 -0.01249 0.08818 0.34585 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.57488 0.03391 16.951 <2e-16 *** Output:regressor -0.10782 0.04612 -2.338 0.0207 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1362 on 149 degrees of freedom Output:Multiple R-squared: 0.03538, Adjusted R-squared: 0.02891 Output:F-statistic: 5.465 on 1 and 149 DF, p-value: 0.02073 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.10137 0.101371 5.4649 0.02073 * Output:Residuals 149 2.76386 0.018549 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] 0.01910153 Output:[1] 0.05813169 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001150160 -0.001478308 Output:regressor -0.001478308 0.002127283 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.574884 0.030768 18.6846 < 2e-16 *** Output:regressor -0.107822 0.042910 -2.5128 0.01304 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 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:-0.30636 -0.10584 -0.00164 0.08540 0.38287 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.59199 0.08088 7.320 1.44e-11 *** Output:regressor -0.12073 0.10507 -1.149 0.252 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1381 on 149 degrees of freedom Output:Multiple R-squared: 0.008784, Adjusted R-squared: 0.002131 Output:F-statistic: 1.32 on 1 and 149 DF, p-value: 0.2524 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.02517 0.025167 1.3203 0.2524 Output:Residuals 149 2.84006 0.019061 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01910153 Output:[1] 0.01151054 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006540773 -0.00841512 Output:regressor -0.008415120 0.01103964 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.591985 0.092629 6.3909 1.996e-09 *** Output:regressor -0.120732 0.113456 -1.0641 0.289 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | -0.0038 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.30596 -0.09825 -0.01328 0.09290 0.36946 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.45684 0.06639 6.881 1.53e-10 *** Output:regressor 0.06243 0.09474 0.659 0.511 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1385 on 149 degrees of freedom Output:Multiple R-squared: 0.002906, Adjusted R-squared: -0.003786 Output:F-statistic: 0.4342 on 1 and 149 DF, p-value: 0.5109 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00833 0.0083255 0.4342 0.5109 Output:Residuals 149 2.85690 0.0191739 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01910153 Output:[1] 0.01424263 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004407519 -0.006198167 Output:regressor -0.006198167 0.008974865 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.456844 0.081283 5.6204 9.108e-08 *** Output:regressor 0.062426 0.106225 0.5877 0.5576 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | -0.0039 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.30857 -0.10575 -0.01145 0.08527 0.36981 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.5853 0.1325 4.416 1.92e-05 *** Output:regressor -0.1164 0.1802 -0.646 0.519 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1385 on 149 degrees of freedom Output:Multiple R-squared: 0.002793, Adjusted R-squared: -0.0039 Output:F-statistic: 0.4173 on 1 and 149 DF, p-value: 0.5193 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0080 0.0080028 0.4173 0.5193 Output:Residuals 149 2.8572 0.0191760 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01910153 Output:[1] 0.0039377 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01756542 -0.02379392 Output:regressor -0.02379392 0.03246569 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.58526 0.18156 3.2235 0.001556 ** Output:regressor -0.11640 0.24331 -0.4784 0.633061 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | -0.0056 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.30540 -0.10315 -0.01176 0.08710 0.36742 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.54219 0.10342 5.243 5.33e-07 *** Output:regressor -0.05461 0.13293 -0.411 0.682 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1386 on 149 degrees of freedom Output:Multiple R-squared: 0.001132, Adjusted R-squared: -0.005572 Output:F-statistic: 0.1688 on 1 and 149 DF, p-value: 0.6818 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- 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 0.0032421 0.1688 0.6818 Output:Residuals 149 2.86199 0.0192080 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01910153 Output:[1] 0.007246425 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01069546 -0.01366579 Output:regressor -0.01366579 0.01767122 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.542191 0.196971 2.7526 0.006647 ** Output:regressor -0.054614 0.249205 -0.2192 0.826830 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:-4.686e-16 -7.000e-19 2.900e-18 5.670e-18 3.416e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.446e-16 1.886e-17 -7.666e+00 2.11e-12 *** Output:regressor 1.000e+00 2.691e-17 3.716e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.933e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.381e+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 2.1364 2.1364 1.3811e+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] 0.01424263 Output:[1] 0.01424263 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.555869e-34 -5.000515e-34 Output:regressor -5.000515e-34 7.240681e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.4456e-16 1.0302e-17 -1.4031e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.1809e-17 8.4678e+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 | FR | 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:-0.43328 -0.06066 0.00967 0.07535 0.27169 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.2713 0.1093 2.482 0.014175 * Output:regressor 0.5722 0.1486 3.851 0.000174 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1142 on 149 degrees of freedom Output:Multiple R-squared: 0.09051, Adjusted R-squared: 0.08441 Output:F-statistic: 14.83 on 1 and 149 DF, p-value: 0.0001743 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.19337 0.19337 14.829 0.0001743 *** Output:Residuals 149 1.94302 0.01304 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] 0.01424263 Output:[1] 0.0039377 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01194515 -0.01618076 Output:regressor -0.01618076 0.02207789 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.27127 0.17963 1.5101 0.13313 Output:regressor 0.57218 0.24924 2.2957 0.02309 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.0403 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.36259 -0.06296 0.01780 0.07609 0.26843 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.50737 0.06849 7.408 8.82e-12 *** Output:regressor 0.24039 0.08898 2.702 0.0077 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1169 on 149 degrees of freedom Output:Multiple R-squared: 0.0467, Adjusted R-squared: 0.04031 Output:F-statistic: 7.3 on 1 and 149 DF, p-value: 0.007696 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.09978 0.099778 7.2998 0.007696 ** Output:Residuals 149 2.03662 0.013669 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] 0.01424263 Output:[1] 0.01151054 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004690405 -0.006034504 Output:regressor -0.006034504 0.007916555 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.50737 0.05349 9.4854 < 2.2e-16 *** Output:regressor 0.24039 0.06773 3.5493 0.0005171 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.0375 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.36776 -0.07234 0.01739 0.07736 0.26037 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.46347 0.08737 5.305 4.01e-07 *** Output:regressor 0.29372 0.11230 2.615 0.00983 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1171 on 149 degrees of freedom Output:Multiple R-squared: 0.04389, Adjusted R-squared: 0.03748 Output:F-statistic: 6.84 on 1 and 149 DF, p-value: 0.009829 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.09377 0.093774 6.8404 0.009829 ** Output:Residuals 149 2.04262 0.013709 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] 0.01424263 Output:[1] 0.007246425 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007633423 -0.009753372 Output:regressor -0.009753372 0.012612070 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.463469 0.081718 5.6716 7.13e-08 *** Output:regressor 0.293720 0.101671 2.8889 0.004443 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | -0.0006 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.36249 -0.06541 0.01545 0.08681 0.24969 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.71741 0.02973 24.134 <2e-16 *** Output:regressor -0.03856 0.04043 -0.954 0.342 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1194 on 149 degrees of freedom Output:Multiple R-squared: 0.006069, Adjusted R-squared: -0.0006014 Output:F-statistic: 0.9098 on 1 and 149 DF, p-value: 0.3417 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01297 0.012966 0.9098 0.3417 Output:Residuals 149 2.12343 0.014251 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01424263 Output:[1] 0.05813169 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008836499 -0.001135760 Output:regressor -0.0011357603 0.001634358 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.717411 0.039487 18.1683 <2e-16 *** Output:regressor -0.038562 0.052007 -0.7415 0.4596 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | -0.0038 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.36470 -0.06956 0.01742 0.08074 0.24580 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.66734 0.03663 18.218 <2e-16 *** Output:regressor 0.04655 0.07064 0.659 0.511 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1196 on 149 degrees of freedom Output:Multiple R-squared: 0.002906, Adjusted R-squared: -0.003786 Output:F-statistic: 0.4342 on 1 and 149 DF, p-value: 0.5109 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00621 0.0062078 0.4342 0.5109 Output:Residuals 149 2.13019 0.0142966 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01424263 Output:[1] 0.01910153 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001341877 -0.002494616 Output:regressor -0.002494616 0.004989672 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.667343 0.034579 19.2988 <2e-16 *** Output:regressor 0.046547 0.074855 0.6218 0.535 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | -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:-0.36550 -0.06678 0.01531 0.08097 0.24600 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.68893 0.02228 30.925 <2e-16 *** Output:regressor 0.02100 0.25031 0.084 0.933 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1197 on 149 degrees of freedom Output:Multiple R-squared: 4.724e-05, Adjusted R-squared: -0.006664 Output:F-statistic: 0.00704 on 1 and 149 DF, p-value: 0.9332 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- 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 0.0001009 0.007 0.9332 Output:Residuals 149 2.1363 0.0143375 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01424263 Output:[1] 0.001525568 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004962919 -0.005014561 Output:regressor -0.0050145609 0.062654459 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.688933 0.020193 34.1172 <2e-16 *** Output:regressor 0.021001 0.252416 0.0832 0.9338 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:-1.277e-17 -1.210e-18 -2.850e-19 7.760e-19 4.826e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.446e-16 3.969e-18 -3.642e+01 <2e-16 *** Output:regressor 1.000e+00 5.102e-18 1.960e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 5.319e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.841e+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 1.087 1.087 3.8413e+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] 0.007246425 Output:[1] 0.007246425 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.575613e-35 -2.013191e-35 Output:regressor -2.013191e-35 2.603255e-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) -1.4456e-16 1.0807e-17 -1.3377e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.3594e-17 7.3563e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.0986 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.33614 -0.04002 0.00849 0.04500 0.18071 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.45180 0.07735 5.841 3.14e-08 *** Output:regressor 0.43872 0.10516 4.172 5.11e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08082 on 149 degrees of freedom Output:Multiple R-squared: 0.1046, Adjusted R-squared: 0.09858 Output:F-statistic: 17.4 on 1 and 149 DF, p-value: 5.112e-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 0.11369 0.113687 17.404 5.112e-05 *** Output:Residuals 149 0.97328 0.006532 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] 0.007246425 Output:[1] 0.0039377 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005983431 -0.008105086 Output:regressor -0.008105086 0.011059009 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.45180 0.19974 2.2620 0.02515 * Output:regressor 0.43872 0.25977 1.6889 0.09334 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.0445 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.34926 -0.03297 0.00735 0.05139 0.18632 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.63697 0.04874 13.067 < 2e-16 *** Output:regressor 0.17890 0.06333 2.825 0.00538 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08321 on 149 degrees of freedom Output:Multiple R-squared: 0.05084, Adjusted R-squared: 0.04447 Output:F-statistic: 7.98 on 1 and 149 DF, p-value: 0.005377 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.05526 0.055258 7.9804 0.005377 ** Output:Residuals 149 1.03171 0.006924 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] 0.007246425 Output:[1] 0.01151054 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002376058 -0.003056949 Output:regressor -0.003056949 0.004010355 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.63697 0.10943 5.8210 3.461e-08 *** Output:regressor 0.17890 0.13228 1.3525 0.1783 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | DE | 0.0375 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.35052 -0.04297 0.01053 0.05623 0.14260 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.67013 0.04004 16.736 < 2e-16 *** Output:regressor 0.14944 0.05714 2.615 0.00983 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08352 on 149 degrees of freedom Output:Multiple R-squared: 0.04389, Adjusted R-squared: 0.03748 Output:F-statistic: 6.84 on 1 and 149 DF, p-value: 0.009829 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.04771 0.047711 6.8404 0.009829 ** Output:Residuals 149 1.03925 0.006975 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] 0.007246425 Output:[1] 0.01424263 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001603318 -0.002254700 Output:regressor -0.002254700 0.003264777 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.670131 0.080566 8.3178 5.222e-14 *** Output:regressor 0.149440 0.103898 1.4383 0.1524 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.0026 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.37517 -0.03515 0.00641 0.05161 0.16007 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.75659 0.01582 47.833 <2e-16 *** Output:regressor 0.20920 0.17772 1.177 0.241 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08502 on 149 degrees of freedom Output:Multiple R-squared: 0.009214, Adjusted R-squared: 0.002564 Output:F-statistic: 1.386 on 1 and 149 DF, p-value: 0.241 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01001 0.0100148 1.3856 0.241 Output:Residuals 149 1.07695 0.0072278 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.007246425 Output:[1] 0.001525568 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002501908 -0.002527942 Output:regressor -0.0025279417 0.031585382 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.756593 0.019814 38.1844 <2e-16 *** Output:regressor 0.209199 0.141654 1.4768 0.1418 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | -0.0048 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.37941 -0.03414 0.01100 0.05410 0.16053 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.76268 0.02125 35.894 <2e-16 *** Output:regressor 0.01534 0.02890 0.531 0.596 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08533 on 149 degrees of freedom Output:Multiple R-squared: 0.001888, Adjusted R-squared: -0.004811 Output:F-statistic: 0.2818 on 1 and 149 DF, p-value: 0.5963 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00205 0.0020519 0.2818 0.5963 Output:Residuals 149 1.08491 0.0072813 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.007246425 Output:[1] 0.05813169 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004514785 -0.0005802879 Output:regressor -0.0005802879 0.0008350336 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.762676 0.049584 15.3814 <2e-16 *** Output:regressor 0.015340 0.056501 0.2715 0.7864 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | -0.0056 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.37858 -0.03417 0.01139 0.05676 0.16263 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.78369 0.02615 29.967 <2e-16 *** Output:regressor -0.02072 0.05043 -0.411 0.682 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08536 on 149 degrees of freedom Output:Multiple R-squared: 0.001132, Adjusted R-squared: -0.005572 Output:F-statistic: 0.1688 on 1 and 149 DF, p-value: 0.6818 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00123 0.0012299 0.1688 0.6818 Output:Residuals 149 1.08573 0.0072868 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.007246425 Output:[1] 0.01910153 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0006839406 -0.001271479 Output:regressor -0.0012714794 0.002543183 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.783695 0.040444 19.3773 <2e-16 *** Output:regressor -0.020719 0.098616 -0.2101 0.8339 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:-5.54e-17 -5.80e-18 -4.19e-18 -2.40e-18 5.91e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.337e-16 4.708e-17 -9.212e+00 2.78e-16 *** Output:regressor 1.000e+00 6.400e-17 1.563e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.919e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.441e+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 0.59066 0.59066 2.4415e+32 < 2.2e-16 *** Output:Residuals 149 0.00000 0.00000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0039377 Output:[1] 0.0039377 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.216064e-33 -3.001855e-33 Output:regressor -3.001855e-33 4.095890e-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 5.4660e-17 -7.9340e+00 4.676e-13 *** Output:regressor 1.0000e+00 7.9382e-17 1.2597e+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 | ES | 0.0986 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.20378 -0.03192 -0.00087 0.04192 0.11708 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.54853 0.04446 12.338 < 2e-16 *** Output:regressor 0.23840 0.05714 4.172 5.11e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.05958 on 149 degrees of freedom Output:Multiple R-squared: 0.1046, Adjusted R-squared: 0.09858 Output:F-statistic: 17.4 on 1 and 149 DF, p-value: 5.112e-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 0.06178 0.061777 17.404 5.112e-05 *** Output:Residuals 149 0.52888 0.003550 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] 0.0039377 Output:[1] 0.007246425 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001976455 -0.002525354 Output:regressor -0.002525354 0.003265532 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.548531 0.046758 11.7314 < 2.2e-16 *** Output:regressor 0.238400 0.065389 3.6459 0.0003676 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 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:-0.162712 -0.026203 0.001964 0.037659 0.177066 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.62365 0.02879 21.663 < 2e-16 *** Output:regressor 0.15819 0.04108 3.851 0.000174 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06004 on 149 degrees of freedom Output:Multiple R-squared: 0.09051, Adjusted R-squared: 0.08441 Output:F-statistic: 14.83 on 1 and 149 DF, p-value: 0.0001743 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.05346 0.053462 14.829 0.0001743 *** Output:Residuals 149 0.53719 0.003605 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] 0.0039377 Output:[1] 0.01424263 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008287598 -0.001165461 Output:regressor -0.0011654609 0.001687572 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.623645 0.060976 10.2277 < 2e-16 *** Output:regressor 0.158191 0.079563 1.9882 0.04862 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.0463 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.203346 -0.028011 0.003569 0.039432 0.166225 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.63054 0.03590 17.565 < 2e-16 *** Output:regressor 0.13427 0.04664 2.879 0.00458 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06128 on 149 degrees of freedom Output:Multiple R-squared: 0.0527, Adjusted R-squared: 0.04634 Output:F-statistic: 8.289 on 1 and 149 DF, p-value: 0.004575 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.03113 0.0311281 8.2893 0.004575 ** Output:Residuals 149 0.55953 0.0037552 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] 0.0039377 Output:[1] 0.01151054 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001288612 -0.001657881 Output:regressor -0.001657881 0.002174943 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.630544 0.040809 15.4510 < 2.2e-16 *** Output:regressor 0.134271 0.048851 2.7486 0.006726 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.0291 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.199345 -0.031045 0.006453 0.043100 0.134913 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.7087 0.0115 61.601 <2e-16 *** Output:regressor 0.3029 0.1293 2.343 0.0204 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06183 on 149 degrees of freedom Output:Multiple R-squared: 0.03555, Adjusted R-squared: 0.02907 Output:F-statistic: 5.492 on 1 and 149 DF, p-value: 0.02043 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.02100 0.0209959 5.4917 0.02043 * Output:Residuals 149 0.56966 0.0038232 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] 0.0039377 Output:[1] 0.001525568 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.000132340 -0.001337171 Output:regressor -0.001337171 0.016707292 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.708651 0.011676 60.6932 < 2e-16 *** Output:regressor 0.302905 0.134278 2.2558 0.02554 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | -0.0039 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.196536 -0.034402 -0.000737 0.048342 0.135419 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.74489 0.01926 38.671 <2e-16 *** Output:regressor -0.02400 0.03714 -0.646 0.519 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06287 on 149 degrees of freedom Output:Multiple R-squared: 0.002793, Adjusted R-squared: -0.0039 Output:F-statistic: 0.4173 on 1 and 149 DF, p-value: 0.5193 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00165 0.0016497 0.4173 0.5193 Output:Residuals 149 0.58901 0.0039531 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0039377 Output:[1] 0.01910153 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003710344 -0.0006897713 Output:regressor -0.0006897713 0.0013796644 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.744891 0.020072 37.1113 <2e-16 *** Output:regressor -0.023995 0.051674 -0.4644 0.6431 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | 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:-0.19567 -0.03492 0.00175 0.04861 0.13521 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.739501 0.015667 47.200 <2e-16 *** Output:regressor -0.009507 0.021307 -0.446 0.656 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06292 on 149 degrees of freedom Output:Multiple R-squared: 0.001334, Adjusted R-squared: -0.005368 Output:F-statistic: 0.1991 on 1 and 149 DF, p-value: 0.6561 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00079 0.0007881 0.1991 0.6561 Output:Residuals 149 0.58987 0.0039588 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0039377 Output:[1] 0.05813169 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002454690 -0.0003155027 Output:regressor -0.0003155027 0.0004540080 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.7395011 0.0332282 22.2552 <2e-16 *** Output:regressor -0.0095071 0.0419247 -0.2268 0.8209 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:-1.509e-16 -2.340e-19 1.110e-18 2.740e-18 1.455e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -5.421e-17 2.389e-18 -2.269e+01 <2e-16 *** Output:regressor 1.000e+00 2.685e-17 3.725e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.284e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.387e+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 0.22884 0.22884 1.3873e+33 < 2.2e-16 *** ErrorOutput:Residuals 149 0.00000 0.00000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 :Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.001525568 Output:[1] 0.001525568 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.709678e-36 -5.769091e-35 Output:regressor -5.769091e-35 7.208193e-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) -5.4209e-17 3.8098e-18 -1.4229e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 3.6314e-17 2.7537e+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 | 0.0637 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.071400 -0.026306 -0.004387 0.017556 0.110716 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.04267 0.01158 3.685 0.000319 *** Output:regressor 0.07474 0.02233 3.347 0.001033 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03779 on 149 degrees of freedom Output:Multiple R-squared: 0.06994, Adjusted R-squared: 0.0637 Output:F-statistic: 11.2 on 1 and 149 DF, p-value: 0.001033 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.016004 0.0160041 11.204 0.001033 ** Output:Residuals 149 0.212831 0.0014284 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] 0.001525568 Output:[1] 0.01910153 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001340695 -0.0002492418 Output:regressor -0.0002492418 0.0004985276 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.042670 0.013330 3.2011 0.001673 ** Output:regressor 0.074737 0.026524 2.8177 0.005494 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.0291 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.087688 -0.030926 -0.004129 0.021162 0.117187 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.005972 0.036835 -0.162 0.8714 Output:regressor 0.117353 0.050077 2.343 0.0204 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03849 on 149 degrees of freedom Output:Multiple R-squared: 0.03555, Adjusted R-squared: 0.02907 Output:F-statistic: 5.492 on 1 and 149 DF, p-value: 0.02043 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.008134 0.0081344 5.4917 0.02043 * Output:Residuals 149 0.220701 0.0014812 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] 0.001525568 Output:[1] 0.0039377 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001356806 -0.001837914 Output:regressor -0.001837914 0.002507747 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.0059723 0.0525024 -0.1138 0.9096 Output:regressor 0.1173531 0.0732873 1.6013 0.1114 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.0048 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.076642 -0.030790 -0.003684 0.021870 0.125716 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.05030 0.02282 2.204 0.0291 * Output:regressor 0.03900 0.02965 1.315 0.1904 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03896 on 149 degrees of freedom Output:Multiple R-squared: 0.01148, Adjusted R-squared: 0.004844 Output:F-statistic: 1.73 on 1 and 149 DF, p-value: 0.1904 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.002627 0.0026267 1.7301 0.1904 Output:Residuals 149 0.226208 0.0015182 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.001525568 Output:[1] 0.01151054 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005209667 -0.0006702568 Output:regressor -0.0006702568 0.0008792975 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.050304 0.016415 3.0645 0.002589 ** Output:regressor 0.039004 0.022790 1.7115 0.089073 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.0026 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.080902 -0.030268 -0.005071 0.020617 0.121122 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.04598 0.02911 1.579 0.116 Output:regressor 0.04404 0.03742 1.177 0.241 Output: Output:Residual standard error: 0.03901 on 149 degrees of freedom Output:Multiple R-squared: 0.009214, Adjusted R-squared: 0.002564 Output:F-statistic: 1.386 on 1 and 149 DF, p-value: 0.241 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.002108 0.0021084 1.3856 0.241 Output:Residuals 149 0.226727 0.0015217 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.001525568 Output:[1] 0.007246425 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008472946 -0.001082605 Output:regressor -0.0010826045 0.001399914 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.045976 0.022082 2.0821 0.03904 * Output:regressor 0.044042 0.032273 1.3647 0.17442 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | -0.0028 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.087054 -0.031480 -0.005191 0.019036 0.122721 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.08705 0.00974 8.938 1.41e-15 *** Output:regressor -0.01010 0.01325 -0.763 0.447 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03911 on 149 degrees of freedom Output:Multiple R-squared: 0.003887, Adjusted R-squared: -0.002798 Output:F-statistic: 0.5814 on 1 and 149 DF, p-value: 0.447 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000889 0.00088946 0.5814 0.447 Output:Residuals 149 0.227946 0.00152984 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.001525568 Output:[1] 0.05813169 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0000948580 -0.0001219215 Output:regressor -0.0001219215 0.0001754449 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0870538 0.0077442 11.2412 <2e-16 *** Output:regressor -0.0100998 0.0122834 -0.8222 0.4123 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | -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:-0.080102 -0.032191 -0.005029 0.019729 0.123109 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.07848 0.01879 4.177 5.01e-05 *** Output:regressor 0.00225 0.02681 0.084 0.933 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.03919 on 149 degrees of freedom Output:Multiple R-squared: 4.724e-05, Adjusted R-squared: -0.006664 Output:F-statistic: 0.00704 on 1 and 149 DF, p-value: 0.9332 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000011 0.00001081 0.007 0.9332 Output:Residuals 149 0.228824 0.00153573 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.001525568 Output:[1] 0.01424263 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003530211 -0.0004964434 Output:regressor -0.0004964434 0.0007188437 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0784816 0.0187866 4.1775 4.999e-05 *** Output:regressor 0.0022495 0.0288848 0.0779 0.938 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:-2.865e-17 -1.008e-18 -6.428e-19 -3.355e-19 2.681e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.446e-16 1.693e-18 -8.540e+01 <2e-16 *** Output:regressor 1.000e+00 2.302e-18 4.344e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 6.798e-18 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.887e+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 8.7198 8.7198 1.8869e+35 < 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] 0.05813169 Output:[1] 0.05813169 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.865326e-36 -3.682819e-36 Output:regressor -3.682819e-36 5.299573e-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 1.1704e-18 -1.2351e+02 < 2.2e-16 *** Output:regressor 1.0000e+00 1.8306e-18 5.4628e+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 | CH | 0.0289 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.75142 -0.03835 0.05082 0.15101 0.26607 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.85898 0.07279 11.801 <2e-16 *** Output:regressor -0.32813 0.14036 -2.338 0.0207 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2376 on 149 degrees of freedom Output:Multiple R-squared: 0.03538, Adjusted R-squared: 0.02891 Output:F-statistic: 5.465 on 1 and 149 DF, p-value: 0.02073 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.3085 0.308503 5.4649 0.02073 * Output:Residuals 149 8.4113 0.056451 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] 0.05813169 Output:[1] 0.01910153 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005298532 -0.009850233 Output:regressor -0.009850233 0.019702205 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.858980 0.061236 14.0273 < 2e-16 *** Output:regressor -0.328133 0.131785 -2.4899 0.01388 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | -0.0006 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.70103 -0.04205 0.05164 0.15501 0.28214 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.8036 0.1156 6.950 1.06e-10 *** Output:regressor -0.1574 0.1650 -0.954 0.342 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2412 on 149 degrees of freedom Output:Multiple R-squared: 0.006069, Adjusted R-squared: -0.0006014 Output:F-statistic: 0.9098 on 1 and 149 DF, p-value: 0.3417 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0529 0.052922 0.9098 0.3417 Output:Residuals 149 8.6668 0.058167 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05813169 Output:[1] 0.01424263 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01337085 -0.01880303 Output:regressor -0.01880303 0.02722655 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.80362 0.17057 4.7113 5.594e-06 *** Output:regressor -0.15739 0.28622 -0.5499 0.5832 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | -0.0028 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7257 -0.0407 0.0493 0.1679 0.2642 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.72573 0.04492 16.156 <2e-16 *** Output:regressor -0.38485 0.50472 -0.763 0.447 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2414 on 149 degrees of freedom Output:Multiple R-squared: 0.003887, Adjusted R-squared: -0.002798 Output:F-statistic: 0.5814 on 1 and 149 DF, p-value: 0.447 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0339 0.033893 0.5814 0.447 Output:Residuals 149 8.6859 0.058294 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05813169 Output:[1] 0.001525568 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002017851 -0.02038848 Output:regressor -0.020388478 0.25474395 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.725729 0.044879 16.1706 <2e-16 *** Output:regressor -0.384852 0.539557 -0.7133 0.4768 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | -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:-0.70448 -0.04611 0.05871 0.16775 0.27531 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.7787 0.1415 5.501 1.6e-07 *** Output:regressor -0.1098 0.1839 -0.597 0.551 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2416 on 149 degrees of freedom Output:Multiple R-squared: 0.002389, Adjusted R-squared: -0.004306 Output:F-statistic: 0.3568 on 1 and 149 DF, p-value: 0.5512 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0208 0.020832 0.3568 0.5512 Output:Residuals 149 8.6989 0.058382 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05813169 Output:[1] 0.01151054 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02003395 -0.02577495 Output:regressor -0.02577495 0.03381367 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.77866 0.17531 4.4417 1.73e-05 *** Output:regressor -0.10984 0.26465 -0.4150 0.6787 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | -0.0048 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.70869 -0.04134 0.05295 0.16308 0.27896 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.5998 0.1803 3.326 0.00111 ** Output:regressor 0.1231 0.2318 0.531 0.59631 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2417 on 149 degrees of freedom Output:Multiple R-squared: 0.001888, Adjusted R-squared: -0.004811 Output:F-statistic: 0.2818 on 1 and 149 DF, p-value: 0.5963 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0165 0.016460 0.2818 0.5963 Output:Residuals 149 8.7033 0.058411 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05813169 Output:[1] 0.007246425 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03252485 -0.04155762 Output:regressor -0.04155762 0.05373810 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.59976 0.26935 2.2267 0.02747 * Output:regressor 0.12306 0.37283 0.3301 0.74182 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | -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:-0.69466 -0.04779 0.04965 0.16539 0.28631 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.7978 0.2314 3.448 0.000734 *** Output:regressor -0.1404 0.3146 -0.446 0.656111 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2418 on 149 degrees of freedom Output:Multiple R-squared: 0.001334, Adjusted R-squared: -0.005368 Output:F-statistic: 0.1991 on 1 and 149 DF, p-value: 0.6561 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0116 0.011635 0.1991 0.6561 Output:Residuals 149 8.7081 0.058444 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05813169 Output:[1] 0.0039377 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.05353505 -0.07251796 Output:regressor -0.07251796 0.09894735 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.79779 0.42939 1.8580 0.06515 . Output:regressor -0.14035 0.62626 -0.2241 0.82298 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:-2.154e-17 -4.789e-18 -6.650e-19 3.474e-18 1.154e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.446e-16 7.504e-18 -1.926e+01 <2e-16 *** Output:regressor 1.000e+00 9.749e-18 1.026e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.281e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.052e+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 1.7266 1.7266 1.0522e+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] 0.01151054 Output:[1] 0.01151054 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.630863e-35 -7.244463e-35 Output:regressor -7.244463e-35 9.503877e-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) -1.4456e-16 1.0890e-17 -1.3274e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.4577e-17 6.8603e+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 | FR | 0.0463 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.29331 -0.05889 0.01128 0.05885 0.19517 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.4746 0.1003 4.733 5.1e-06 *** Output:regressor 0.3925 0.1363 2.879 0.00458 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1048 on 149 degrees of freedom Output:Multiple R-squared: 0.0527, Adjusted R-squared: 0.04634 Output:F-statistic: 8.289 on 1 and 149 DF, p-value: 0.004575 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.09099 0.090992 8.2893 0.004575 ** Output:Residuals 149 1.63559 0.010977 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] 0.01151054 Output:[1] 0.0039377 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01005513 -0.01362056 Output:regressor -0.01362056 0.01858462 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.47461 0.10260 4.6259 8.039e-06 *** Output:regressor 0.39250 0.14052 2.7933 0.005904 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.0445 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.28774 -0.06022 0.00826 0.06392 0.21449 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.54251 0.07826 6.932 1.17e-10 *** Output:regressor 0.28417 0.10059 2.825 0.00538 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1049 on 149 degrees of freedom Output:Multiple R-squared: 0.05084, Adjusted R-squared: 0.04447 Output:F-statistic: 7.98 on 1 and 149 DF, p-value: 0.005377 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.08777 0.087774 7.9804 0.005377 ** Output:Residuals 149 1.63881 0.010999 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] 0.01151054 Output:[1] 0.007246425 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006124339 -0.007825186 Output:regressor -0.007825186 0.010118736 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.542506 0.092486 5.8658 2.78e-08 *** Output:regressor 0.284168 0.118389 2.4003 0.01762 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.0403 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.268729 -0.060160 0.002695 0.059207 0.212207 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.62809 0.05039 12.464 <2e-16 *** Output:regressor 0.19428 0.07191 2.702 0.0077 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1051 on 149 degrees of freedom Output:Multiple R-squared: 0.0467, Adjusted R-squared: 0.04031 Output:F-statistic: 7.3 on 1 and 149 DF, p-value: 0.007696 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.08064 0.080638 7.2998 0.007696 ** Output:Residuals 149 1.64594 0.011047 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] 0.01151054 Output:[1] 0.01424263 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002539295 -0.003570936 Output:regressor -0.003570936 0.005170670 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.628091 0.041065 15.2952 < 2.2e-16 *** Output:regressor 0.194281 0.058145 3.3413 0.001054 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.0048 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.277464 -0.052723 0.006181 0.059778 0.208106 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.73871 0.01991 37.098 <2e-16 *** Output:regressor 0.29429 0.22373 1.315 0.19 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.107 on 149 degrees of freedom Output:Multiple R-squared: 0.01148, Adjusted R-squared: 0.004844 Output:F-statistic: 1.73 on 1 and 149 DF, p-value: 0.1904 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01982 0.019818 1.7301 0.1904 Output:Residuals 149 1.70676 0.011455 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01151054 Output:[1] 0.001525568 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003965054 -0.004006313 Output:regressor -0.0040063131 0.050056902 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.73871 0.01490 49.5772 < 2e-16 *** Output:regressor 0.29429 0.15979 1.8417 0.06751 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | 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:-0.269390 -0.049490 0.000497 0.061046 0.233764 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.79864 0.03283 24.323 <2e-16 *** Output:regressor -0.07275 0.06331 -1.149 0.252 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1072 on 149 degrees of freedom Output:Multiple R-squared: 0.008784, Adjusted R-squared: 0.002131 Output:F-statistic: 1.32 on 1 and 149 DF, p-value: 0.2524 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01517 0.015166 1.3203 0.2524 Output:Residuals 149 1.71141 0.011486 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01151054 Output:[1] 0.01910153 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001078078 -0.002004201 Output:regressor -0.002004201 0.004008755 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.798637 0.032087 24.889 <2e-16 *** Output:regressor -0.072753 0.068766 -1.058 0.2918 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | -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:-0.272467 -0.052334 0.004634 0.061165 0.220032 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.77738 0.02677 29.036 <2e-16 *** Output:regressor -0.02175 0.03641 -0.597 0.551 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1075 on 149 degrees of freedom Output:Multiple R-squared: 0.002389, Adjusted R-squared: -0.004306 Output:F-statistic: 0.3568 on 1 and 149 DF, p-value: 0.5512 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00412 0.0041249 0.3568 0.5512 Output:Residuals 149 1.72246 0.0115601 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01151054 Output:[1] 0.05813169 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0007167878 -0.0009212914 Output:regressor -0.0009212914 0.0013257374 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.777378 0.036146 21.5069 <2e-16 *** Output:regressor -0.021750 0.045729 -0.4756 0.635 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:-1.613e-15 -1.987e-16 -1.324e-16 -5.770e-17 2.094e-14 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.024e-15 1.995e-16 1.014e+01 <2e-16 *** Output:regressor 1.000e+00 9.612e-17 1.040e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.732e-15 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.082e+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 1 324.77 324.77 1.0823e+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] 2.165164 Output:[1] 2.165164 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.981808e-32 1.357523e-32 Output:regressor 1.357523e-32 9.239722e-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) 2.0238e-15 2.5821e-16 7.8378e+00 8.054e-13 *** Output:regressor 1.0000e+00 8.5026e-17 1.1761e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.6730 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.9091 -0.6075 0.2687 0.6712 1.1793 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.39365 0.09178 -4.289 3.21e-05 *** Output:regressor -0.99423 0.05649 -17.600 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8414 on 149 degrees of freedom Output:Multiple R-squared: 0.6752, Adjusted R-squared: 0.673 Output:F-statistic: 309.7 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 1 219.29 219.289 309.75 < 2.2e-16 *** Output:Residuals 149 105.49 0.708 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.165164 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.008423325 -0.003452391 Output:regressor -0.003452391 0.003191284 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.39365 0.84727 -0.4646 0.642894 Output:regressor -0.99423 0.31825 -3.1241 0.002144 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.6516 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.1842 -0.4376 0.1768 0.5717 1.6125 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.3109 0.0988 -3.146 0.002 ** Output:regressor 2.2951 0.1368 16.779 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8685 on 149 degrees of freedom Output:Multiple R-squared: 0.6539, Adjusted R-squared: 0.6516 Output:F-statistic: 281.5 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 1 212.37 212.373 281.52 < 2.2e-16 *** Output:Residuals 149 112.40 0.754 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.165164 Output:[1] 0.2687775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009762127 0.009443667 Output:regressor 0.009443667 0.018711277 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.31086 1.19936 -0.2592 0.795846 Output:regressor 2.29513 0.83797 2.7389 0.006917 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.3012 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.8108 -0.7153 0.2572 0.7388 1.9624 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.2955 0.1761 -1.678 0.0955 . Output:regressor -1.2128 0.1497 -8.102 1.8e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.23 on 149 degrees of freedom Output:Multiple R-squared: 0.3058, Adjusted R-squared: 0.3012 Output:F-statistic: 65.65 on 1 and 149 DF, p-value: 1.796e-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 99.329 99.329 65.647 1.796e-13 *** Output:Residuals 149 225.446 1.513 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.165164 Output:[1] 0.4502097 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03100726 -0.02168454 Output:regressor -0.02168454 0.02240527 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.29545 2.56576 -0.1152 0.9085 Output:regressor -1.21279 1.11499 -1.0877 0.2785 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.2573 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.0004 -1.0207 -0.2178 0.9366 2.4561 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.06581 0.23479 0.280 0.78 Output:regressor -0.78339 0.10763 -7.278 1.8e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.268 on 149 degrees of freedom Output:Multiple R-squared: 0.2623, Adjusted R-squared: 0.2573 Output:F-statistic: 52.98 on 1 and 149 DF, p-value: 1.799e-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 85.185 85.185 52.976 1.799e-11 *** Output:Residuals 149 239.590 1.608 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.165164 Output:[1] 0.9253751 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.05512787 -0.02269936 Output:regressor -0.02269936 0.01158437 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.065811 1.127135 0.0584 0.9535 Output:regressor -0.783389 0.526128 -1.4890 0.1386 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.1069 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.4179 -1.1588 -0.1946 1.0316 2.6382 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.0888 0.1430 -7.615 2.80e-12 *** Output:regressor -1.1978 0.2751 -4.354 2.47e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.391 on 149 degrees of freedom Output:Multiple R-squared: 0.1129, Adjusted R-squared: 0.1069 Output:F-statistic: 18.96 on 1 and 149 DF, p-value: 2.469e-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 36.662 36.662 18.96 2.469e-05 *** Output:Residuals 149 288.112 1.934 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.165164 Output:[1] 0.1703435 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02043999 -0.02403629 Output:regressor -0.02403629 0.07567614 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.0888 2.5990 -0.4189 0.6759 Output:regressor -1.1978 1.3163 -0.9100 0.3643 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.0724 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.21299 -1.42067 -0.00107 1.33614 2.67159 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.9570 0.1790 -10.933 < 2e-16 *** Output:regressor 1.1677 0.3277 3.564 0.000492 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.417 on 149 degrees of freedom Output:Multiple R-squared: 0.07853, Adjusted R-squared: 0.07235 Output:F-statistic: 12.7 on 1 and 149 DF, p-value: 0.0004919 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 25.506 25.5062 12.699 0.0004919 *** Output:Residuals 149 299.269 2.0085 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.165164 Output:[1] 0.1247083 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03203982 -0.04485496 Output:regressor -0.04485496 0.10737130 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.9570 2.2205 -0.8814 0.3795 Output:regressor 1.1677 2.9209 0.3998 0.6899 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:-3.144e-15 -2.994e-17 2.345e-17 6.089e-17 2.710e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -8.673e-16 5.056e-17 -1.716e+01 <2e-16 *** Output:regressor 1.000e+00 2.318e-17 4.315e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.731e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.862e+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 1 138.81 138.81 1.8616e+33 < 2.2e-16 *** Output:Residuals 149 0.00 0.00 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.9253751 Output:[1] 0.9253751 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.556326e-33 -1.052588e-33 Output:regressor -1.052588e-33 5.371771e-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) -8.6735e-16 1.0164e-16 -8.5332e+00 1.502e-14 *** Output:regressor 1.0000e+00 4.1941e-17 2.3843e+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 | GB | 0.4147 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.3811 -0.6910 0.2782 0.6346 1.0143 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.35357 0.08372 16.17 <2e-16 *** Output:regressor -1.20053 0.11590 -10.36 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7359 on 149 degrees of freedom Output:Multiple R-squared: 0.4186, Adjusted R-squared: 0.4147 Output:F-statistic: 107.3 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 58.107 58.107 107.29 < 2.2e-16 *** Output:Residuals 149 80.699 0.542 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] 0.9253751 Output:[1] 0.2687775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007008729 0.00678009 Output:regressor 0.006780090 0.01343378 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.3536 1.8637 0.7263 0.4688 Output:regressor -1.2005 1.9968 -0.6012 0.5486 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.3488 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.9958 -0.3738 0.2027 0.5929 1.3727 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.51956 0.07981 19.039 < 2e-16 *** Output:regressor 1.38506 0.15357 9.019 8.73e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7763 on 149 degrees of freedom Output:Multiple R-squared: 0.3531, Adjusted R-squared: 0.3488 Output:F-statistic: 81.34 on 1 and 149 DF, p-value: 8.73e-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 49.018 49.018 81.343 8.73e-16 *** Output:Residuals 149 89.789 0.603 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] 0.9253751 Output:[1] 0.1703435 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006370004 -0.007490772 Output:regressor -0.007490772 0.023584034 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.51956 0.66261 2.2933 0.02323 * Output:regressor 1.38506 0.56088 2.4694 0.01466 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.2573 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.6004 -0.6019 0.1310 0.7633 1.1768 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.46756 0.09549 15.368 < 2e-16 *** Output:regressor -0.33481 0.04600 -7.278 1.8e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.829 on 149 degrees of freedom Output:Multiple R-squared: 0.2623, Adjusted R-squared: 0.2573 Output:F-statistic: 52.98 on 1 and 149 DF, p-value: 1.799e-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 36.407 36.407 52.976 1.799e-11 *** Output:Residuals 149 102.399 0.687 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] 0.9253751 Output:[1] 2.165164 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009119012 0.003108955 Output:regressor 0.003108955 0.002116052 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.46756 2.17192 0.6757 0.5003 Output:regressor -0.33481 0.68319 -0.4901 0.6248 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.1278 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.7342 -0.8667 0.2852 0.6697 1.3655 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.4523 0.1286 11.293 < 2e-16 *** Output:regressor 0.5240 0.1093 4.793 3.94e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8984 on 149 degrees of freedom Output:Multiple R-squared: 0.1336, Adjusted R-squared: 0.1278 Output:F-statistic: 22.97 on 1 and 149 DF, p-value: 3.94e-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 18.542 18.5420 22.972 3.94e-06 *** Output:Residuals 149 120.264 0.8071 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] 0.9253751 Output:[1] 0.4502097 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01654083 -0.01156763 Output:regressor -0.01156763 0.01195210 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.45234 1.60416 0.9054 0.3667 Output:regressor 0.52399 0.93476 0.5606 0.5759 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.0925 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.8748 -0.5411 0.2195 0.6514 1.4193 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.69078 0.09996 16.915 < 2e-16 *** Output:regressor 0.24838 0.06152 4.037 8.63e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9164 on 149 degrees of freedom Output:Multiple R-squared: 0.09859, Adjusted R-squared: 0.09255 Output:F-statistic: 16.3 on 1 and 149 DF, p-value: 8.631e-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 13.686 13.6856 16.297 8.631e-05 *** Output:Residuals 149 125.121 0.8397 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] 0.9253751 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009991228 -0.004095013 Output:regressor -0.004095013 0.003785305 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.69078 3.18280 0.5312 0.5961 Output:regressor 0.24838 0.76729 0.3237 0.7466 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | -0.0026 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.9813 -0.6370 0.4066 0.7655 1.1921 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.8872 0.1217 15.512 <2e-16 *** Output:regressor 0.1731 0.2227 0.777 0.438 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9632 on 149 degrees of freedom Output:Multiple R-squared: 0.00404, Adjusted R-squared: -0.002644 Output:F-statistic: 0.6044 on 1 and 149 DF, p-value: 0.4381 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.561 0.56076 0.6044 0.4381 Output:Residuals 149 138.246 0.92782 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.9253751 Output:[1] 0.1247083 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01480063 -0.02072051 Output:regressor -0.02072051 0.04959961 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.88715 2.05924 0.9164 0.3609 Output:regressor 0.17314 0.99957 0.1732 0.8627 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:-5.380e-16 -4.750e-17 -3.960e-17 -2.760e-17 6.145e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.975e-16 5.223e-17 7.612e+00 2.86e-12 *** Output:regressor 1.000e+00 1.005e-16 9.951e+15 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 5.08e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 9.903e+31 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 25.552 25.552 9.9025e+31 < 2.2e-16 *** Output:Residuals 149 0.000 0.000 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] 0.1703435 Output:[1] 0.1703435 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.727566e-33 -3.207467e-33 Output:regressor -3.207467e-33 1.009843e-32 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) 3.9753e-16 5.7880e-17 6.8682e+00 1.646e-10 *** Output:regressor 1.0000e+00 6.1828e-17 1.6174e+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 | 0.3488 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.67205 -0.21235 -0.07958 0.23412 0.79909 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.18197 0.06167 -2.951 0.00368 ** Output:regressor 0.25496 0.02827 9.019 8.73e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3331 on 149 degrees of freedom Output:Multiple R-squared: 0.3531, Adjusted R-squared: 0.3488 Output:F-statistic: 81.34 on 1 and 149 DF, p-value: 8.73e-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 9.0232 9.0232 81.343 8.73e-16 *** Output:Residuals 149 16.5283 0.1109 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] 0.1703435 Output:[1] 0.9253751 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003803051 -0.0015659380 Output:regressor -0.001565938 0.0007991594 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.18197 0.75660 -0.2405 0.8103 Output:regressor 0.25496 0.30300 0.8415 0.4014 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.2609 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.17972 -0.04109 0.06473 0.22960 0.46912 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.01069 0.05080 0.211 0.834 Output:regressor 0.31713 0.04318 7.345 1.25e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3548 on 149 degrees of freedom Output:Multiple R-squared: 0.2658, Adjusted R-squared: 0.2609 Output:F-statistic: 53.94 on 1 and 149 DF, p-value: 1.252e-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 6.7917 6.7917 53.943 1.252e-11 *** Output:Residuals 149 18.7598 0.1259 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] 0.1703435 Output:[1] 0.4502097 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002580179 -0.001804416 Output:regressor -0.001804416 0.001864390 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.010693 0.150068 0.0713 0.9433 Output:regressor 0.317129 0.192241 1.6496 0.1011 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | 0.2406 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.02451 -0.12646 0.09476 0.25762 0.57100 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.13565 0.03923 3.458 0.00071 *** Output:regressor 0.16821 0.02415 6.966 9.78e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3597 on 149 degrees of freedom Output:Multiple R-squared: 0.2456, Adjusted R-squared: 0.2406 Output:F-statistic: 48.52 on 1 and 149 DF, p-value: 9.78e-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 6.2766 6.2766 48.52 9.78e-11 *** Output:Residuals 149 19.2749 0.1294 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] 0.1703435 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0015391511 -0.0006308378 Output:regressor -0.0006308378 0.0005831271 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.13565 0.38399 0.3533 0.7244 Output:regressor 0.16821 0.10930 1.5390 0.1259 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.1568 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.00647 -0.16718 0.00277 0.24592 0.67997 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.12088 0.04787 2.525 0.0126 * Output:regressor 0.47095 0.08763 5.374 2.9e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.379 on 149 degrees of freedom Output:Multiple R-squared: 0.1624, Adjusted R-squared: 0.1568 Output:F-statistic: 28.88 on 1 and 149 DF, p-value: 2.902e-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 4.149 4.1490 28.885 2.902e-07 *** Output:Residuals 149 21.402 0.1436 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] 0.1703435 Output:[1] 0.1247083 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002291362 -0.003207850 Output:regressor -0.003207850 0.007678773 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.12088 0.43789 0.2760 0.7829 Output:regressor 0.47095 0.35716 1.3186 0.1893 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | 0.1069 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.00886 -0.23233 0.06509 0.23341 0.76899 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.17916 0.04493 3.988 0.000104 *** Output:regressor -0.09424 0.02164 -4.354 2.47e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.39 on 149 degrees of freedom Output:Multiple R-squared: 0.1129, Adjusted R-squared: 0.1069 Output:F-statistic: 18.96 on 1 and 149 DF, p-value: 2.469e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.8844 2.88439 18.96 2.469e-05 *** Output:Residuals 149 22.6671 0.15213 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] 0.1703435 Output:[1] 2.165164 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0020185970 0.0006882026 Output:regressor 0.0006882026 0.0004684122 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.17916 0.42001 0.4266 0.6703 Output:regressor -0.09424 0.12962 -0.7271 0.4683 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.0549 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.96138 -0.24169 0.00375 0.20461 0.95102 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.21825 0.04564 4.782 4.14e-06 *** Output:regressor -0.19688 0.06319 -3.116 0.0022 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4012 on 149 degrees of freedom Output:Multiple R-squared: 0.06116, Adjusted R-squared: 0.05486 Output:F-statistic: 9.707 on 1 and 149 DF, p-value: 0.002203 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.5627 1.5627 9.7065 0.002203 ** Output:Residuals 149 23.9888 0.1610 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] 0.1703435 Output:[1] 0.2687775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002083430 0.002015464 Output:regressor 0.002015464 0.003993354 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.21825 0.48137 0.4534 0.6509 Output:regressor -0.19688 0.46020 -0.4278 0.6694 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:-5.975e-16 -6.330e-17 -4.990e-17 -2.630e-17 5.540e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 8.673e-16 6.618e-17 1.311e+01 <2e-16 *** Output:regressor 1.000e+00 5.625e-17 1.778e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.623e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.16e+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 67.531 67.531 3.1599e+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] 0.4502097 Output:[1] 0.4502097 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.379590e-33 -3.062812e-33 Output:regressor -3.062812e-33 3.164611e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 8.6735e-16 1.0436e-16 8.3110e+00 5.432e-14 *** Output:regressor 1.0000e+00 7.1612e-17 1.3964e+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 | 0.6461 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.82924 -0.29558 0.08304 0.22055 0.85959 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.48717 0.04354 11.19 <2e-16 *** Output:regressor 0.44431 0.02680 16.58 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3991 on 149 degrees of freedom Output:Multiple R-squared: 0.6485, Adjusted R-squared: 0.6461 Output:F-statistic: 274.9 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 43.795 43.795 274.9 < 2.2e-16 *** Output:Residuals 149 23.737 0.159 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] 0.4502097 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001895456 -0.0007768730 Output:regressor -0.000776873 0.0007181176 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.48717 0.87357 0.5577 0.5779 Output:regressor 0.44431 0.36631 1.2130 0.2271 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.3012 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.0633 -0.4268 0.0030 0.2690 1.0661 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.59733 0.06461 9.245 2.29e-16 *** Output:regressor -0.25218 0.03112 -8.102 1.80e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5609 on 149 degrees of freedom Output:Multiple R-squared: 0.3058, Adjusted R-squared: 0.3012 Output:F-statistic: 65.65 on 1 and 149 DF, p-value: 1.796e-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 20.654 20.6537 65.647 1.796e-13 *** Output:Residuals 149 46.878 0.3146 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] 0.4502097 Output:[1] 2.165164 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004174646 0.0014232668 Output:regressor 0.001423267 0.0009687198 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.59733 0.50184 1.1903 0.2358 Output:regressor -0.25218 1.11698 -0.2258 0.8217 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.2609 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7503 -0.4374 -0.2193 0.5772 1.5170 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.70162 0.05931 11.830 < 2e-16 *** Output:regressor 0.83816 0.11412 7.345 1.25e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5769 on 149 degrees of freedom Output:Multiple R-squared: 0.2658, Adjusted R-squared: 0.2609 Output:F-statistic: 53.94 on 1 and 149 DF, p-value: 1.252e-11 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 17.950 17.9501 53.943 1.252e-11 *** Output:Residuals 149 49.581 0.3328 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] 0.4502097 Output:[1] 0.1703435 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003517525 -0.004136415 Output:regressor -0.004136415 0.013023135 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.70162 0.60263 1.1643 0.2462 Output:regressor 0.83816 1.02630 0.8167 0.4154 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.1572 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.0434 -0.4702 -0.1417 0.6389 1.1621 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.6476 0.0778 8.324 5.05e-14 *** Output:regressor 0.7666 0.1424 5.382 2.80e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.616 on 149 degrees of freedom Output:Multiple R-squared: 0.1628, Adjusted R-squared: 0.1572 Output:F-statistic: 28.97 on 1 and 149 DF, p-value: 2.798e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 10.992 10.9923 28.969 2.798e-07 *** Output:Residuals 149 56.539 0.3795 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4502097 Output:[1] 0.1247083 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006053103 -0.008474194 Output:regressor -0.008474194 0.020285054 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.64759 0.39215 1.6514 0.1008 Output:regressor 0.76657 1.86215 0.4117 0.6812 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.1278 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.6676 -0.4669 -0.3195 0.5358 1.3292 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.46830 0.11603 4.036 8.66e-05 *** Output:regressor 0.25493 0.05319 4.793 3.94e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6266 on 149 degrees of freedom Output:Multiple R-squared: 0.1336, Adjusted R-squared: 0.1278 Output:F-statistic: 22.97 on 1 and 149 DF, p-value: 3.94e-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 9.021 9.0210 22.972 3.94e-06 *** Output:Residuals 149 58.510 0.3927 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] 0.4502097 Output:[1] 0.9253751 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.013462854 -0.005543442 Output:regressor -0.005543442 0.002829036 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.46830 0.49231 0.9512 0.3430 Output:regressor 0.25493 0.31541 0.8083 0.4202 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.0075 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.9470 -0.4101 -0.2816 0.4553 1.4293 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.89027 0.07604 11.71 <2e-16 *** Output:regressor -0.15368 0.10528 -1.46 0.146 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6685 on 149 degrees of freedom Output:Multiple R-squared: 0.0141, Adjusted R-squared: 0.007482 Output:F-statistic: 2.131 on 1 and 149 DF, p-value: 0.1465 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.952 0.95213 2.1308 0.1465 Output:Residuals 149 66.579 0.44684 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4502097 Output:[1] 0.2687775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005782424 0.00559379 Output:regressor 0.005593790 0.01108330 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.89027 1.09805 0.8108 0.4188 Output:regressor -0.15368 1.00542 -0.1528 0.8787 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:-5.412e-15 1.390e-17 3.860e-17 6.170e-17 5.003e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -5.059e-16 5.107e-17 -9.906e+00 <2e-16 *** Output:regressor 1.000e+00 7.071e-17 1.414e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.49e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2e+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 40.317 40.317 2e+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] 0.2687775 Output:[1] 0.2687775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.608630e-33 2.523531e-33 Output:regressor 2.523531e-33 5.000016e-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) -5.0595e-16 6.7401e-17 -7.5066e+00 5.127e-12 *** Output:regressor 1.0000e+00 6.5710e-17 1.5218e+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 | 0.6516 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.46886 -0.26595 -0.05446 0.22422 0.75593 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.08611 0.03525 -2.443 0.0157 * Output:regressor 0.28491 0.01698 16.779 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.306 on 149 degrees of freedom Output:Multiple R-squared: 0.6539, Adjusted R-squared: 0.6516 Output:F-statistic: 281.5 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 26.363 26.3634 281.52 < 2.2e-16 *** Output:Residuals 149 13.953 0.0936 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] 0.2687775 Output:[1] 2.165164 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0012425932 0.0004236387 Output:regressor 0.0004236387 0.0002883418 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.086106 0.222766 -0.3865 0.6997 Output:regressor 0.284911 0.243649 1.1693 0.2441 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.4147 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.9983 -0.1716 0.0255 0.3485 0.5528 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.17856 0.07344 2.431 0.0162 * Output:regressor -0.34870 0.03366 -10.358 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3966 on 149 degrees of freedom Output:Multiple R-squared: 0.4186, Adjusted R-squared: 0.4147 Output:F-statistic: 107.3 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 16.877 16.8774 107.29 < 2.2e-16 *** Output:Residuals 149 23.439 0.1573 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] 0.2687775 Output:[1] 0.9253751 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005393209 -0.002220699 Output:regressor -0.002220699 0.001133309 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.17856 0.29221 0.6111 0.5421 Output:regressor -0.34870 0.28030 -1.2440 0.2155 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.2602 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.69901 -0.39460 -0.04115 0.42203 0.90069 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.82050 0.05632 -14.569 < 2e-16 *** Output:regressor 0.75593 0.10310 7.332 1.34e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4459 on 149 degrees of freedom Output:Multiple R-squared: 0.2651, Adjusted R-squared: 0.2602 Output:F-statistic: 53.76 on 1 and 149 DF, p-value: 1.342e-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 10.689 10.6892 53.758 1.342e-11 *** Output:Residuals 149 29.627 0.1988 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] 0.2687775 Output:[1] 0.1247083 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003171921 -0.004440611 Output:regressor -0.004440611 0.010629687 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.82050 0.62548 -1.3118 0.1916 Output:regressor 0.75593 0.62962 1.2006 0.2318 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.2114 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.83739 -0.43895 0.07028 0.39174 0.73333 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.29004 0.05022 -5.776 4.32e-08 *** Output:regressor -0.19843 0.03091 -6.420 1.72e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4604 on 149 degrees of freedom Output:Multiple R-squared: 0.2167, Adjusted R-squared: 0.2114 Output:F-statistic: 41.21 on 1 and 149 DF, p-value: 1.722e-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 8.7352 8.7352 41.212 1.722e-09 *** Output:Residuals 149 31.5814 0.2120 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] 0.2687775 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002521864 -0.0010336135 Output:regressor -0.001033613 0.0009554406 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.29004 0.93540 -0.3101 0.7569 Output:regressor -0.19843 0.51220 -0.3874 0.6990 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.0549 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.0173 -0.4269 0.1240 0.3858 0.7140 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.40604 0.05182 -7.836 8.16e-13 *** Output:regressor -0.31065 0.09971 -3.116 0.0022 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.504 on 149 degrees of freedom Output:Multiple R-squared: 0.06116, Adjusted R-squared: 0.05486 Output:F-statistic: 9.707 on 1 and 149 DF, p-value: 0.002203 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.466 2.46577 9.7065 0.002203 ** Output:Residuals 149 37.851 0.25403 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] 0.2687775 Output:[1] 0.1703435 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002685309 -0.003157775 Output:regressor -0.003157775 0.009941976 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.40604 0.76831 -0.5285 0.5980 Output:regressor -0.31065 0.64526 -0.4814 0.6309 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.0075 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.0810 -0.4513 0.2041 0.4274 0.6232 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.41591 0.07394 -5.625 8.91e-08 *** Output:regressor -0.09175 0.06285 -1.460 0.146 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5165 on 149 degrees of freedom Output:Multiple R-squared: 0.0141, Adjusted R-squared: 0.007482 Output:F-statistic: 2.131 on 1 and 149 DF, p-value: 0.1465 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.568 0.56843 2.1308 0.1465 Output:Residuals 149 39.748 0.26677 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.2687775 Output:[1] 0.4502097 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005466863 -0.003823182 Output:regressor -0.003823182 0.003950255 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.415910 1.365804 -0.3045 0.7612 Output:regressor -0.091745 0.547983 -0.1674 0.8673 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:-1.346e-15 -1.709e-16 -1.062e-16 -5.420e-17 1.578e-14 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.156e-15 1.425e-16 8.116e+00 1.66e-13 *** Output:regressor 1.000e+00 8.771e-17 1.140e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.306e-15 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.3e+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 1 221.84 221.84 1.3e+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] 1.478941 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.030374e-32 -8.321709e-33 Output:regressor -8.321709e-33 7.692333e-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) 1.1565e-15 1.8186e-16 6.3592e+00 2.348e-09 *** Output:regressor 1.0000e+00 7.5333e-17 1.3274e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.6730 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.25015 -0.53900 0.09768 0.34229 1.56996 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.08404 0.08010 1.049 0.296 Output:regressor -0.67912 0.03859 -17.600 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6954 on 149 degrees of freedom Output:Multiple R-squared: 0.6752, Adjusted R-squared: 0.673 Output:F-statistic: 309.7 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 1 149.788 149.788 309.75 < 2.2e-16 *** Output:Residuals 149 72.053 0.484 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] 1.478941 Output:[1] 2.165164 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006416625 0.002187628 Output:regressor 0.002187628 0.001488968 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.084037 0.234709 0.3580 0.7208 Output:regressor -0.679121 0.418395 -1.6232 0.1067 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.6461 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.1541 -0.6119 -0.1230 0.5721 1.6145 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.33080 0.10356 -3.194 0.00171 ** Output:regressor 1.45957 0.08803 16.580 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7234 on 149 degrees of freedom Output:Multiple R-squared: 0.6485, Adjusted R-squared: 0.6461 Output:F-statistic: 274.9 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 143.865 143.865 274.9 < 2.2e-16 *** Output:Residuals 149 77.976 0.523 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] 1.478941 Output:[1] 0.4502097 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.010724584 -0.007500104 Output:regressor -0.007500104 0.007749387 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.3308 5.0322 -0.0657 0.9477 Output:regressor 1.4596 2.0255 0.7206 0.4723 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | 0.2406 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.7041 -1.0779 0.1401 1.0351 1.6764 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.6180 0.1090 5.672 7.13e-08 *** Output:regressor 1.4604 0.2097 6.966 9.78e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.06 on 149 degrees of freedom Output:Multiple R-squared: 0.2456, Adjusted R-squared: 0.2406 Output:F-statistic: 48.52 on 1 and 149 DF, p-value: 9.78e-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 54.495 54.495 48.52 9.78e-11 *** Output:Residuals 149 167.347 1.123 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] 1.478941 Output:[1] 0.1703435 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01187231 -0.01396118 Output:regressor -0.01396118 0.04395555 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.61797 1.44226 0.4285 0.6689 Output:regressor 1.46039 2.68382 0.5441 0.5872 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.2114 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.5522 -0.8597 -0.3805 0.6542 2.6556 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.5307 0.1229 4.32 2.83e-05 *** Output:regressor -1.0919 0.1701 -6.42 1.72e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.08 on 149 degrees of freedom Output:Multiple R-squared: 0.2167, Adjusted R-squared: 0.2114 Output:F-statistic: 41.21 on 1 and 149 DF, p-value: 1.722e-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 48.065 48.065 41.212 1.722e-09 *** Output:Residuals 149 173.776 1.166 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] 1.478941 Output:[1] 0.2687775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01509247 0.01460012 Output:regressor 0.01460012 0.02892806 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.53074 1.00618 0.5275 0.5986 Output:regressor -1.09187 0.83799 -1.3030 0.1946 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.0925 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.67774 -1.07400 0.00954 0.98042 2.11635 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.30399 0.21450 1.417 0.159 Output:regressor 0.39696 0.09833 4.037 8.63e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.158 on 149 degrees of freedom Output:Multiple R-squared: 0.09859, Adjusted R-squared: 0.09255 Output:F-statistic: 16.3 on 1 and 149 DF, p-value: 8.631e-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 21.872 21.8724 16.297 8.631e-05 *** Output:Residuals 149 199.969 1.3421 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] 1.478941 Output:[1] 0.9253751 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.04601140 -0.01894558 Output:regressor -0.01894558 0.00966867 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.30399 0.86341 0.3521 0.7253 Output:regressor 0.39696 1.22555 0.3239 0.7465 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | -0.0059 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.5907 -1.0364 -0.5156 1.1524 2.4030 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.12180 0.15405 7.282 1.77e-11 *** Output:regressor -0.09569 0.28201 -0.339 0.735 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.22 on 149 degrees of freedom Output:Multiple R-squared: 0.0007722, Adjusted R-squared: -0.005934 Output:F-statistic: 0.1151 on 1 and 149 DF, p-value: 0.7348 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.171 0.1713 0.1151 0.7348 Output:Residuals 149 221.670 1.4877 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.478941 Output:[1] 0.1247083 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02373207 -0.03322431 Output:regressor -0.03322431 0.07953050 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.121795 0.825097 1.3596 0.1760 Output:regressor -0.095694 1.750851 -0.0547 0.9565 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for RO
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| RO | RO | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.41e-15 1.77e-17 3.39e-17 5.19e-17 4.93e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -5.782e-16 5.651e-17 -1.023e+01 <2e-16 *** Output:regressor 1.000e+00 1.034e-16 9.666e+15 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.474e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 9.344e+31 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 18.706 18.706 9.3436e+31 < 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] 0.1247083 Output:[1] 0.1247083 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.193638e-33 -4.471014e-33 Output:regressor -4.471014e-33 1.070247e-32 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 5.9403e-17 -9.734e+00 < 2.2e-16 *** Output:regressor 1.0000e+00 6.7567e-17 1.480e+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 | 0.2602 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.59759 -0.20569 -0.02823 0.22818 0.63708 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.59477 0.03455 17.214 < 2e-16 *** Output:regressor 0.35074 0.04784 7.332 1.34e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3037 on 149 degrees of freedom Output:Multiple R-squared: 0.2651, Adjusted R-squared: 0.2602 Output:F-statistic: 53.76 on 1 and 149 DF, p-value: 1.342e-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 4.9596 4.9596 53.758 1.342e-11 *** Output:Residuals 149 13.7466 0.0923 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] 0.1247083 Output:[1] 0.2687775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001193895 0.001154948 Output:regressor 0.001154948 0.002288364 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.59477 0.27323 2.1769 0.03107 * Output:regressor 0.35074 0.28109 1.2478 0.21407 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.1572 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.57252 -0.21066 -0.04359 0.18426 0.90308 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.21225 0.04641 4.573 1.0e-05 *** Output:regressor 0.21234 0.03945 5.382 2.8e-07 *** 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: 0.1628, Adjusted R-squared: 0.1572 Output:F-statistic: 28.97 on 1 and 149 DF, p-value: 2.798e-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 3.0449 3.04488 28.969 2.798e-07 *** Output:Residuals 149 15.6614 0.10511 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] 0.1247083 Output:[1] 0.4502097 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002154022 -0.001506388 Output:regressor -0.001506388 0.001556457 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.21225 0.32481 0.6534 0.5145 Output:regressor 0.21234 0.19082 1.1128 0.2676 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.1568 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.63108 -0.18752 -0.00975 0.21974 0.74593 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.30824 0.03334 9.245 2.29e-16 *** Output:regressor 0.34479 0.06415 5.374 2.90e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3243 on 149 degrees of freedom Output:Multiple R-squared: 0.1624, Adjusted R-squared: 0.1568 Output:F-statistic: 28.88 on 1 and 149 DF, p-value: 2.902e-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 3.0375 3.03749 28.885 2.902e-07 *** Output:Residuals 149 15.6688 0.10516 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] 0.1247083 Output:[1] 0.1703435 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001111611 -0.001307194 Output:regressor -0.001307194 0.004115583 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.30824 0.16044 1.9212 0.05662 . Output:regressor 0.34479 0.27208 1.2672 0.20706 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.0724 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.52497 -0.30527 -0.00369 0.21116 0.85980 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.51657 0.03918 13.185 < 2e-16 *** Output:regressor 0.06726 0.01887 3.564 0.000492 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3401 on 149 degrees of freedom Output:Multiple R-squared: 0.07853, Adjusted R-squared: 0.07235 Output:F-statistic: 12.7 on 1 and 149 DF, p-value: 0.0004919 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.4691 1.46909 12.699 0.0004919 *** Output:Residuals 149 17.2371 0.11569 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] 0.1247083 Output:[1] 2.165164 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0015350356 0.0005233415 Output:regressor 0.0005233415 0.0003562025 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.516570 0.287784 1.7950 0.07468 . Output:regressor 0.067256 0.183612 0.3663 0.71466 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | -0.0026 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.64927 -0.28104 -0.00087 0.16153 0.81178 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.37203 0.06547 5.682 6.77e-08 *** Output:regressor 0.02333 0.03001 0.777 0.438 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3536 on 149 degrees of freedom Output:Multiple R-squared: 0.00404, Adjusted R-squared: -0.002644 Output:F-statistic: 0.6044 on 1 and 149 DF, p-value: 0.4381 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0756 0.075571 0.6044 0.4381 Output:Residuals 149 18.6307 0.125038 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1247083 Output:[1] 0.9253751 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004286787 -0.0017651202 Output:regressor -0.001765120 0.0009008099 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.372035 0.201509 1.8462 0.06684 . Output:regressor 0.023333 0.081542 0.2861 0.77516 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | -0.0059 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.64045 -0.29749 0.00395 0.17506 0.80259 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.426485 0.038634 11.039 <2e-16 *** Output:regressor -0.008069 0.023780 -0.339 0.735 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3542 on 149 degrees of freedom Output:Multiple R-squared: 0.0007722, Adjusted R-squared: -0.005934 Output:F-statistic: 0.1151 on 1 and 149 DF, p-value: 0.7348 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0144 0.014444 0.1151 0.7348 Output:Residuals 149 18.6918 0.125448 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1247083 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0014925910 -0.0006117546 Output:regressor -0.0006117546 0.0005654872 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.4264850 0.2296284 1.8573 0.06524 . Output:regressor -0.0080692 0.1759756 -0.0459 0.96349 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 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:-2.574e-15 -1.340e-18 1.475e-17 3.104e-17 1.948e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -7.228e-17 1.925e-17 -3.754e+00 0.000249 *** Output:regressor 1.000e+00 4.377e-17 2.285e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.145e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.219e+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 24.005 24.005 5.2191e+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] 0.1600339 Output:[1] 0.1600339 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.707538e-34 -3.560288e-34 Output:regressor -3.560288e-34 1.916021e-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 2.1018e-17 -3.4390e+00 0.0007574 *** Output:regressor 1.0000e+00 2.3786e-17 4.2041e+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 | 0.2738 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.64728 -0.28236 0.03376 0.21458 0.78301 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.11025 0.04788 -2.302 0.0227 * Output:regressor 1.44290 0.19021 7.586 3.3e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3409 on 149 degrees of freedom Output:Multiple R-squared: 0.2786, Adjusted R-squared: 0.2738 Output:F-statistic: 57.55 on 1 and 149 DF, p-value: 3.3e-12 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.6881 6.6881 57.547 3.3e-12 *** Output:Residuals 149 17.3169 0.1162 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] 0.1600339 Output:[1] 0.0214162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002292843 -0.007423341 Output:regressor -0.007423341 0.036178547 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.11025 0.25785 -0.4276 0.66959 Output:regressor 1.44290 0.72570 1.9883 0.04861 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.0572 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.80857 -0.27475 0.08573 0.28500 0.66139 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.04664 0.05400 0.864 0.3892 Output:regressor -0.36222 0.11396 -3.179 0.0018 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3884 on 149 degrees of freedom Output:Multiple R-squared: 0.0635, Adjusted R-squared: 0.05722 Output:F-statistic: 10.1 on 1 and 149 DF, p-value: 0.0018 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.5244 1.52438 10.104 0.0018 ** Output:Residuals 149 22.4807 0.15088 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] 0.1600339 Output:[1] 0.07745692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002916379 0.004989636 Output:regressor 0.004989636 0.012985903 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.04664 0.32466 0.1437 0.8860 Output:regressor -0.36222 0.73659 -0.4917 0.6236 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.0420 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.8337 -0.2336 0.0587 0.3379 0.7528 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.14627 0.03496 4.184 4.87e-05 *** Output:regressor -0.23832 0.08663 -2.751 0.00668 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3916 on 149 degrees of freedom Output:Multiple R-squared: 0.04834, Adjusted R-squared: 0.04196 Output:F-statistic: 7.569 on 1 and 149 DF, p-value: 0.006675 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.1605 1.16046 7.5689 0.006675 ** Output:Residuals 149 22.8446 0.15332 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] 0.1600339 Output:[1] 0.1362119 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001221956 0.001245101 Output:regressor 0.001245101 0.007503973 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.14627 0.22090 0.6622 0.5089 Output:regressor -0.23832 0.51937 -0.4589 0.6470 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0372 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.75474 -0.29350 0.03654 0.28716 0.81206 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.11147 0.04282 2.603 0.0102 * Output:regressor 0.06873 0.02635 2.608 0.0100 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3925 on 149 degrees of freedom Output:Multiple R-squared: 0.04365, Adjusted R-squared: 0.03723 Output:F-statistic: 6.801 on 1 and 149 DF, p-value: 0.01004 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.0478 1.04782 6.8007 0.01004 * Output:Residuals 149 22.9573 0.15408 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] 0.1600339 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0018332004 -0.0007513571 Output:regressor -0.0007513571 0.0006945315 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.111468 0.334864 0.3329 0.7397 Output:regressor 0.068726 0.091600 0.7503 0.4543 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.0267 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.79015 -0.25331 0.07537 0.30184 0.79321 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.11122 0.04602 2.417 0.0169 * Output:regressor -0.26773 0.11831 -2.263 0.0251 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3947 on 149 degrees of freedom Output:Multiple R-squared: 0.03323, Adjusted R-squared: 0.02674 Output:F-statistic: 5.121 on 1 and 149 DF, p-value: 0.02509 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.7976 0.79757 5.1207 0.02509 * Output:Residuals 149 23.2075 0.15576 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] 0.1600339 Output:[1] 0.07418162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002118055 0.003899915 Output:regressor 0.003899915 0.013997639 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.11122 0.25869 0.4300 0.6678 Output:regressor -0.26773 0.65909 -0.4062 0.6852 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | -0.0056 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.77381 -0.27825 0.05576 0.29450 0.79301 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.17581 0.04077 4.312 2.93e-05 *** Output:regressor -0.05356 0.13076 -0.410 0.683 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4012 on 149 degrees of freedom Output:Multiple R-squared: 0.001125, Adjusted R-squared: -0.005579 Output:F-statistic: 0.1678 on 1 and 149 DF, p-value: 0.6827 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.027 0.02700 0.1678 0.6827 Output:Residuals 149 23.978 0.16093 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1600339 Output:[1] 0.06274255 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001662408 0.003194138 Output:regressor 0.003194138 0.017099160 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.175811 0.191434 0.9184 0.3599 Output:regressor -0.053562 0.603417 -0.0888 0.9294 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:-1.669e-15 3.490e-18 1.037e-17 1.826e-17 1.262e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -7.228e-17 1.239e-17 -5.835e+00 3.23e-08 *** Output:regressor 1.000e+00 3.069e-17 3.258e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.387e-16 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.061e+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 20.432 20.432 1.0614e+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) :Output:[1] "-------------------------------------------------------------------------------------------" Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1362119 Output:[1] 0.1362119 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.534184e-34 1.563243e-34 Output:regressor 1.563243e-34 9.421350e-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 1.2866e-17 -5.6177e+00 9.226e-08 *** Output:regressor 1.0000e+00 1.3566e-17 7.3716e+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 | 0.2896 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.61170 -0.25852 0.02482 0.20298 0.85595 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.03889 0.03628 1.072 0.285 Output:regressor 0.73512 0.09326 7.883 6.25e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3111 on 149 degrees of freedom Output:Multiple R-squared: 0.2943, Adjusted R-squared: 0.2896 Output:F-statistic: 62.14 on 1 and 149 DF, p-value: 6.246e-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 6.0131 6.0131 62.139 6.246e-13 *** Output:Residuals 149 14.4186 0.0968 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] 0.1362119 Output:[1] 0.07418162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001315931 0.002422987 Output:regressor 0.002422987 0.008696623 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.038887 0.196408 0.1980 0.843320 Output:regressor 0.735118 0.223060 3.2956 0.001227 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.2322 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.79271 -0.24037 0.05303 0.18952 0.78156 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.08228 0.04496 1.830 0.0692 . Output:regressor 0.64598 0.09488 6.809 2.26e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3234 on 149 degrees of freedom Output:Multiple R-squared: 0.2373, Adjusted R-squared: 0.2322 Output:F-statistic: 46.36 on 1 and 149 DF, p-value: 2.259e-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 4.8483 4.8483 46.356 2.259e-10 *** Output:Residuals 149 15.5835 0.1046 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] 0.1362119 Output:[1] 0.07745692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002021617 0.003458787 Output:regressor 0.003458787 0.009001755 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.082282 0.337115 0.2441 0.8075 Output:regressor 0.645979 0.869496 0.7429 0.4587 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.2179 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.80107 -0.22839 0.04327 0.25247 0.64250 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.03592 0.03317 -1.083 0.281 Output:regressor 0.69597 0.10639 6.542 9.17e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3264 on 149 degrees of freedom Output:Multiple R-squared: 0.2231, Adjusted R-squared: 0.2179 Output:F-statistic: 42.79 on 1 and 149 DF, p-value: 9.17e-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 4.5587 4.5587 42.792 9.17e-10 *** Output:Residuals 149 15.8731 0.1065 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] 0.1362119 Output:[1] 0.06274255 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001100489 0.002114471 Output:regressor 0.002114471 0.011319386 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.035917 0.183303 -0.1959 0.8449 Output:regressor 0.695972 0.590820 1.1780 0.2407 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.1014 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.02995 -0.17371 0.02339 0.13054 0.70981 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.05833 0.03816 -1.529 0.129 Output:regressor -0.09946 0.02349 -4.234 4e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3499 on 149 degrees of freedom Output:Multiple R-squared: 0.1074, Adjusted R-squared: 0.1014 Output:F-statistic: 17.93 on 1 and 149 DF, p-value: 3.997e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.1944 2.1944 17.928 3.997e-05 *** Output:Residuals 149 18.2374 0.1224 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] 0.1362119 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0014563069 -0.0005968832 Output:regressor -0.0005968832 0.0005517405 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.058331 0.265687 -0.2195 0.8265 Output:regressor -0.099457 0.125809 -0.7905 0.4305 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.0420 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.91554 -0.26047 0.02852 0.21433 0.84280 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.12823 0.03243 -3.954 0.000119 *** Output:regressor -0.20285 0.07373 -2.751 0.006675 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3612 on 149 degrees of freedom Output:Multiple R-squared: 0.04834, Adjusted R-squared: 0.04196 Output:F-statistic: 7.569 on 1 and 149 DF, p-value: 0.006675 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.9877 0.98772 7.5689 0.006675 ** Output:Residuals 149 19.4441 0.13050 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] 0.1362119 Output:[1] 0.1600339 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001051921 -0.001010142 Output:regressor -0.001010142 0.005436227 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.12823 0.16743 -0.7659 0.4450 Output:regressor -0.20285 0.58120 -0.3490 0.7276 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.0015 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.0364 -0.2474 0.0502 0.1870 0.8172 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.1192 0.0518 -2.301 0.0228 * Output:regressor -0.2279 0.2058 -1.107 0.2699 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3688 on 149 degrees of freedom Output:Multiple R-squared: 0.008163, Adjusted R-squared: 0.001507 Output:F-statistic: 1.226 on 1 and 149 DF, p-value: 0.2699 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.1668 0.16679 1.2264 0.2699 Output:Residuals 149 20.2650 0.13601 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1362119 Output:[1] 0.0214162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002683180 -0.008687099 Output:regressor -0.008687099 0.042337627 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.11917 0.21953 -0.5428 0.5880 Output:regressor -0.22786 0.86486 -0.2635 0.7926 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:-1.085e-16 -8.760e-18 -3.280e-18 2.730e-18 3.881e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 7.228e-17 4.568e-18 1.582e+01 <2e-16 *** Output:regressor 1.000e+00 1.174e-17 8.516e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.917e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 7.253e+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 11.127 11.127 7.2529e+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] 0.07418162 Output:[1] 0.07418162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.086276e-35 3.841400e-35 Output:regressor 3.841400e-35 1.378762e-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 6.8236e-18 1.0592e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 2.0797e-17 4.8083e+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 | 0.2896 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.88664 -0.11868 0.00595 0.17238 0.38091 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.21218 0.02049 -10.353 < 2e-16 *** Output:regressor 0.40035 0.05079 7.883 6.25e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2296 on 149 degrees of freedom Output:Multiple R-squared: 0.2943, Adjusted R-squared: 0.2896 Output:F-statistic: 62.14 on 1 and 149 DF, p-value: 6.246e-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 3.2748 3.2748 62.139 6.246e-13 *** Output:Residuals 149 7.8525 0.0527 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] 0.07418162 Output:[1] 0.1362119 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004200270 0.0004279828 Output:regressor 0.0004279828 0.0025793660 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.212184 0.080138 -2.6477 0.008975 ** Output:regressor 0.400348 0.652672 0.6134 0.540547 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.2494 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.90521 -0.09038 0.02582 0.15800 0.38421 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.17616 0.02398 -7.345 1.25e-11 *** Output:regressor 0.54846 0.07692 7.131 4.02e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.236 on 149 degrees of freedom Output:Multiple R-squared: 0.2544, Adjusted R-squared: 0.2494 Output:F-statistic: 50.84 on 1 and 149 DF, p-value: 4.023e-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 2.8310 2.83100 50.845 4.023e-11 *** Output:Residuals 149 8.2962 0.05568 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] 0.07418162 Output:[1] 0.06274255 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005751807 0.001105148 Output:regressor 0.0011051479 0.005916182 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.176160 0.052615 -3.3481 0.00103 ** Output:regressor 0.548458 0.710915 0.7715 0.44164 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.1735 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.98261 -0.08256 0.01134 0.12729 0.59077 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.11952 0.03443 -3.472 0.000677 *** Output:regressor 0.41405 0.07264 5.700 6.22e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2476 on 149 degrees of freedom Output:Multiple R-squared: 0.179, Adjusted R-squared: 0.1735 Output:F-statistic: 32.49 on 1 and 149 DF, p-value: 6.224e-08 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.9919 1.99188 32.488 6.224e-08 *** Output:Residuals 149 9.1354 0.06131 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] 0.07418162 Output:[1] 0.07745692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001185113 0.002027612 Output:regressor 0.002027612 0.005277012 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.11952 0.29759 -0.4016 0.6885 Output:regressor 0.41405 1.24785 0.3318 0.7405 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | 0.0267 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.05525 -0.09882 0.03120 0.16327 0.45729 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.25555 0.02412 -10.593 <2e-16 *** Output:regressor -0.12410 0.05484 -2.263 0.0251 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2687 on 149 degrees of freedom Output:Multiple R-squared: 0.03323, Adjusted R-squared: 0.02674 Output:F-statistic: 5.121 on 1 and 149 DF, p-value: 0.02509 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.3697 0.3697 5.1207 0.02509 * Output:Residuals 149 10.7575 0.0722 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] 0.07418162 Output:[1] 0.1600339 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005819809 -0.0005588668 Output:regressor -0.0005588668 0.0030076230 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.255552 0.067523 -3.7846 0.0002225 *** Output:regressor -0.124101 0.699513 -0.1774 0.8594268 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | -0.0015 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.13846 -0.06886 0.03996 0.13220 0.42361 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.30599 0.03828 -7.992 3.36e-13 *** Output:regressor 0.13343 0.15208 0.877 0.382 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2726 on 149 degrees of freedom Output:Multiple R-squared: 0.00514, Adjusted R-squared: -0.001537 Output:F-statistic: 0.7698 on 1 and 149 DF, p-value: 0.3817 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0572 0.057190 0.7698 0.3817 Output:Residuals 149 11.0701 0.074296 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.07418162 Output:[1] 0.0214162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001465727 -0.004745456 Output:regressor -0.004745456 0.023127552 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.30599 0.17313 -1.7674 0.07922 . Output:regressor 0.13343 0.42369 0.3149 0.75327 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | 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:-1.14019 -0.06733 0.04253 0.14209 0.42199 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.287935 0.029786 -9.667 <2e-16 *** Output:regressor 0.008618 0.018334 0.470 0.639 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2731 on 149 degrees of freedom Output:Multiple R-squared: 0.001481, Adjusted R-squared: -0.005221 Output:F-statistic: 0.2209 on 1 and 149 DF, p-value: 0.639 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0165 0.016476 0.2209 0.639 Output:Residuals 149 11.1108 0.074569 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.07418162 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008872250 -0.0003636388 Output:regressor -0.0003636388 0.0003361366 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.2879354 0.1901963 -1.5139 0.1322 Output:regressor 0.0086179 0.0414294 0.2080 0.8355 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:-7.830e-17 -7.950e-18 -4.870e-18 8.000e-20 5.146e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 7.228e-17 6.279e-18 1.151e+01 <2e-16 *** Output:regressor 1.000e+00 1.325e-17 7.547e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.516e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.696e+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 11.618 11.618 5.6958e+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] 0.07745692 Output:[1] 0.07745692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.942894e-35 6.745902e-35 Output:regressor 6.745902e-35 1.755672e-34 Output:[1] "-------------------------------------------------------------------------------------------" Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 7.2279e-17 9.9441e-18 7.2685e+00 1.9e-11 *** Output:regressor 1.0000e+00 2.0193e-17 4.9522e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.3001 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.61823 -0.12563 -0.00394 0.16886 0.44498 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.26966 0.02366 -11.395 < 2e-16 *** Output:regressor 0.61337 0.07590 8.082 2.02e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2328 on 149 degrees of freedom Output:Multiple R-squared: 0.3048, Adjusted R-squared: 0.3001 Output:F-statistic: 65.31 on 1 and 149 DF, p-value: 2.021e-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 3.5408 3.5408 65.314 2.021e-13 *** Output:Residuals 149 8.0777 0.0542 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] 0.07745692 Output:[1] 0.06274255 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005600298 0.001076037 Output:regressor 0.0010760371 0.005760343 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.269656 0.098684 -2.7325 0.007046 ** Output:regressor 0.613375 0.296586 2.0681 0.040358 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.2322 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.64705 -0.12146 -0.00255 0.15882 0.61677 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.32328 0.02177 -14.849 < 2e-16 *** Output:regressor 0.36734 0.05395 6.809 2.26e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2439 on 149 degrees of freedom Output:Multiple R-squared: 0.2373, Adjusted R-squared: 0.2322 Output:F-statistic: 46.36 on 1 and 149 DF, p-value: 2.259e-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 2.7570 2.75698 46.356 2.259e-10 *** Output:Residuals 149 8.8616 0.05947 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] 0.07745692 Output:[1] 0.1362119 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004740035 0.0004829817 Output:regressor 0.0004829817 0.0029108332 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.32328 0.12785 -2.5286 0.01249 * Output:regressor 0.36734 0.18098 2.0297 0.04417 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.1735 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.77919 -0.07587 0.04389 0.13335 0.44509 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.26378 0.02951 -8.94 1.39e-15 *** Output:regressor 0.43233 0.07585 5.70 6.22e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.253 on 149 degrees of freedom Output:Multiple R-squared: 0.179, Adjusted R-squared: 0.1735 Output:F-statistic: 32.49 on 1 and 149 DF, p-value: 6.224e-08 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.0798 2.07983 32.488 6.224e-08 *** Output:Residuals 149 9.5387 0.06402 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] 0.07745692 Output:[1] 0.07418162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008705595 0.001602936 Output:regressor 0.0016029365 0.005753286 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.26378 0.36782 -0.7171 0.4744 Output:regressor 0.43233 0.49932 0.8658 0.3880 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | 0.0734 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.63584 -0.10611 0.03474 0.16904 0.49694 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.45406 0.02922 -15.538 < 2e-16 *** Output:regressor 0.06455 0.01799 3.589 0.00045 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2679 on 149 degrees of freedom Output:Multiple R-squared: 0.07955, Adjusted R-squared: 0.07337 Output:F-statistic: 12.88 on 1 and 149 DF, p-value: 0.0004505 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.9243 0.92427 12.878 0.0004505 *** Output:Residuals 149 10.6943 0.07177 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] 0.07745692 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008539661 -0.0003500073 Output:regressor -0.0003500073 0.0003235360 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.454063 0.277118 -1.6385 0.1034 Output:regressor 0.064547 0.076543 0.8433 0.4004 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.0572 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.56812 -0.17873 -0.03325 0.18270 0.52395 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.35166 0.02426 -14.494 <2e-16 *** Output:regressor -0.17532 0.05515 -3.179 0.0018 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2702 on 149 degrees of freedom Output:Multiple R-squared: 0.0635, Adjusted R-squared: 0.05722 Output:F-statistic: 10.1 on 1 and 149 DF, p-value: 0.0018 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.7378 0.73781 10.104 0.0018 ** Output:Residuals 149 10.8807 0.07303 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] 0.07745692 Output:[1] 0.1600339 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005886457 -0.0005652669 Output:regressor -0.0005652669 0.0030420659 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.35166 0.17627 -1.9950 0.04787 * Output:regressor -0.17532 0.56896 -0.3081 0.75841 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.0138 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.70137 -0.09037 0.02347 0.16431 0.45755 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.43996 0.03882 -11.333 <2e-16 *** Output:regressor 0.27157 0.15420 1.761 0.0803 . 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: 0.02039, Adjusted R-squared: 0.01382 Output:F-statistic: 3.102 on 1 and 149 DF, p-value: 0.08027 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2369 0.236915 3.1015 0.08027 . Output:Residuals 149 11.3816 0.076387 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] 0.07745692 Output:[1] 0.0214162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001506980 -0.004879018 Output:regressor -0.004879018 0.023778485 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.439957 0.078706 -5.5899 1.054e-07 *** Output:regressor 0.271568 0.694750 0.3909 0.6964 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for GB
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| GB | GB | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.784e-17 -1.016e-17 -3.920e-18 3.340e-18 5.866e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 7.228e-17 6.990e-18 1.034e+01 <2e-16 *** Output:regressor 1.000e+00 2.777e-17 3.601e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.977e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.297e+33 on 1 and 149 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.2124 3.2124 1.2971e+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] 0.0214162 Output:[1] 0.0214162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.886079e-35 -1.581924e-34 Output:regressor -1.581924e-34 7.709695e-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 1.1543e-17 6.2618e+00 3.859e-09 *** Output:regressor 1.0000e+00 3.7846e-17 2.6423e+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 | IT | 0.5021 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.259981 -0.073097 0.008838 0.069431 0.191439 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.112635 0.011264 10.00 <2e-16 *** Output:regressor 0.085551 0.006933 12.34 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1033 on 149 degrees of freedom Output:Multiple R-squared: 0.5054, Adjusted R-squared: 0.5021 Output:F-statistic: 152.3 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 1.6237 1.62367 152.27 < 2.2e-16 *** Output:Residuals 149 1.5888 0.01066 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] 0.0214162 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.268672e-04 -5.199789e-05 Output:regressor -5.199789e-05 4.806526e-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) 0.112635 0.055396 2.0333 0.04380 * Output:regressor 0.085551 0.036001 2.3764 0.01876 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.2738 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.16977 -0.10031 -0.02576 0.05123 0.30301 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.16931 0.01120 15.121 < 2e-16 *** Output:regressor 0.19309 0.02545 7.586 3.3e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1247 on 149 degrees of freedom Output:Multiple R-squared: 0.2786, Adjusted R-squared: 0.2738 Output:F-statistic: 57.55 on 1 and 149 DF, p-value: 3.3e-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 0.89503 0.89503 57.547 3.3e-12 *** Output:Residuals 149 2.31740 0.01555 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] 0.0214162 Output:[1] 0.1600339 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001253711 -0.0001203918 Output:regressor -0.0001203918 0.0006479062 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.169306 0.061084 2.7717 0.006288 ** Output:regressor 0.193093 0.071462 2.7020 0.007692 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.0835 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.25897 -0.12427 -0.01178 0.10519 0.34455 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.23786 0.01424 16.70 < 2e-16 *** Output:regressor 0.17492 0.04567 3.83 0.000188 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1401 on 149 degrees of freedom Output:Multiple R-squared: 0.08963, Adjusted R-squared: 0.08352 Output:F-statistic: 14.67 on 1 and 149 DF, p-value: 0.0001881 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.28794 0.287945 14.671 0.0001881 *** Output:Residuals 149 2.92449 0.019627 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] 0.0214162 Output:[1] 0.06274255 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002027555 0.0003895728 Output:regressor 0.0003895728 0.0020854980 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.23786 0.10419 2.2830 0.02384 * Output:regressor 0.17492 0.16660 1.0499 0.29547 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.0138 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.23463 -0.12882 -0.04691 0.10885 0.33098 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.23404 0.02021 11.583 <2e-16 *** Output:regressor 0.07509 0.04264 1.761 0.0803 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1453 on 149 degrees of freedom Output:Multiple R-squared: 0.02039, Adjusted R-squared: 0.01382 Output:F-statistic: 3.102 on 1 and 149 DF, p-value: 0.08027 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0655 0.065505 3.1015 0.08027 . Output:Residuals 149 3.1469 0.021120 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] 0.0214162 Output:[1] 0.07745692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004082446 0.0006984663 Output:regressor 0.0006984663 0.0018178110 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.234037 0.124715 1.8766 0.06253 . Output:regressor 0.075086 0.223202 0.3364 0.73704 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.0015 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.20027 -0.12568 -0.03935 0.09123 0.36480 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.19924 0.01305 15.262 <2e-16 *** Output:regressor -0.03583 0.03235 -1.107 0.27 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1462 on 149 degrees of freedom Output:Multiple R-squared: 0.008163, Adjusted R-squared: 0.001507 Output:F-statistic: 1.226 on 1 and 149 DF, p-value: 0.2699 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0262 0.026224 1.2264 0.2699 Output:Residuals 149 3.1862 0.021384 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0214162 Output:[1] 0.1362119 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001704297 0.0001736579 Output:regressor 0.0001736579 0.0010466011 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.199242 0.101874 1.9558 0.05236 . Output:regressor -0.035826 0.112984 -0.3171 0.75162 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | -0.0015 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.21673 -0.12678 -0.04167 0.08805 0.34336 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.21592 0.01708 12.643 <2e-16 *** Output:regressor 0.03852 0.04390 0.877 0.382 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1465 on 149 degrees of freedom Output:Multiple R-squared: 0.00514, Adjusted R-squared: -0.001537 Output:F-statistic: 0.7698 on 1 and 149 DF, p-value: 0.3817 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0165 0.016511 0.7698 0.3817 Output:Residuals 149 3.1959 0.021449 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0214162 Output:[1] 0.07418162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002916786 0.0005370595 Output:regressor 0.0005370595 0.0019276228 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.21592 0.12202 1.7695 0.07885 . Output:regressor 0.03852 0.12948 0.2975 0.76651 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for IT
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| IT | IT | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.346e-15 -1.709e-16 -1.062e-16 -5.420e-17 1.578e-14 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.156e-15 1.425e-16 8.116e+00 1.66e-13 *** Output:regressor 1.000e+00 8.771e-17 1.140e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.306e-15 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.3e+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 1 221.84 221.84 1.3e+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] 1.478941 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.030374e-32 -8.321709e-33 Output:regressor -8.321709e-33 7.692333e-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) 1.1565e-15 1.8186e-16 6.3592e+00 2.348e-09 *** Output:regressor 1.0000e+00 7.5333e-17 1.3274e+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 | GB | 0.5021 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.63400 -0.67160 0.01333 0.57452 2.08966 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.1304 0.1205 -1.082 0.281 Output:regressor 5.9079 0.4788 12.340 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8581 on 149 degrees of freedom Output:Multiple R-squared: 0.5054, Adjusted R-squared: 0.5021 Output:F-statistic: 152.3 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 1 112.13 112.126 152.27 < 2.2e-16 *** Output:Residuals 149 109.72 0.736 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] 1.478941 Output:[1] 0.0214162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01452684 -0.04703228 Output:regressor -0.04703228 0.22921752 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.13041 0.96192 -0.1356 0.892344 Output:regressor 5.90793 2.21635 2.6656 0.008533 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.1014 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.5238 -0.8266 -0.5106 0.9372 2.4620 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.9026 0.1029 8.771 3.76e-15 *** Output:regressor -1.0799 0.2550 -4.234 4.00e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.153 on 149 degrees of freedom Output:Multiple R-squared: 0.1074, Adjusted R-squared: 0.1014 Output:F-statistic: 17.93 on 1 and 149 DF, p-value: 3.997e-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 23.826 23.826 17.928 3.997e-05 *** Output:Residuals 149 198.015 1.329 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] 1.478941 Output:[1] 0.1362119 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01059181 0.01079244 Output:regressor 0.01079244 0.06504383 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.90264 1.29270 0.6983 0.4861 Output:regressor -1.07987 1.29992 -0.8307 0.4075 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.0734 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.60821 -1.05112 0.03877 0.96911 2.26700 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.5554 0.1628 9.556 < 2e-16 *** Output:regressor 1.2325 0.3434 3.589 0.00045 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.171 on 149 degrees of freedom Output:Multiple R-squared: 0.07955, Adjusted R-squared: 0.07337 Output:F-statistic: 12.88 on 1 and 149 DF, p-value: 0.0004505 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 17.648 17.6478 12.878 0.0004505 *** Output:Residuals 149 204.193 1.3704 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] 1.478941 Output:[1] 0.07745692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02648960 0.04532109 Output:regressor 0.04532109 0.11795155 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.5554 1.1776 1.3208 0.1886 Output:regressor 1.2325 1.8016 0.6841 0.4950 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.0374 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.6711 -1.0245 -0.4148 1.0775 2.2991 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.2717 0.1213 10.487 < 2e-16 *** Output:regressor 1.0167 0.3889 2.614 0.00986 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.193 on 149 degrees of freedom Output:Multiple R-squared: 0.04385, Adjusted R-squared: 0.03744 Output:F-statistic: 6.834 on 1 and 149 DF, p-value: 0.009863 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 9.729 9.7285 6.8339 0.009863 ** Output:Residuals 149 212.113 1.4236 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] 1.478941 Output:[1] 0.06274255 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01470583 0.02825567 Output:regressor 0.02825567 0.15126090 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.2717 1.6643 0.7641 0.4460 Output:regressor 1.0167 2.6271 0.3870 0.6993 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.0372 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.7036 -0.9238 -0.4117 1.1901 2.3638 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.9638 0.1071 8.996 9.99e-16 *** Output:regressor 0.6351 0.2435 2.608 0.01 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.193 on 149 degrees of freedom Output:Multiple R-squared: 0.04365, Adjusted R-squared: 0.03723 Output:F-statistic: 6.801 on 1 and 149 DF, p-value: 0.01004 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 9.683 9.6833 6.8007 0.01004 * Output:Residuals 149 212.158 1.4239 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] 1.478941 Output:[1] 0.1600339 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01147770 -0.01102185 Output:regressor -0.01102185 0.05931567 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.96380 1.41392 0.6816 0.4965 Output:regressor 0.63513 1.20959 0.5251 0.6003 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | -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:-1.6037 -1.0550 -0.5149 1.1569 2.3579 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.1297 0.1422 7.945 4.39e-13 *** Output:regressor 0.1718 0.3655 0.470 0.639 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.219 on 149 degrees of freedom Output:Multiple R-squared: 0.001481, Adjusted R-squared: -0.005221 Output:F-statistic: 0.2209 on 1 and 149 DF, p-value: 0.639 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.328 0.32847 0.2209 0.639 Output:Residuals 149 221.513 1.48666 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.478941 Output:[1] 0.07418162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02021656 0.03722417 Output:regressor 0.03722417 0.13360560 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.12969 1.09202 1.0345 0.3026 Output:regressor 0.17181 1.01078 0.1700 0.8653 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:-6.574e-17 -1.099e-17 -3.730e-18 8.410e-18 3.879e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 3.892e-18 0.000e+00 1 Output:regressor 1.000e+00 1.248e-17 8.011e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.829e-17 on 149 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 6.418e+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 9.4114 9.4114 6.4184e+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] 0.06274255 Output:[1] 0.06274255 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.514736e-35 2.910402e-35 Output:regressor 2.910402e-35 1.558024e-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 5.7571e-18 0.0000e+00 1 Output:regressor 1.0000e+00 1.7128e-17 5.8382e+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] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.3001 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.54329 -0.13068 0.01668 0.17110 0.36139 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.004107 0.029135 0.141 0.888 Output:regressor 0.496853 0.061479 8.082 2.02e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2096 on 149 degrees of freedom Output:Multiple R-squared: 0.3048, Adjusted R-squared: 0.3001 Output:F-statistic: 65.31 on 1 and 149 DF, p-value: 2.021e-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 2.8682 2.86819 65.314 2.021e-13 *** Output:Residuals 149 6.5432 0.04391 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] 0.06274255 Output:[1] 0.07745692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008488365 0.001452275 Output:regressor 0.0014522755 0.003779656 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0041073 0.1092677 0.0376 0.970065 Output:regressor 0.4968529 0.1633737 3.0412 0.002785 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.2494 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.5027 -0.1662 0.0180 0.1535 0.3833 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.05756 0.02531 -2.274 0.0244 * Output:regressor 0.46388 0.06506 7.131 4.02e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.217 on 149 degrees of freedom Output:Multiple R-squared: 0.2544, Adjusted R-squared: 0.2494 Output:F-statistic: 50.84 on 1 and 149 DF, p-value: 4.023e-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 2.3945 2.39445 50.845 4.023e-11 *** Output:Residuals 149 7.0169 0.04709 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] 0.06274255 Output:[1] 0.07418162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0006404066 0.001179162 Output:regressor 0.0011791625 0.004232269 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.057557 0.098013 -0.5872 0.5579 Output:regressor 0.463884 0.108080 4.2921 3.173e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.2179 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.56595 -0.12590 0.00918 0.14161 0.44385 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.13361 0.01978 -6.756 2.98e-10 *** Output:regressor 0.32058 0.04901 6.542 9.17e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2215 on 149 degrees of freedom Output:Multiple R-squared: 0.2231, Adjusted R-squared: 0.2179 Output:F-statistic: 42.79 on 1 and 149 DF, p-value: 9.17e-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 2.0998 2.09983 42.792 9.17e-10 *** Output:Residuals 149 7.3116 0.04907 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] 0.06274255 Output:[1] 0.1362119 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003910940 0.0003985018 Output:regressor 0.0003985018 0.0024016900 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.133608 0.086701 -1.5410 0.125432 Output:regressor 0.320582 0.104295 3.0738 0.002514 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.0835 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.51481 -0.17158 0.03137 0.19609 0.49962 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.29195 0.03368 -8.668 6.85e-15 *** Output:regressor 0.51245 0.13379 3.830 0.000188 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2398 on 149 degrees of freedom Output:Multiple R-squared: 0.08963, Adjusted R-squared: 0.08352 Output:F-statistic: 14.67 on 1 and 149 DF, p-value: 0.0001881 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.8436 0.84359 14.671 0.0001881 *** Output:Residuals 149 8.5678 0.05750 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] 0.06274255 Output:[1] 0.0214162 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001134416 -0.003672801 Output:regressor -0.003672801 0.017899841 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.29195 0.13965 -2.0905 0.03827 * Output:regressor 0.51245 0.39336 1.3027 0.19467 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.0374 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.50046 -0.19435 0.00853 0.19356 0.48541 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.23346 0.02681 -8.709 5.38e-15 *** Output:regressor 0.04313 0.01650 2.614 0.00986 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2458 on 149 degrees of freedom Output:Multiple R-squared: 0.04385, Adjusted R-squared: 0.03744 Output:F-statistic: 6.834 on 1 and 149 DF, p-value: 0.009863 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.4127 0.41272 6.8339 0.009863 ** Output:Residuals 149 8.9987 0.06039 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] 0.06274255 Output:[1] 1.478941 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0007185676 -0.0002945127 Output:regressor -0.0002945127 0.0002722385 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.233463 0.176359 -1.3238 0.1876 Output:regressor 0.043133 0.077252 0.5583 0.5774 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | -0.0056 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.53515 -0.17220 0.02199 0.18518 0.44790 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.18290 0.02255 -8.11 1.72e-13 *** Output:regressor -0.02100 0.05127 -0.41 0.683 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2512 on 149 degrees of freedom Output:Multiple R-squared: 0.001125, Adjusted R-squared: -0.005579 Output:F-statistic: 0.1678 on 1 and 149 DF, p-value: 0.6827 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0106 0.010585 0.1678 0.6827 Output:Residuals 149 9.4008 0.063093 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06274255 Output:[1] 0.1600339 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0005085814 -0.0004883825 Output:regressor -0.0004883825 0.0026283015 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.182899 0.108520 -1.6854 0.09401 . Output:regressor -0.020999 0.176522 -0.1190 0.90547 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |