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Sentiment Data per Topic: Romania
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Correlations for CH
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| CH | CH | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.904e-18 -3.611e-20 2.963e-20 4.045e-20 4.036e-19 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.842e-19 2.025e-20 -1.404e+01 <2e-16 *** Output:regressor 1.000e+00 1.191e-17 8.394e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.788e-19 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 7.047e+33 on 1 and 147 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 0.0002254 0.0002254 7.0465e+33 < 2.2e-16 *** Output:Residuals 147 0.0000000 0.0000000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.522961e-06 Output:[1] 1.522961e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.101015e-40 -1.665329e-37 Output:regressor -1.665329e-37 1.419135e-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) -2.8423e-19 2.4342e-20 -1.1677e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.7262e-17 5.7931e+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 | FR | 0.3462 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0018915 -0.0006188 -0.0000711 0.0004626 0.0068390 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0004259 0.0001171 3.635 0.000383 *** Output:regressor 0.6698533 0.0751831 8.910 1.81e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0009978 on 147 degrees of freedom Output:Multiple R-squared: 0.3507, Adjusted R-squared: 0.3462 Output:F-statistic: 79.38 on 1 and 147 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 7.9037e-05 7.9037e-05 79.381 1.807e-15 *** Output:Residuals 147 1.4636e-04 9.9600e-07 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.522961e-06 Output:[1] 1.190166e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.372353e-08 -6.308786e-06 Output:regressor -6.308786e-06 5.652498e-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) 0.00042585 0.00024268 1.7548 0.081383 . Output:regressor 0.66985328 0.24894163 2.6908 0.007954 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.2981 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0023116 -0.0006549 -0.0001918 0.0004911 0.0062867 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0001049 0.0001583 0.663 0.509 Output:regressor 0.4483218 0.0561011 7.991 3.59e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001034 on 147 degrees of freedom Output:Multiple R-squared: 0.3029, Adjusted R-squared: 0.2981 Output:F-statistic: 63.86 on 1 and 147 DF, p-value: 3.585e-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 6.8264e-05 6.8264e-05 63.861 3.585e-13 *** Output:Residuals 147 1.5713e-04 1.0690e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.522961e-06 Output:[1] 2.294825e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.505499e-08 -7.501804e-06 Output:regressor -7.501804e-06 3.147331e-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) 0.00010489 0.00043169 0.2430 0.80837 Output:regressor 0.44832179 0.18469165 2.4274 0.01642 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0820 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0017744 -0.0007262 -0.0001948 0.0005098 0.0099406 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0007247 0.0001534 4.723 5.38e-06 *** Output:regressor 0.3109863 0.0824533 3.772 0.000234 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001182 on 147 degrees of freedom Output:Multiple R-squared: 0.08823, Adjusted R-squared: 0.08203 Output:F-statistic: 14.23 on 1 and 147 DF, p-value: 0.0002344 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.9888e-05 1.9888e-05 14.226 0.0002344 *** Output:Residuals 147 2.0551e-04 1.3980e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.522961e-06 Output:[1] 1.389438e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.354374e-08 -9.811933e-06 Output:regressor -9.811933e-06 6.798542e-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) 0.00072465 0.00018669 3.8816 0.0001562 *** Output:regressor 0.31098633 0.16187558 1.9211 0.0566490 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.0151 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0015940 -0.0007051 -0.0002019 0.0004852 0.0106370 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0008103 0.0002244 3.611 0.000417 *** Output:regressor 0.5634787 0.3113534 1.810 0.072374 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001225 on 147 degrees of freedom Output:Multiple R-squared: 0.0218, Adjusted R-squared: 0.01514 Output:F-statistic: 3.275 on 1 and 147 DF, p-value: 0.07237 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 4.9130e-06 4.9126e-06 3.2753 0.07237 . Output:Residuals 147 2.2049e-04 1.4999e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.522961e-06 Output:[1] 1.045428e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.033959e-08 -6.248291e-05 Output:regressor -6.248291e-05 9.694092e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00081029 0.00022093 3.6677 0.0003414 *** Output:regressor 0.56347866 0.40811932 1.3807 0.1694757 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | -0.0035 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0014044 -0.0007010 -0.0002415 0.0004392 0.0109305 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0010623 0.0001886 5.632 8.78e-08 *** Output:regressor 0.1050332 0.1503253 0.699 0.486 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001236 on 147 degrees of freedom Output:Multiple R-squared: 0.00331, Adjusted R-squared: -0.00347 Output:F-statistic: 0.4882 on 1 and 147 DF, p-value: 0.4858 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 7.4600e-07 7.4608e-07 0.4882 0.4858 Output:Residuals 147 2.2465e-04 1.5282e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.522961e-06 Output:[1] 4.569489e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.557697e-08 -2.392028e-05 Output:regressor -2.392028e-05 2.259768e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00106230 0.00017918 5.9286 2.089e-08 *** Output:regressor 0.10503320 0.13035778 0.8057 0.4217 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | -0.0063 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0012085 -0.0006739 -0.0002212 0.0004350 0.0108797 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0013782 0.0007579 1.819 0.071 . Output:regressor -0.0010088 0.0036999 -0.273 0.786 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001238 on 147 degrees of freedom Output:Multiple R-squared: 0.0005054, Adjusted R-squared: -0.006294 Output:F-statistic: 0.07434 on 1 and 147 DF, p-value: 0.7855 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.1400e-07 1.1392e-07 0.0743 0.7855 Output:Residuals 147 2.2528e-04 1.5326e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.522961e-06 Output:[1] 0.0007564234 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.743412e-07 -2.778782e-06 Output:regressor -2.778782e-06 1.368948e-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) 0.00137825 0.00064261 2.1448 0.03361 * Output:regressor -0.00100877 0.00297808 -0.3387 0.73530 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:-3.558e-18 1.250e-20 2.060e-20 3.800e-20 2.699e-19 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.263e-19 4.539e-20 -9.393e+00 <2e-16 *** Output:regressor 1.000e+00 3.617e-17 2.765e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.975e-19 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 7.643e+32 on 1 and 147 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.7628e-05 6.7628e-05 7.6426e+32 < 2.2e-16 *** Output:Residuals 147 0.0000e+00 0.0000e+00 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.569489e-07 Output:[1] 4.569489e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.059980e-39 -1.385033e-36 Output:regressor -1.385033e-36 1.308452e-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) -4.2634e-19 4.1645e-20 -1.0238e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.9933e-17 5.0169e+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 | IT | 0.0356 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0010982 -0.0003938 -0.0001121 0.0002356 0.0026477 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 8.887e-04 8.615e-05 10.316 <2e-16 *** Output:regressor 1.177e-01 4.629e-02 2.543 0.012 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0006638 on 147 degrees of freedom Output:Multiple R-squared: 0.04213, Adjusted R-squared: 0.03561 Output:F-statistic: 6.465 on 1 and 147 DF, p-value: 0.01203 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.8490e-06 2.8491e-06 6.4653 0.01203 * Output:Residuals 147 6.4779e-05 4.4068e-07 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.569489e-07 Output:[1] 1.389438e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 7.421263e-09 -3.092836e-06 Output:regressor -3.092836e-06 2.142980e-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) 8.8865e-04 8.9022e-05 9.9823 < 2.2e-16 *** Output:regressor 1.1771e-01 3.9622e-02 2.9707 0.003471 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.0209 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0010748 -0.0004371 -0.0001146 0.0002874 0.0026789 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0008820 0.0001024 8.613 1.02e-14 *** Output:regressor 0.0740605 0.0362940 2.041 0.0431 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0006689 on 147 degrees of freedom Output:Multiple R-squared: 0.02755, Adjusted R-squared: 0.02093 Output:F-statistic: 4.164 on 1 and 147 DF, p-value: 0.04308 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.8630e-06 1.8629e-06 4.1639 0.04308 * Output:Residuals 147 6.5766e-05 4.4738e-07 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.569489e-07 Output:[1] 2.294825e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.048628e-08 -3.139736e-06 Output:regressor -3.139736e-06 1.317255e-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) 0.00088200 0.00013782 6.3994 1.967e-09 *** Output:regressor 0.07406045 0.05938967 1.2470 0.2144 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.0127 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0011357 -0.0004193 -0.0001264 0.0002863 0.0025929 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0003650 0.0004112 0.888 0.3761 Output:regressor 0.0034164 0.0020075 1.702 0.0909 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0006717 on 147 degrees of freedom Output:Multiple R-squared: 0.01932, Adjusted R-squared: 0.01265 Output:F-statistic: 2.896 on 1 and 147 DF, p-value: 0.0909 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.3070e-06 1.3067e-06 2.8962 0.0909 . Output:Residuals 147 6.6322e-05 4.5117e-07 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.569489e-07 Output:[1] 0.0007564234 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.690811e-07 -8.180494e-07 Output:regressor -8.180494e-07 4.030064e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00036504 0.00036750 0.9933 0.3222 Output:regressor 0.00341642 0.00186297 1.8339 0.0687 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | -0.0011 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0010777 -0.0004464 -0.0000993 0.0003132 0.0026893 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.007e-03 7.941e-05 12.677 <2e-16 *** Output:regressor 4.652e-02 5.096e-02 0.913 0.363 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0006764 on 147 degrees of freedom Output:Multiple R-squared: 0.005637, Adjusted R-squared: -0.001128 Output:F-statistic: 0.8333 on 1 and 147 DF, p-value: 0.3628 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.8100e-07 3.8120e-07 0.8333 0.3628 Output:Residuals 147 6.7247e-05 4.5746e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.569489e-07 Output:[1] 1.190166e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.305410e-09 -2.898633e-06 Output:regressor -2.898633e-06 2.597095e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.0066e-03 9.3389e-05 10.7787 <2e-16 *** Output:regressor 4.6520e-02 5.3993e-02 0.8616 0.3903 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | -0.0035 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.084e-03 -4.322e-04 -8.178e-05 2.892e-04 2.639e-03 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.022e-03 7.667e-05 13.323 <2e-16 *** Output:regressor 3.151e-02 4.510e-02 0.699 0.486 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0006772 on 147 degrees of freedom Output:Multiple R-squared: 0.00331, Adjusted R-squared: -0.00347 Output:F-statistic: 0.4882 on 1 and 147 DF, p-value: 0.4858 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.2400e-07 2.2385e-07 0.4882 0.4858 Output:Residuals 147 6.7405e-05 4.5853e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.569489e-07 Output:[1] 1.522961e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.878807e-09 -2.387250e-06 Output:regressor -2.387250e-06 2.034331e-03 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.0215e-03 7.6393e-05 13.3722 <2e-16 *** Output:regressor 3.1514e-02 4.8172e-02 0.6542 0.514 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | -0.0067 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0010574 -0.0004284 -0.0001119 0.0002840 0.0026685 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0010454 0.0001243 8.413 3.23e-14 *** Output:regressor 0.0204042 0.1724278 0.118 0.906 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0006782 on 147 degrees of freedom Output:Multiple R-squared: 9.525e-05, Adjusted R-squared: -0.006707 Output:F-statistic: 0.014 on 1 and 147 DF, p-value: 0.906 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.0000e-09 6.4400e-09 0.014 0.906 Output:Residuals 147 6.7622e-05 4.6001e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.569489e-07 Output:[1] 1.045428e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.543894e-08 -1.916324e-05 Output:regressor -1.916324e-05 2.973136e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00104538 0.00016979 6.1570 6.72e-09 *** Output:regressor 0.02040421 0.24534501 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:-5.259e-20 -3.391e-21 -1.238e-21 9.670e-22 1.013e-19 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 2.495e-21 0.000e+00 1 Output:regressor 1.000e+00 3.462e-18 2.889e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.362e-20 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 8.345e+34 on 1 and 147 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 1.5472e-05 1.5472e-05 8.345e+34 < 2.2e-16 *** Output:Residuals 147 0.0000e+00 0.0000e+00 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.045428e-07 Output:[1] 1.045428e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.222665e-42 -7.723747e-39 Output:regressor -7.723747e-39 1.198323e-35 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0000e+00 4.1790e-21 0.0000e+00 1 Output:regressor 1.0000e+00 5.5123e-18 1.8141e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.1151 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-7.169e-04 -1.736e-04 -2.108e-05 1.595e-04 1.994e-03 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.675e-04 4.656e-05 10.04 < 2e-16 *** Output:regressor 7.428e-02 1.650e-02 4.50 1.37e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0003042 on 147 degrees of freedom Output:Multiple R-squared: 0.1211, Adjusted R-squared: 0.1151 Output:F-statistic: 20.25 on 1 and 147 DF, p-value: 1.369e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.8737e-06 1.8737e-06 20.255 1.369e-05 *** Output:Residuals 147 1.3599e-05 9.2510e-08 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.045428e-07 Output:[1] 2.294825e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.168296e-09 -6.492173e-07 Output:regressor -6.492173e-07 2.723747e-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) 4.6751e-04 5.5288e-05 8.4559 2.524e-14 *** Output:regressor 7.4275e-02 2.3275e-02 3.1913 0.001732 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.0314 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.176e-04 -1.869e-04 -1.758e-05 1.445e-04 2.094e-03 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.801e-04 3.736e-05 15.528 <2e-16 *** Output:regressor 5.774e-02 2.398e-02 2.408 0.0173 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0003182 on 147 degrees of freedom Output:Multiple R-squared: 0.03795, Adjusted R-squared: 0.03141 Output:F-statistic: 5.799 on 1 and 147 DF, p-value: 0.01727 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 5.8720e-07 5.8720e-07 5.799 0.01727 * Output:Residuals 147 1.4885e-05 1.0126e-07 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.045428e-07 Output:[1] 1.190166e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.395699e-09 -6.416105e-07 Output:regressor -6.416105e-07 5.748653e-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) 5.8011e-04 3.9931e-05 14.5277 < 2e-16 *** Output:regressor 5.7738e-02 2.5108e-02 2.2996 0.02288 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | 0.0151 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.132e-04 -2.024e-04 -1.273e-05 1.563e-04 2.076e-03 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.992e-04 3.633e-05 16.49 <2e-16 *** Output:regressor 3.868e-02 2.137e-02 1.81 0.0724 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0003209 on 147 degrees of freedom Output:Multiple R-squared: 0.0218, Adjusted R-squared: 0.01514 Output:F-statistic: 3.275 on 1 and 147 DF, p-value: 0.07237 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.3720e-07 3.3722e-07 3.2753 0.07237 . Output:Residuals 147 1.5135e-05 1.0296e-07 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.045428e-07 Output:[1] 1.522961e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.320035e-09 -5.360361e-07 Output:regressor -5.360361e-07 4.567913e-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) 5.9916e-04 4.2655e-05 14.0466 < 2e-16 *** Output:regressor 3.8680e-02 1.5408e-02 2.5104 0.01314 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.0095 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.414e-04 -1.936e-04 -1.559e-05 1.591e-04 2.018e-03 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0009484 0.0001970 4.815 3.63e-06 *** Output:regressor -0.0014972 0.0009617 -1.557 0.122 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0003218 on 147 degrees of freedom Output:Multiple R-squared: 0.01622, Adjusted R-squared: 0.009526 Output:F-statistic: 2.423 on 1 and 147 DF, p-value: 0.1217 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.5090e-07 2.5093e-07 2.4234 0.1217 Output:Residuals 147 1.5221e-05 1.0355e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.045428e-07 Output:[1] 0.0007564234 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.880553e-08 -1.877492e-07 Output:regressor -1.877492e-07 9.249336e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00094845 0.00021213 4.4711 1.545e-05 *** Output:regressor -0.00149715 0.00096027 -1.5591 0.1211 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | -0.0016 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.249e-04 -1.971e-04 -1.099e-05 1.541e-04 2.038e-03 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 6.730e-04 4.199e-05 16.027 <2e-16 *** Output:regressor -1.972e-02 2.257e-02 -0.874 0.384 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0003236 on 147 degrees of freedom Output:Multiple R-squared: 0.005166, Adjusted R-squared: -0.001602 Output:F-statistic: 0.7633 on 1 and 147 DF, p-value: 0.3837 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 7.9900e-08 7.9929e-08 0.7633 0.3837 Output:Residuals 147 1.5392e-05 1.0471e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.045428e-07 Output:[1] 1.389438e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.763388e-09 -7.348977e-07 Output:regressor -7.348977e-07 5.091997e-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) 6.7300e-04 5.0117e-05 13.4285 <2e-16 *** Output:regressor -1.9715e-02 2.8557e-02 -0.6904 0.4911 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | 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:-6.497e-04 -2.015e-04 -2.031e-05 1.505e-04 2.067e-03 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0006396 0.0000495 12.922 <2e-16 *** Output:regressor 0.0046682 0.0394488 0.118 0.906 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0003244 on 147 degrees of freedom Output:Multiple R-squared: 9.525e-05, Adjusted R-squared: -0.006707 Output:F-statistic: 0.014 on 1 and 147 DF, p-value: 0.906 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.5000e-09 1.4740e-09 0.014 0.906 Output:Residuals 147 1.5471e-05 1.0524e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.045428e-07 Output:[1] 4.569489e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.450038e-09 -1.647290e-06 Output:regressor -1.647290e-06 1.556208e-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) 6.3961e-04 6.0399e-05 10.5897 <2e-16 *** Output:regressor 4.6682e-03 5.6457e-02 0.0827 0.9342 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for FR
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| FR | FR | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.473e-17 6.900e-20 8.610e-20 1.213e-19 1.069e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.279e-18 1.439e-19 -8.891e+00 2.01e-15 *** Output:regressor 1.000e+00 9.232e-17 1.083e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.225e-18 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.173e+32 on 1 and 147 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 0.00017615 0.00017615 1.1732e+32 < 2.2e-16 *** Output:Residuals 147 0.00000000 0.00000000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.190166e-06 Output:[1] 1.190166e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.069434e-38 -9.513305e-36 Output:regressor -9.513305e-36 8.523658e-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) -1.2790e-18 1.4174e-19 -9.0236e+00 9.259e-16 *** Output:regressor 1.0000e+00 4.5639e-17 2.1911e+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 | 0.3462 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0019538 -0.0005289 -0.0000342 0.0004050 0.0036302 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.018e-04 9.988e-05 5.024 1.45e-06 *** Output:regressor 5.235e-01 5.875e-02 8.910 1.81e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0008821 on 147 degrees of freedom Output:Multiple R-squared: 0.3507, Adjusted R-squared: 0.3462 Output:F-statistic: 79.38 on 1 and 147 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 6.1766e-05 6.1766e-05 79.381 1.807e-15 *** Output:Residuals 147 1.1438e-04 7.7800e-07 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.190166e-06 Output:[1] 1.522961e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.975749e-09 -4.050925e-06 Output:regressor -4.050925e-06 3.452057e-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) 5.0181e-04 8.9141e-05 5.6294 8.89e-08 *** Output:regressor 5.2348e-01 5.1064e-02 10.2514 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.1738 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0018904 -0.0006065 -0.0001427 0.0003017 0.0045105 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0003891 0.0001518 2.563 0.0114 * Output:regressor 0.3050150 0.0538072 5.669 7.37e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0009916 on 147 degrees of freedom Output:Multiple R-squared: 0.1794, Adjusted R-squared: 0.1738 Output:F-statistic: 32.13 on 1 and 147 DF, p-value: 7.37e-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 3.1598e-05 3.1598e-05 32.134 7.37e-08 *** Output:Residuals 147 1.4455e-04 9.8330e-07 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.190166e-06 Output:[1] 2.294825e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.304794e-08 -6.900868e-06 Output:regressor -6.900868e-06 2.895212e-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) 0.00038909 0.00027441 1.4179 0.158328 Output:regressor 0.30501497 0.09874384 3.0890 0.002402 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.0314 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0018342 -0.0005872 -0.0002159 0.0002791 0.0057553 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0006924 0.0001967 3.520 0.000574 *** Output:regressor 0.6573134 0.2729584 2.408 0.017274 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001074 on 147 degrees of freedom Output:Multiple R-squared: 0.03795, Adjusted R-squared: 0.03141 Output:F-statistic: 5.799 on 1 and 147 DF, p-value: 0.01727 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.6850e-06 6.6850e-06 5.799 0.01727 * Output:Residuals 147 1.6946e-04 1.1528e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.190166e-06 Output:[1] 1.045428e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.868971e-08 -4.802276e-05 Output:regressor -4.802276e-05 7.450630e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00069244 0.00021373 3.2398 0.001479 ** Output:regressor 0.65731336 0.27602383 2.3814 0.018529 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | 0.0129 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0013267 -0.0006735 -0.0002882 0.0003540 0.0056619 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0009292 0.0001407 6.606 6.76e-10 *** Output:regressor 0.1294898 0.0755845 1.713 0.0888 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001084 on 147 degrees of freedom Output:Multiple R-squared: 0.01958, Adjusted R-squared: 0.01291 Output:F-statistic: 2.935 on 1 and 147 DF, p-value: 0.08879 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.448e-06 3.4480e-06 2.935 0.08879 . Output:Residuals 147 1.727e-04 1.1748e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.190166e-06 Output:[1] 1.389438e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.978449e-08 -8.245254e-06 Output:regressor -8.245254e-06 5.713014e-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) 0.00092922 0.00020068 4.6304 7.962e-06 *** Output:regressor 0.12948975 0.11584370 1.1178 0.2655 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.0002 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0012699 -0.0006702 -0.0002761 0.0003301 0.0061239 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0004450 0.0006678 0.666 0.506 Output:regressor 0.0033062 0.0032602 1.014 0.312 Output: Output:Residual standard error: 0.001091 on 147 degrees of freedom Output:Multiple R-squared: 0.006947, Adjusted R-squared: 0.0001917 Output:F-statistic: 1.028 on 1 and 147 DF, p-value: 0.3122 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.2240e-06 1.2237e-06 1.0284 0.3122 Output:Residuals 147 1.7492e-04 1.1899e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.190166e-06 Output:[1] 0.0007564234 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.459443e-07 -2.157571e-06 Output:regressor -2.157571e-06 1.062913e-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) 0.00044500 0.00071984 0.6182 0.5374 Output:regressor 0.00330618 0.00359991 0.9184 0.3599 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | -0.0011 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0013825 -0.0007105 -0.0002414 0.0003291 0.0060973 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0009878 0.0001665 5.931 2.06e-08 *** Output:regressor 0.1211668 0.1327345 0.913 0.363 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001092 on 147 degrees of freedom Output:Multiple R-squared: 0.005637, Adjusted R-squared: -0.001128 Output:F-statistic: 0.8333 on 1 and 147 DF, p-value: 0.3628 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 9.9300e-07 9.9288e-07 0.8333 0.3628 Output:Residuals 147 1.7515e-04 1.1915e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.190166e-06 Output:[1] 4.569489e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.773785e-08 -1.864962e-05 Output:regressor -1.864962e-05 1.761845e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00098785 0.00019421 5.0864 1.096e-06 *** Output:regressor 0.12116676 0.13811020 0.8773 0.3817 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:-1.271e-17 4.630e-20 8.690e-20 1.046e-19 1.258e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.705e-18 1.623e-19 -1.051e+01 <2e-16 *** Output:regressor 1.000e+00 5.754e-17 1.738e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.06e-18 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.02e+32 on 1 and 147 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 0.00033963 0.00033963 3.0204e+32 < 2.2e-16 *** Output:Residuals 147 0.00000000 0.00000000 Output:--- Output:Error:Warning message: Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.294825e-06 Output:[1] 2.294825e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.635631e-38 -7.891439e-36 Output:regressor -7.891439e-36 3.310800e-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) -1.7054e-18 8.8331e-20 -1.9307e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.4234e-17 7.0255e+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 | 0.2981 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0031752 -0.0007770 -0.0000970 0.0007157 0.0040585 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0015908 0.0001437 11.070 < 2e-16 *** Output:regressor 0.6755394 0.0845341 7.991 3.59e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001269 on 147 degrees of freedom Output:Multiple R-squared: 0.3029, Adjusted R-squared: 0.2981 Output:F-statistic: 63.86 on 1 and 147 DF, p-value: 3.585e-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 0.00010286 1.0286e-04 63.861 3.585e-13 *** Output:Residuals 147 0.00023677 1.6110e-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] 2.294825e-06 Output:[1] 1.522961e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.065055e-08 -8.385720e-06 Output:regressor -8.385720e-06 7.146018e-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) 0.0015908 0.0001711 9.2975 < 2.2e-16 *** Output:regressor 0.6755394 0.1576723 4.2845 3.295e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.1738 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0035819 -0.0008685 -0.0000211 0.0006259 0.0067232 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0017271 0.0001617 10.684 < 2e-16 *** Output:regressor 0.5881163 0.1037486 5.669 7.37e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001377 on 147 degrees of freedom Output:Multiple R-squared: 0.1794, Adjusted R-squared: 0.1738 Output:F-statistic: 32.13 on 1 and 147 DF, p-value: 7.37e-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 6.0925e-05 6.0925e-05 32.134 7.37e-08 *** Output:Residuals 147 2.7871e-04 1.8960e-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] 2.294825e-06 Output:[1] 1.190166e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.613305e-08 -1.201351e-05 Output:regressor -1.201351e-05 1.076377e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0017271 0.0002369 7.2906 1.76e-11 *** Output:regressor 0.5881163 0.3070064 1.9156 0.05735 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.1151 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0023936 -0.0008303 -0.0000778 0.0006013 0.0095297 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0013327 0.0002611 5.105 1.01e-06 *** Output:regressor 1.6304192 0.3622754 4.500 1.37e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001425 on 147 degrees of freedom Output:Multiple R-squared: 0.1211, Adjusted R-squared: 0.1151 Output:F-statistic: 20.25 on 1 and 147 DF, p-value: 1.369e-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 0.00004113 4.113e-05 20.255 1.369e-05 *** Output:Residuals 147 0.00029851 2.031e-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] 2.294825e-06 Output:[1] 1.045428e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.815227e-08 -8.459251e-05 Output:regressor -8.459251e-05 1.312435e-01 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00133266 0.00031409 4.2429 3.888e-05 *** Output:regressor 1.63041915 0.56422574 2.8897 0.004441 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.0624 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0026654 -0.0008778 -0.0001998 0.0005521 0.0092497 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0018974 0.0001904 9.967 < 2e-16 *** Output:regressor 0.3368553 0.1022917 3.293 0.00124 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001467 on 147 degrees of freedom Output:Multiple R-squared: 0.0687, Adjusted R-squared: 0.06237 Output:F-statistic: 10.84 on 1 and 147 DF, p-value: 0.001241 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.333e-05 2.3334e-05 10.844 0.001241 ** Output:Residuals 147 3.163e-04 2.1517e-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] 2.294825e-06 Output:[1] 1.389438e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.623604e-08 -1.510149e-05 Output:regressor -1.510149e-05 1.046360e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00189738 0.00018297 10.3696 <2e-16 *** Output:regressor 0.33685534 0.18036207 1.8677 0.0638 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.0209 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0022503 -0.0009785 -0.0001822 0.0005990 0.0103994 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0019898 0.0002287 8.701 6.12e-15 *** Output:regressor 0.3719361 0.1822707 2.041 0.0431 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001499 on 147 degrees of freedom Output:Multiple R-squared: 0.02755, Adjusted R-squared: 0.02093 Output:F-statistic: 4.164 on 1 and 147 DF, p-value: 0.04308 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00000936 9.3555e-06 4.1639 0.04308 * Output:Residuals 147 0.00033028 2.2468e-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] 2.294825e-06 Output:[1] 4.569489e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.230448e-08 -3.516707e-05 Output:regressor -3.516707e-05 3.322262e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00198984 0.00030999 6.4191 1.778e-09 *** Output:regressor 0.37193613 0.24944090 1.4911 0.1381 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 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:-0.0025723 -0.0009106 -0.0001715 0.0004714 0.0101925 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0033982 0.0009267 3.667 0.000342 *** Output:regressor -0.0049988 0.0045242 -1.105 0.271003 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001514 on 147 degrees of freedom Output:Multiple R-squared: 0.008237, Adjusted R-squared: 0.00149 Output:F-statistic: 1.221 on 1 and 147 DF, p-value: 0.271 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00000280 2.7974e-06 1.2208 0.271 Output:Residuals 147 0.00033684 2.2914e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.294825e-06 Output:[1] 0.0007564234 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.587336e-07 -4.154731e-06 Output:regressor -4.154731e-06 2.046800e-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) 0.0033982 0.0012123 2.8032 0.005742 ** Output:regressor -0.0049988 0.0054942 -0.9098 0.364400 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:-9.533e-19 -1.281e-19 -7.510e-20 -3.370e-20 9.294e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 8.527e-19 1.011e-19 8.435e+00 2.84e-14 *** Output:regressor 1.000e+00 5.432e-17 1.841e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.789e-19 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.389e+32 on 1 and 147 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 0.00020564 0.00020564 3.3892e+32 < 2.2e-16 *** Output:Residuals 147 0.00000000 0.00000000 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.389438e-06 Output:[1] 1.389438e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.021801e-38 -4.258389e-36 Output:regressor -4.258389e-36 2.950575e-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) 8.5268e-19 1.4790e-19 5.7651e+00 4.634e-08 *** Output:regressor 1.0000e+00 6.1974e-17 1.6136e+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 | 0.0820 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0018905 -0.0008540 -0.0001107 0.0006172 0.0039414 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0011103 0.0001279 8.683 6.8e-15 *** Output:regressor 0.2837212 0.0752243 3.772 0.000234 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001129 on 147 degrees of freedom Output:Multiple R-squared: 0.08823, Adjusted R-squared: 0.08203 Output:F-statistic: 14.23 on 1 and 147 DF, p-value: 0.0002344 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.8144e-05 1.8144e-05 14.226 0.0002344 *** Output:Residuals 147 1.8749e-04 1.2755e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.389438e-06 Output:[1] 1.522961e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.635251e-08 -6.640383e-06 Output:regressor -6.640383e-06 5.658703e-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) 0.00111030 0.00012885 8.6173 9.928e-15 *** Output:regressor 0.28372124 0.05491650 5.1664 7.647e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.0624 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0019610 -0.0009348 -0.0000869 0.0006892 0.0040259 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0009571 0.0001747 5.477 1.83e-07 *** Output:regressor 0.2039544 0.0619342 3.293 0.00124 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001141 on 147 degrees of freedom Output:Multiple R-squared: 0.0687, Adjusted R-squared: 0.06237 Output:F-statistic: 10.84 on 1 and 147 DF, p-value: 0.001241 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.4128e-05 1.4128e-05 10.844 0.001241 ** Output:Residuals 147 1.9151e-04 1.3028e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.389438e-06 Output:[1] 2.294825e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.053601e-08 -9.142897e-06 Output:regressor -9.142897e-06 3.835840e-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) 0.00095711 0.00023273 4.1124 6.489e-05 *** Output:regressor 0.20395443 0.05243873 3.8894 0.0001518 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.0356 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0022302 -0.0008845 -0.0000219 0.0005938 0.0039560 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0010644 0.0001766 6.026 1.29e-08 *** Output:regressor 0.3579106 0.1407605 2.543 0.012 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001158 on 147 degrees of freedom Output:Multiple R-squared: 0.04213, Adjusted R-squared: 0.03561 Output:F-statistic: 6.465 on 1 and 147 DF, p-value: 0.01203 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 8.6630e-06 8.6632e-06 6.4653 0.01203 * Output:Residuals 147 1.9697e-04 1.3400e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.389438e-06 Output:[1] 4.569489e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.119368e-08 -2.097316e-05 Output:regressor -2.097316e-05 1.981352e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0010644 0.0001861 5.7194 5.777e-08 *** Output:regressor 0.3579106 0.1336059 2.6789 0.008229 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.0129 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0021029 -0.0008862 -0.0001241 0.0005619 0.0041837 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0012745 0.0001375 9.270 <2e-16 *** Output:regressor 0.1511705 0.0882398 1.713 0.0888 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001171 on 147 degrees of freedom Output:Multiple R-squared: 0.01958, Adjusted R-squared: 0.01291 Output:F-statistic: 2.935 on 1 and 147 DF, p-value: 0.08879 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 4.0250e-06 4.0253e-06 2.935 0.08879 . Output:Residuals 147 2.0161e-04 1.3715e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.389438e-06 Output:[1] 1.190166e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.890403e-08 -8.690288e-06 Output:regressor -8.690288e-06 7.786258e-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) 0.00127452 0.00016368 7.7865 1.135e-12 *** Output:regressor 0.15117054 0.12449961 1.2142 0.2266 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | -0.0016 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0015326 -0.0009136 -0.0000928 0.0005605 0.0040685 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0016121 0.0002161 7.459 6.98e-12 *** Output:regressor -0.2620268 0.2999088 -0.874 0.384 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00118 on 147 degrees of freedom Output:Multiple R-squared: 0.005166, Adjusted R-squared: -0.001602 Output:F-statistic: 0.7633 on 1 and 147 DF, p-value: 0.3837 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.0620e-06 1.0623e-06 0.7633 0.3837 Output:Residuals 147 2.0457e-04 1.3917e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.389438e-06 Output:[1] 1.045428e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.670690e-08 -5.797392e-05 Output:regressor -5.797392e-05 8.994531e-02 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00161213 0.00028614 5.6341 8.696e-08 *** Output:regressor -0.26202683 0.38486155 -0.6808 0.497 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | -0.0045 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0015764 -0.0009270 -0.0000693 0.0005638 0.0041271 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0010282 0.0007232 1.422 0.157 Output:regressor 0.0020446 0.0035309 0.579 0.563 Output: Output:Residual standard error: 0.001181 on 147 degrees of freedom Output:Multiple R-squared: 0.002276, Adjusted R-squared: -0.004511 Output:F-statistic: 0.3353 on 1 and 147 DF, p-value: 0.5634 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 4.6800e-07 4.6801e-07 0.3353 0.5634 Output:Residuals 147 2.0517e-04 1.3957e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.389438e-06 Output:[1] 0.0007564234 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.230588e-07 -2.530667e-06 Output:regressor -2.530667e-06 1.246716e-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) 0.00102821 0.00068162 1.5085 0.1336 Output:regressor 0.00204463 0.00325315 0.6285 0.5306 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:-6.602e-18 -6.970e-20 7.750e-20 1.808e-19 7.313e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.638e-17 1.011e-18 3.600e+01 <2e-16 *** Output:regressor 1.000e+00 4.934e-18 2.027e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.651e-18 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.108e+34 on 1 and 147 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 0.11195 0.11195 4.1077e+34 < 2.2e-16 *** Output:Residuals 147 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] 0.0007564234 Output:[1] 0.0007564234 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.021374e-36 -4.941617e-36 Output:regressor -4.941617e-36 2.434454e-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) 3.6381e-17 2.1192e-18 1.7168e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 9.6683e-18 1.0343e+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] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.0127 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.051521 -0.017359 -0.002701 0.017902 0.070996 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.19700 0.00417 47.246 <2e-16 *** Output:regressor 5.65547 3.32318 1.702 0.0909 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02733 on 147 degrees of freedom Output:Multiple R-squared: 0.01932, Adjusted R-squared: 0.01265 Output:F-statistic: 2.896 on 1 and 147 DF, p-value: 0.0909 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.002163 0.00216305 2.8962 0.0909 . Output:Residuals 147 0.109788 0.00074685 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0007564234 Output:[1] 4.569489e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.738649e-05 -0.01168985 Output:regressor -1.168985e-02 11.04349915 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.1970002 0.0064417 30.5820 < 2e-16 *** Output:regressor 5.6554655 2.8870815 1.9589 0.05202 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.0095 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.054197 -0.016957 -0.001068 0.017494 0.069374 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.209969 0.005014 41.872 <2e-16 *** Output:regressor -10.832705 6.958669 -1.557 0.122 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02737 on 147 degrees of freedom Output:Multiple R-squared: 0.01622, Adjusted R-squared: 0.009526 Output:F-statistic: 2.423 on 1 and 147 DF, p-value: 0.1217 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.001816 0.00181564 2.4234 0.1217 Output:Residuals 147 0.110135 0.00074922 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0007564234 Output:[1] 1.045428e-07 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.514519e-05 -0.03121091 Output:regressor -3.121091e-02 48.42307021 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.2099689 0.0062949 33.3556 < 2e-16 *** Output:regressor -10.8327051 5.5236868 -1.9611 0.05175 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | 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:-0.052913 -0.017483 -0.000448 0.017588 0.073260 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.206914 0.004208 49.177 <2e-16 *** Output:regressor -1.647711 1.491259 -1.105 0.271 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02748 on 147 degrees of freedom Output:Multiple R-squared: 0.008237, Adjusted R-squared: 0.00149 Output:F-statistic: 1.221 on 1 and 147 DF, p-value: 0.271 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000922 0.00092209 1.2208 0.271 Output:Residuals 147 0.111029 0.00075530 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0007564234 Output:[1] 2.294825e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.770345e-05 -0.005300654 Output:regressor -5.300654e-03 2.223853197 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.2069141 0.0053341 38.7909 <2e-16 *** Output:regressor -1.6477111 1.5502788 -1.0628 0.2896 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.0002 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.051729 -0.017599 -0.001183 0.020277 0.069962 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.200641 0.003229 62.144 <2e-16 *** Output:regressor 2.101280 2.072079 1.014 0.312 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0275 on 147 degrees of freedom Output:Multiple R-squared: 0.006947, Adjusted R-squared: 0.0001917 Output:F-statistic: 1.028 on 1 and 147 DF, p-value: 0.3122 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000778 0.00077774 1.0284 0.3122 Output:Residuals 147 0.111173 0.00075628 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0007564234 Output:[1] 1.190166e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.042409e-05 -0.004792011 Output:regressor -4.792011e-03 4.293509539 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.2006414 0.0050977 39.3595 <2e-16 *** Output:regressor 2.1012798 2.3737099 0.8852 0.3775 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | -0.0045 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.052317 -0.018290 -0.001915 0.018446 0.071204 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.201380 0.003577 56.296 <2e-16 *** Output:regressor 1.113115 1.922248 0.579 0.563 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02757 on 147 degrees of freedom Output:Multiple R-squared: 0.002276, Adjusted R-squared: -0.004511 Output:F-statistic: 0.3353 on 1 and 147 DF, p-value: 0.5634 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000255 0.00025479 0.3353 0.5634 Output:Residuals 147 0.111696 0.00075984 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0007564234 Output:[1] 1.389438e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.279612e-05 -0.005332828 Output:regressor -5.332828e-03 3.695036945 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.2013802 0.0054623 36.8669 <2e-16 *** Output:regressor 1.1131152 1.8105619 0.6148 0.5396 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | -0.0063 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.052324 -0.018035 -0.002121 0.020798 0.070513 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.203575 0.003124 65.166 <2e-16 *** Output:regressor -0.501035 1.837679 -0.273 0.786 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02759 on 147 degrees of freedom Output:Multiple R-squared: 0.0005054, Adjusted R-squared: -0.006294 Output:F-statistic: 0.07434 on 1 and 147 DF, p-value: 0.7855 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000057 0.00005658 0.0743 0.7855 Output:Residuals 147 0.111894 0.00076118 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0007564234 Output:[1] 1.522961e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.759035e-06 -0.003962922 Output:regressor -3.962922e-03 3.377064143 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.2035746 0.0050745 40.1173 <2e-16 *** Output:regressor -0.5010350 1.3473804 -0.3719 0.7105 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Share of Positive News (for this topic)
Correlations for CH
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| CH | CH | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.525e-16 -4.630e-17 -8.100e-18 1.370e-17 3.703e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.821e-16 5.050e-17 1.153e+01 <2e-16 *** Output:regressor 1.000e+00 7.206e-17 1.388e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.107e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.926e+32 on 1 and 147 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 18.596 18.596 1.9259e+32 < 2.2e-16 *** Output:Residuals 147 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] 0.1256498 Output:[1] 0.1256498 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.550515e-33 -3.142969e-33 Output:regressor -3.142969e-33 5.192298e-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) 5.8210e-16 7.4224e-17 7.8425e+00 8.293e-13 *** Output:regressor 1.0000e+00 9.1706e-17 1.0904e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.0184 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7591 -0.2804 0.1109 0.3013 0.4515 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.9534 0.1814 5.256 5.09e-07 *** Output:regressor -0.4614 0.2374 -1.944 0.0539 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3512 on 147 degrees of freedom Output:Multiple R-squared: 0.02505, Adjusted R-squared: 0.01842 Output:F-statistic: 3.777 on 1 and 147 DF, p-value: 0.05386 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.4659 0.46587 3.7773 0.05386 . Output:Residuals 147 18.1303 0.12334 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1256498 Output:[1] 0.01478557 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03290429 -0.04251945 Output:regressor -0.04251945 0.05636220 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.95340 0.16895 5.6432 8.324e-08 *** Output:regressor -0.46141 0.23191 -1.9896 0.0485 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.0051 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.63795 -0.27629 0.08326 0.32774 0.50802 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.49198 0.09028 5.450 2.08e-07 *** Output:regressor 0.14598 0.11013 1.326 0.187 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3536 on 147 degrees of freedom Output:Multiple R-squared: 0.01181, Adjusted R-squared: 0.005089 Output:F-statistic: 1.757 on 1 and 147 DF, p-value: 0.1871 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2196 0.21964 1.757 0.1871 Output:Residuals 147 18.3765 0.12501 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1256498 Output:[1] 0.06964637 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.008149960 -0.009416301 Output:regressor -0.009416301 0.012127910 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.49198 0.10613 4.6355 7.794e-06 *** Output:regressor 0.14598 0.12776 1.1426 0.2551 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0037 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.63868 -0.28384 0.07095 0.33072 0.45975 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.54025 0.05982 9.032 8.82e-16 *** Output:regressor 0.09844 0.07916 1.244 0.216 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3538 on 147 degrees of freedom Output:Multiple R-squared: 0.01041, Adjusted R-squared: 0.003679 Output:F-statistic: 1.546 on 1 and 147 DF, p-value: 0.2156 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.1936 0.19360 1.5465 0.2156 Output:Residuals 147 18.4026 0.12519 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1256498 Output:[1] 0.1349988 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003577958 -0.004141747 Output:regressor -0.004141747 0.006265701 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.540245 0.069151 7.8125 9.814e-13 *** Output:regressor 0.098437 0.093731 1.0502 0.2953 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.0009 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.65737 -0.29805 0.09993 0.31011 0.43243 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.69410 0.08848 7.845 8.18e-13 *** Output:regressor -0.12653 0.11911 -1.062 0.29 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3543 on 147 degrees of freedom Output:Multiple R-squared: 0.007619, Adjusted R-squared: 0.0008679 Output:F-statistic: 1.129 on 1 and 147 DF, p-value: 0.2898 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.1417 0.14168 1.1286 0.2898 Output:Residuals 147 18.4545 0.12554 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1256498 Output:[1] 0.05978978 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007828141 -0.009955189 Output:regressor -0.009955189 0.014187183 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.694103 0.086963 7.9816 3.788e-13 *** Output:regressor -0.126535 0.118592 -1.0670 0.2877 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | -0.0020 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.63389 -0.31195 0.07764 0.33774 0.42125 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.57875 0.04302 13.451 <2e-16 *** Output:regressor 0.37987 0.45352 0.838 0.404 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3548 on 147 degrees of freedom Output:Multiple R-squared: 0.00475, Adjusted R-squared: -0.00202 Output:F-statistic: 0.7016 on 1 and 147 DF, p-value: 0.4036 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0883 0.08833 0.7016 0.4036 Output:Residuals 147 18.5078 0.12590 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1256498 Output:[1] 0.004135945 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001851119 -0.01438559 Output:regressor -0.014385585 0.20568474 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.578746 0.043999 13.1535 <2e-16 *** Output:regressor 0.379872 0.413098 0.9196 0.3593 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | -0.0064 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.61508 -0.27466 0.09061 0.32954 0.40320 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.61779 0.06090 10.144 <2e-16 *** Output:regressor -0.02099 0.09000 -0.233 0.816 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3556 on 147 degrees of freedom Output:Multiple R-squared: 0.0003698, Adjusted R-squared: -0.00643 Output:F-statistic: 0.05438 on 1 and 147 DF, p-value: 0.8159 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0069 0.006877 0.0544 0.8159 Output:Residuals 147 18.5893 0.126458 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1256498 Output:[1] 0.1054767 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003709151 -0.004813714 Output:regressor -0.004813714 0.008100794 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.617786 0.058315 10.5939 <2e-16 *** Output:regressor -0.020989 0.087528 -0.2398 0.8108 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:-4.581e-16 -1.262e-17 2.780e-18 1.183e-17 1.031e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.455e-16 1.107e-17 -1.315e+01 <2e-16 *** Output:regressor 1.000e+00 1.350e-17 7.407e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.334e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.487e+33 on 1 and 147 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 10.308 10.308 5.4866e+33 < 2.2e-16 *** Output:Residuals 147 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] 0.06964637 Output:[1] 0.06964637 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.224793e-34 -1.415101e-34 Output:regressor -1.415101e-34 1.822607e-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) -1.4553e-16 2.2497e-17 -6.4687e+00 1.378e-09 *** Output:regressor 1.0000e+00 2.5535e-17 3.9162e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.1872 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.82701 -0.15242 0.09179 0.15154 0.49776 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.05769 0.12289 0.469 0.639 Output:regressor 0.95271 0.16084 5.923 2.14e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2379 on 147 degrees of freedom Output:Multiple R-squared: 0.1927, Adjusted R-squared: 0.1872 Output:F-statistic: 35.09 on 1 and 147 DF, p-value: 2.143e-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 1.9862 1.98620 35.087 2.143e-08 *** Output:Residuals 147 8.3215 0.05661 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06964637 Output:[1] 0.01478557 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01510243 -0.01951561 Output:regressor -0.01951561 0.02586916 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.057692 0.254778 0.2264 0.821172 Output:regressor 0.952713 0.317405 3.0016 0.003157 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.0195 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.8052 -0.1816 0.1126 0.2025 0.3403 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.65392 0.06525 10.021 <2e-16 *** Output:regressor 0.17457 0.08785 1.987 0.0488 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2613 on 147 degrees of freedom Output:Multiple R-squared: 0.02616, Adjusted R-squared: 0.01954 Output:F-statistic: 3.949 on 1 and 147 DF, p-value: 0.04876 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2697 0.269652 3.9489 0.04876 * Output:Residuals 147 10.0380 0.068286 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06964637 Output:[1] 0.05978978 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004257985 -0.005414957 Output:regressor -0.005414957 0.007716879 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.653923 0.099573 6.5673 8.279e-10 *** Output:regressor 0.174565 0.114175 1.5289 0.1284 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.0051 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.8084 -0.1733 0.1288 0.1939 0.2726 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.72744 0.04278 17.003 <2e-16 *** Output:regressor 0.08091 0.06104 1.326 0.187 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2632 on 147 degrees of freedom Output:Multiple R-squared: 0.01181, Adjusted R-squared: 0.005089 Output:F-statistic: 1.757 on 1 and 147 DF, p-value: 0.1871 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.1217 0.121746 1.757 0.1871 Output:Residuals 147 10.1859 0.069292 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06964637 Output:[1] 0.1256498 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001830322 -0.002255484 Output:regressor -0.002255484 0.003726140 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.727438 0.051939 14.005 <2e-16 *** Output:regressor 0.080913 0.066757 1.212 0.2274 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.0013 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7746 -0.1808 0.1133 0.2018 0.2661 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.73392 0.04459 16.460 <2e-16 *** Output:regressor 0.06428 0.05900 1.089 0.278 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2637 on 147 degrees of freedom Output:Multiple R-squared: 0.00801, Adjusted R-squared: 0.001262 Output:F-statistic: 1.187 on 1 and 147 DF, p-value: 0.2777 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0826 0.082564 1.187 0.2777 Output:Residuals 147 10.2251 0.069558 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06964637 Output:[1] 0.1349988 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001988036 -0.002301296 Output:regressor -0.002301296 0.003481438 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.733923 0.075824 9.6793 <2e-16 *** Output:regressor 0.064283 0.083351 0.7712 0.4418 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | -0.0046 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7627 -0.1804 0.1284 0.2120 0.2461 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.75386 0.04530 16.641 <2e-16 *** Output:regressor 0.03796 0.06695 0.567 0.572 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2645 on 147 degrees of freedom Output:Multiple R-squared: 0.002182, Adjusted R-squared: -0.004606 Output:F-statistic: 0.3214 on 1 and 147 DF, p-value: 0.5716 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0225 0.022489 0.3214 0.5716 Output:Residuals 147 10.2852 0.069967 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06964637 Output:[1] 0.1054767 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002052216 -0.002663354 Output:regressor -0.002663354 0.004482046 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.753862 0.052661 14.3153 <2e-16 *** Output:regressor 0.037955 0.072818 0.5212 0.603 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | -0.0068 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7773 -0.1766 0.1232 0.2228 0.2269 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.77733 0.03211 24.210 <2e-16 *** Output:regressor -0.01304 0.33846 -0.039 0.969 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2648 on 147 degrees of freedom Output:Multiple R-squared: 1.01e-05, Adjusted R-squared: -0.006793 Output:F-statistic: 0.001484 on 1 and 147 DF, p-value: 0.9693 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova 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 0.000104 0.0015 0.9693 Output:Residuals 147 10.3076 0.070119 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06964637 Output:[1] 0.004135945 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001030942 -0.008011753 Output:regressor -0.008011753 0.114551841 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.777328 0.037368 20.8017 <2e-16 *** Output:regressor -0.013038 0.240755 -0.0542 0.9569 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:-1.246e-15 -1.520e-18 5.600e-18 1.505e-17 8.160e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.911e-16 2.617e-17 -1.112e+01 <2e-16 *** Output:regressor 1.000e+00 3.523e-17 2.839e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.048e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 8.057e+32 on 1 and 147 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 8.8489 8.8489 8.0574e+32 < 2.2e-16 *** Output:Residuals 147 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] 0.05978978 Output:[1] 0.05978978 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.848050e-34 -8.708789e-34 Output:regressor -8.708789e-34 1.241093e-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) -2.9105e-16 2.1380e-17 -1.3613e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 2.0648e-17 4.8430e+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 | RO | 0.0439 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.59511 -0.12570 0.02817 0.15242 0.44865 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.3613 0.1235 2.926 0.00398 ** Output:regressor 0.4512 0.1616 2.792 0.00594 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2391 on 147 degrees of freedom Output:Multiple R-squared: 0.05035, Adjusted R-squared: 0.04389 Output:F-statistic: 7.794 on 1 and 147 DF, p-value: 0.005939 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.4455 0.44554 7.7939 0.005939 ** Output:Residuals 147 8.4033 0.05717 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05978978 Output:[1] 0.01478557 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01525105 -0.01970765 Output:regressor -0.01970765 0.02612373 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.36130 0.21586 1.6738 0.0963 . Output:regressor 0.45123 0.26588 1.6971 0.0918 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | DE | 0.0195 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.70188 -0.10301 0.05368 0.15646 0.38081 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.58535 0.06182 9.468 <2e-16 *** Output:regressor 0.14986 0.07541 1.987 0.0488 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2421 on 147 degrees of freedom Output:Multiple R-squared: 0.02616, Adjusted R-squared: 0.01954 Output:F-statistic: 3.949 on 1 and 147 DF, p-value: 0.04876 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2315 0.231490 3.9489 0.04876 * Output:Residuals 147 8.6174 0.058622 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05978978 Output:[1] 0.06964637 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003821801 -0.004415632 Output:regressor -0.004415632 0.005687200 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.585349 0.069791 8.3871 3.751e-14 *** Output:regressor 0.149860 0.080596 1.8594 0.06497 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.0023 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.71231 -0.12803 0.05357 0.17966 0.34095 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.65905 0.04183 15.756 <2e-16 *** Output:regressor 0.07178 0.06181 1.161 0.247 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2442 on 147 degrees of freedom Output:Multiple R-squared: 0.00909, Adjusted R-squared: 0.002349 Output:F-statistic: 1.348 on 1 and 147 DF, p-value: 0.2474 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0804 0.080437 1.3485 0.2474 Output:Residuals 147 8.7685 0.059649 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05978978 Output:[1] 0.1054767 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001749582 -0.002270597 Output:regressor -0.002270597 0.003821092 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.659048 0.056986 11.5652 <2e-16 *** Output:regressor 0.071783 0.076548 0.9377 0.3499 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | 0.0009 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.6779 -0.1326 0.0640 0.1693 0.3221 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.73815 0.03972 18.582 <2e-16 *** Output:regressor -0.06021 0.05668 -1.062 0.29 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2444 on 147 degrees of freedom Output:Multiple R-squared: 0.007619, Adjusted R-squared: 0.0008679 Output:F-statistic: 1.129 on 1 and 147 DF, p-value: 0.2898 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0674 0.067418 1.1286 0.2898 Output:Residuals 147 8.7815 0.059738 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05978978 Output:[1] 0.1256498 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001577955 -0.001944495 Output:regressor -0.001944495 0.003212375 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.738149 0.036367 20.2974 <2e-16 *** Output:regressor -0.060211 0.072746 -0.8277 0.4092 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | -0.0037 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.71644 -0.12243 0.05591 0.17522 0.33975 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.7164 0.0297 24.119 <2e-16 *** Output:regressor -0.2107 0.3131 -0.673 0.502 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.245 on 147 degrees of freedom Output:Multiple R-squared: 0.003072, Adjusted R-squared: -0.00371 Output:F-statistic: 0.453 on 1 and 147 DF, p-value: 0.502 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0272 0.027184 0.453 0.502 Output:Residuals 147 8.8217 0.060012 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05978978 Output:[1] 0.004135945 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008823297 -0.006856842 Output:regressor -0.0068568418 0.098038953 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.716442 0.027898 25.6807 <2e-16 *** Output:regressor -0.210737 0.494845 -0.4259 0.6708 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | -0.0066 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.70586 -0.11976 0.05938 0.17228 0.30131 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.707587 0.041475 17.061 <2e-16 *** Output:regressor -0.008902 0.054885 -0.162 0.871 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2453 on 147 degrees of freedom Output:Multiple R-squared: 0.0001789, Adjusted R-squared: -0.006623 Output:F-statistic: 0.02631 on 1 and 147 DF, p-value: 0.8714 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0016 0.001583 0.0263 0.8714 Output:Residuals 147 8.8473 0.060186 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.05978978 Output:[1] 0.1349988 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001720155 -0.001991205 Output:regressor -0.001991205 0.003012326 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.7075875 0.0425504 16.6294 <2e-16 *** Output:regressor -0.0089021 0.0546541 -0.1629 0.8708 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:-4.393e-16 -1.556e-17 6.220e-18 1.759e-17 8.751e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 7.276e-17 7.618e-18 9.551e+00 <2e-16 *** Output:regressor 1.000e+00 1.126e-17 8.882e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.448e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 7.89e+33 on 1 and 147 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 15.611 15.611 7.8898e+33 < 2.2e-16 *** Output:Residuals 147 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] 0.1054767 Output:[1] 0.1054767 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.803344e-35 -7.531546e-35 Output:regressor -7.531546e-35 1.267452e-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) 7.2762e-17 6.7412e-18 1.0794e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.3543e-17 7.3838e+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 | 0.0442 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7258 -0.2364 0.0484 0.2742 0.4732 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.72579 0.05368 13.521 < 2e-16 *** Output:regressor -0.19903 0.07103 -2.802 0.00576 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3175 on 147 degrees of freedom Output:Multiple R-squared: 0.0507, Adjusted R-squared: 0.04424 Output:F-statistic: 7.851 on 1 and 147 DF, p-value: 0.005764 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.7915 0.79146 7.851 0.005764 ** Output:Residuals 147 14.8191 0.10081 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1054767 Output:[1] 0.1349988 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002881231 -0.003335235 Output:regressor -0.003335235 0.005045596 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.725790 0.053024 13.6879 < 2.2e-16 *** Output:regressor -0.199030 0.074939 -2.6559 0.008783 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.0023 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.63200 -0.26355 0.03563 0.29003 0.48197 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.5054 0.0810 6.239 4.45e-09 *** Output:regressor 0.1266 0.1090 1.161 0.247 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3244 on 147 degrees of freedom Output:Multiple R-squared: 0.00909, Adjusted R-squared: 0.002349 Output:F-statistic: 1.348 on 1 and 147 DF, p-value: 0.2474 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.1419 0.14190 1.3485 0.2474 Output:Residuals 147 15.4686 0.10523 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1054767 Output:[1] 0.05978978 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006561584 -0.008344485 Output:regressor -0.008344485 0.011891763 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.50537 0.10788 4.6843 6.338e-06 *** Output:regressor 0.12663 0.13519 0.9367 0.3505 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | -0.0010 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.61614 -0.25722 0.03152 0.28589 0.46058 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.4416 0.1678 2.631 0.00942 ** Output:regressor 0.2023 0.2197 0.921 0.35854 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3249 on 147 degrees of freedom Output:Multiple R-squared: 0.005738, Adjusted R-squared: -0.001026 Output:F-statistic: 0.8483 on 1 and 147 DF, p-value: 0.3585 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0896 0.089569 0.8483 0.3585 Output:Residuals 147 15.5210 0.105585 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1054767 Output:[1] 0.01478557 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02816867 -0.03640002 Output:regressor -0.03640002 0.04825051 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.44160 0.23487 1.8802 0.06206 . Output:regressor 0.20232 0.30939 0.6539 0.51418 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | -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:-0.61835 -0.25221 0.03878 0.28155 0.44182 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.61835 0.03942 15.69 <2e-16 *** Output:regressor -0.34485 0.41554 -0.83 0.408 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3251 on 147 degrees of freedom Output:Multiple R-squared: 0.004663, Adjusted R-squared: -0.002108 Output:F-statistic: 0.6887 on 1 and 147 DF, p-value: 0.408 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0728 0.072794 0.6887 0.408 Output:Residuals 147 15.5378 0.105699 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1054767 Output:[1] 0.004135945 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001554056 -0.01207702 Output:regressor -0.012077022 0.17267695 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.618346 0.045064 13.722 <2e-16 *** Output:regressor -0.344850 0.422097 -0.817 0.4153 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | -0.0046 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.60708 -0.25708 0.03994 0.28432 0.44274 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.54960 0.08312 6.612 6.55e-10 *** Output:regressor 0.05748 0.10139 0.567 0.572 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3255 on 147 degrees of freedom Output:Multiple R-squared: 0.002182, Adjusted R-squared: -0.004606 Output:F-statistic: 0.3214 on 1 and 147 DF, p-value: 0.5716 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0341 0.034058 0.3214 0.5716 Output:Residuals 147 15.5765 0.105962 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1054767 Output:[1] 0.06964637 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006908145 -0.007981533 Output:regressor -0.007981533 0.010279972 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.549598 0.097372 5.6443 8.279e-08 *** Output:regressor 0.057482 0.109923 0.5229 0.6018 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | -0.0064 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.60148 -0.25005 0.04195 0.28992 0.41273 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.60489 0.05295 11.423 <2e-16 *** Output:regressor -0.01762 0.07555 -0.233 0.816 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3258 on 147 degrees of freedom Output:Multiple R-squared: 0.0003698, Adjusted R-squared: -0.00643 Output:F-statistic: 0.05438 on 1 and 147 DF, p-value: 0.8159 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0058 0.005773 0.0544 0.8159 Output:Residuals 147 15.6048 0.106155 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1054767 Output:[1] 0.1256498 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002804044 -0.003455389 Output:regressor -0.003455389 0.005708427 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.604892 0.048793 12.3972 <2e-16 *** Output:regressor -0.017619 0.071542 -0.2463 0.8058 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:-3.342e-16 3.400e-19 1.760e-18 2.930e-18 3.173e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.729e-17 3.394e-18 8.039e+00 2.74e-13 *** Output:regressor 1.000e+00 3.578e-17 2.795e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.799e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 7.812e+32 on 1 and 147 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 0.61212 0.61212 7.8118e+32 < 2.2e-16 *** Output:Residuals 147 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] 0.004135945 Output:[1] 0.004135945 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.152072e-35 -8.953087e-35 Output:regressor -8.953087e-35 1.280110e-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) 2.7286e-17 1.1626e-18 2.3469e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 2.9109e-17 3.4354e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable | |
| GB | CH | -0.0020 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.07488 -0.04409 -0.00928 0.02557 0.32888 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.06237 0.01046 5.961 1.78e-08 *** Output:regressor 0.01250 0.01493 0.838 0.404 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06438 on 147 degrees of freedom Output:Multiple R-squared: 0.00475, Adjusted R-squared: -0.00202 Output:F-statistic: 0.7016 on 1 and 147 DF, p-value: 0.4036 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00291 0.0029075 0.7016 0.4036 Output:Residuals 147 0.60921 0.0041443 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004135945 Output:[1] 0.1256498 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001094702 -0.0001348988 Output:regressor -0.0001348988 0.0002228577 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0623711 0.0067032 9.3046 <2e-16 *** Output:regressor 0.0125040 0.0116451 1.0738 0.2847 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | -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:-0.07798 -0.04452 -0.01128 0.02370 0.33450 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.07798 0.01103 7.072 5.74e-11 *** Output:regressor -0.01352 0.01629 -0.830 0.408 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06438 on 147 degrees of freedom Output:Multiple R-squared: 0.004663, Adjusted R-squared: -0.002108 Output:F-statistic: 0.6887 on 1 and 147 DF, p-value: 0.408 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00285 0.0028544 0.6887 0.408 Output:Residuals 147 0.60927 0.0041447 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004135945 Output:[1] 0.1054767 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001215676 -0.0001577698 Output:regressor -0.0001577698 0.0002655040 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.077975 0.011233 6.9417 1.155e-10 *** Output:regressor -0.013522 0.015620 -0.8657 0.3881 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | -0.0037 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.08017 -0.04160 -0.00902 0.02746 0.33376 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.08017 0.01609 4.983 1.74e-06 *** Output:regressor -0.01458 0.02166 -0.673 0.502 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06443 on 147 degrees of freedom Output:Multiple R-squared: 0.003072, Adjusted R-squared: -0.00371 Output:F-statistic: 0.453 on 1 and 147 DF, p-value: 0.502 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00188 0.0018805 0.453 0.502 Output:Residuals 147 0.61024 0.0041513 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004135945 Output:[1] 0.05978978 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002588551 -0.0003291907 Output:regressor -0.0003291907 0.0004691311 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.080169 0.026722 3.0001 0.003171 ** Output:regressor -0.014578 0.034599 -0.4213 0.674128 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | 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:-0.07807 -0.04542 -0.01087 0.02485 0.33262 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.09000 0.03329 2.704 0.00767 ** Output:regressor -0.02659 0.04357 -0.610 0.54256 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06445 on 147 degrees of freedom Output:Multiple R-squared: 0.002528, Adjusted R-squared: -0.004258 Output:F-statistic: 0.3725 on 1 and 147 DF, p-value: 0.5426 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00155 0.0015474 0.3725 0.5426 Output:Residuals 147 0.61057 0.0041536 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004135945 Output:[1] 0.01478557 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001108114 -0.001431923 Output:regressor -0.001431923 0.001898104 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.090001 0.036789 2.4464 0.01561 * Output:regressor -0.026592 0.047453 -0.5604 0.57607 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | -0.0051 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.07236 -0.04410 -0.01059 0.02441 0.32764 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.06521 0.01090 5.983 1.6e-08 *** Output:regressor 0.00715 0.01443 0.496 0.621 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06448 on 147 degrees of freedom Output:Multiple R-squared: 0.001669, Adjusted R-squared: -0.005123 Output:F-statistic: 0.2457 on 1 and 147 DF, p-value: 0.6209 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00102 0.0010213 0.2457 0.6209 Output:Residuals 147 0.61110 0.0041571 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004135945 Output:[1] 0.1349988 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001188141 -0.0001375359 Output:regressor -0.0001375359 0.0002080665 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0652139 0.0095519 6.8273 2.119e-10 *** Output:regressor 0.0071497 0.0118622 0.6027 0.5476 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | -0.0068 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.07054 -0.04289 -0.00866 0.02480 0.32995 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0705411 0.0164764 4.281 3.34e-05 *** Output:regressor -0.0007743 0.0200991 -0.039 0.969 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.06453 on 147 degrees of freedom Output:Multiple R-squared: 1.01e-05, Adjusted R-squared: -0.006793 Output:F-statistic: 0.001484 on 1 and 147 DF, p-value: 0.9693 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00001 0.0000062 0.0015 0.9693 Output:Residuals 147 0.61211 0.0041640 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.004135945 Output:[1] 0.06964637 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002714714 -0.0003136526 Output:regressor -0.0003136526 0.0004039750 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.07054114 0.01078871 6.5384 9.615e-10 *** Output:regressor -0.00077429 0.01207635 -0.0641 0.949 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:-8.082e-17 -1.591e-17 3.820e-18 7.200e-18 1.270e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.455e-16 1.843e-17 7.894e+00 6.21e-13 *** Output:regressor 1.000e+00 2.440e-17 4.099e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.09e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.68e+33 on 1 and 147 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 19.98 19.98 1.6803e+33 < 2.2e-16 *** Output:Residuals 147 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] 0.1349988 Output:[1] 0.1349988 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.398361e-34 -3.93385e-34 Output:regressor -3.933850e-34 5.95119e-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) 1.4553e-16 3.5890e-17 4.0547e+00 8.112e-05 *** Output:regressor 1.0000e+00 4.1582e-17 2.4049e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.0442 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.8124 -0.3160 0.1081 0.2944 0.4424 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.81239 0.06152 13.206 < 2e-16 *** Output:regressor -0.25474 0.09091 -2.802 0.00576 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3592 on 147 degrees of freedom Output:Multiple R-squared: 0.0507, Adjusted R-squared: 0.04424 Output:F-statistic: 7.851 on 1 and 147 DF, p-value: 0.005764 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.013 1.01298 7.851 0.005764 ** Output:Residuals 147 18.967 0.12903 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1349988 Output:[1] 0.1054767 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003784482 -0.004911478 Output:regressor -0.004911478 0.008265318 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.812391 0.059694 13.6092 < 2e-16 *** Output:regressor -0.254737 0.118174 -2.1556 0.03274 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.0037 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7028 -0.2694 0.1207 0.3062 0.4030 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.59700 0.05961 10.016 <2e-16 *** Output:regressor 0.10576 0.08505 1.244 0.216 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3667 on 147 degrees of freedom Output:Multiple R-squared: 0.01041, Adjusted R-squared: 0.003679 Output:F-statistic: 1.546 on 1 and 147 DF, p-value: 0.2156 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.208 0.20801 1.5465 0.2156 Output:Residuals 147 19.772 0.13450 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1349988 Output:[1] 0.1256498 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003552826 -0.004378104 Output:regressor -0.004378104 0.007232786 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.597000 0.080855 7.3836 1.059e-11 *** Output:regressor 0.105761 0.105824 0.9994 0.3192 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.0013 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.6889 -0.2376 0.1176 0.3111 0.4156 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.56427 0.09376 6.019 1.34e-08 *** Output:regressor 0.12460 0.11437 1.089 0.278 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3672 on 147 degrees of freedom Output:Multiple R-squared: 0.00801, Adjusted R-squared: 0.001262 Output:F-statistic: 1.187 on 1 and 147 DF, p-value: 0.2777 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.16 0.16004 1.187 0.2777 Output:Residuals 147 19.82 0.13483 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1349988 Output:[1] 0.06964637 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.00879004 -0.01015584 Output:regressor -0.01015584 0.01308041 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.564275 0.094437 5.9751 1.661e-08 *** Output:regressor 0.124604 0.149211 0.8351 0.405 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | -0.0047 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.6553 -0.2628 0.1061 0.3441 0.3569 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.7642 0.1902 4.017 9.36e-05 *** Output:regressor -0.1368 0.2490 -0.549 0.584 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3683 on 147 degrees of freedom Output:Multiple R-squared: 0.00205, Adjusted R-squared: -0.004739 Output:F-statistic: 0.3019 on 1 and 147 DF, p-value: 0.5835 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0409 0.04095 0.3019 0.5835 Output:Residuals 147 19.9389 0.13564 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1349988 Output:[1] 0.01478557 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03618662 -0.04676093 Output:regressor -0.04676093 0.06198455 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.76422 0.23182 3.2966 0.001227 ** Output:regressor -0.13680 0.35027 -0.3906 0.696695 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | -0.0051 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7069 -0.2615 0.1510 0.3316 0.3553 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.64470 0.04467 14.434 <2e-16 *** Output:regressor 0.23337 0.47082 0.496 0.621 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3684 on 147 degrees of freedom Output:Multiple R-squared: 0.001669, Adjusted R-squared: -0.005123 Output:F-statistic: 0.2457 on 1 and 147 DF, p-value: 0.6209 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0333 0.033337 0.2457 0.6209 Output:Residuals 147 19.9465 0.135690 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1349988 Output:[1] 0.004135945 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001995009 -0.0155038 Output:regressor -0.015503796 0.2216729 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.644697 0.058646 10.993 <2e-16 *** Output:regressor 0.233370 0.368076 0.634 0.527 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | -0.0066 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.6719 -0.2702 0.1430 0.3376 0.3450 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.67512 0.09205 7.334 1.39e-11 *** Output:regressor -0.02010 0.12392 -0.162 0.871 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3686 on 147 degrees of freedom Output:Multiple R-squared: 0.0001789, Adjusted R-squared: -0.006623 Output:F-statistic: 0.02631 on 1 and 147 DF, p-value: 0.8714 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0036 0.003575 0.0263 0.8714 Output:Residuals 147 19.9762 0.135893 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1349988 Output:[1] 0.05978978 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.008473647 -0.01077609 Output:regressor -0.010776090 0.01535705 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.675123 0.091634 7.3676 1.155e-11 *** Output:regressor -0.020100 0.117620 -0.1709 0.8645 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for RO
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| RO | RO | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.118e-16 -1.270e-18 3.160e-18 7.210e-18 4.229e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.911e-16 2.233e-17 1.304e+01 <2e-16 *** Output:regressor 1.000e+00 2.922e-17 3.422e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.322e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.171e+33 on 1 and 147 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 2.1883 2.1883 1.1712e+33 < 2.2e-16 *** Output:Residuals 147 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] 0.01478557 Output:[1] 0.01478557 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.984447e-34 -6.440983e-34 Output:regressor -6.440983e-34 8.537926e-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) 2.9105e-16 1.0718e-17 2.7156e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.7835e-17 5.6069e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.1872 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.33301 -0.08624 0.03148 0.07638 0.21014 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.59736 0.02799 21.341 < 2e-16 *** Output:regressor 0.20226 0.03415 5.923 2.14e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1096 on 147 degrees of freedom Output:Multiple R-squared: 0.1927, Adjusted R-squared: 0.1872 Output:F-statistic: 35.09 on 1 and 147 DF, p-value: 2.143e-08 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.42166 0.42166 35.087 2.143e-08 *** Output:Residuals 147 1.76660 0.01202 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01478557 Output:[1] 0.06964637 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0007834856 -0.0009052236 Output:regressor -0.0009052236 0.0011659006 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.597362 0.057209 10.442 < 2.2e-16 *** Output:regressor 0.202256 0.051334 3.940 0.0001255 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.0439 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.36649 -0.09801 0.05417 0.08863 0.14336 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.67610 0.02969 22.772 < 2e-16 *** Output:regressor 0.11158 0.03997 2.792 0.00594 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1189 on 147 degrees of freedom Output:Multiple R-squared: 0.05035, Adjusted R-squared: 0.04389 Output:F-statistic: 7.794 on 1 and 147 DF, p-value: 0.005939 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.11018 0.110179 7.7939 0.005939 ** Output:Residuals 147 2.07809 0.014137 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01478557 Output:[1] 0.05978978 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008814951 -0.001121013 Output:regressor -0.0011210133 0.001597561 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.676097 0.062142 10.8799 < 2e-16 *** Output:regressor 0.111585 0.058733 1.8999 0.05941 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.0184 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.36607 -0.09642 0.05704 0.09129 0.14861 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.78726 0.01958 40.208 <2e-16 *** Output:regressor -0.05429 0.02794 -1.944 0.0539 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1205 on 147 degrees of freedom Output:Multiple R-squared: 0.02505, Adjusted R-squared: 0.01842 Output:F-statistic: 3.777 on 1 and 147 DF, p-value: 0.05386 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.05482 0.054820 3.7773 0.05386 . Output:Residuals 147 2.13344 0.014513 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01478557 Output:[1] 0.1256498 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003833616 -0.0004724119 Output:regressor -0.0004724119 0.0007804414 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.787262 0.038532 20.4314 < 2e-16 *** Output:regressor -0.054295 0.027978 -1.9407 0.05421 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | -0.0010 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.32952 -0.10711 0.05832 0.09290 0.14245 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.73754 0.02084 35.398 <2e-16 *** Output:regressor 0.02836 0.03079 0.921 0.359 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1217 on 147 degrees of freedom Output:Multiple R-squared: 0.005738, Adjusted R-squared: -0.001026 Output:F-statistic: 0.8483 on 1 and 147 DF, p-value: 0.3585 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01256 0.012556 0.8483 0.3585 Output:Residuals 147 2.17571 0.014801 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01478557 Output:[1] 0.1054767 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004341224 -0.0005634015 Output:regressor -0.0005634015 0.0009481245 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.737544 0.073083 10.0918 <2e-16 *** Output:regressor 0.028360 0.046581 0.6088 0.5436 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | -0.0043 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.32912 -0.10631 0.05478 0.09413 0.13537 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.76105 0.01478 51.51 <2e-16 *** Output:regressor -0.09506 0.15575 -0.61 0.543 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1219 on 147 degrees of freedom Output:Multiple R-squared: 0.002528, Adjusted R-squared: -0.004258 Output:F-statistic: 0.3725 on 1 and 147 DF, p-value: 0.5426 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00553 0.0055318 0.3725 0.5426 Output:Residuals 147 2.18273 0.0148485 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01478557 Output:[1] 0.004135945 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002183127 -0.001696572 Output:regressor -0.0016965718 0.024257541 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.761045 0.051630 14.7403 <2e-16 *** Output:regressor -0.095064 0.171124 -0.5555 0.5794 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | -0.0047 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.33294 -0.10056 0.05620 0.09088 0.13587 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.76430 0.02061 37.092 <2e-16 *** Output:regressor -0.01498 0.02727 -0.549 0.584 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1219 on 147 degrees of freedom Output:Multiple R-squared: 0.00205, Adjusted R-squared: -0.004739 Output:F-statistic: 0.3019 on 1 and 147 DF, p-value: 0.5835 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00448 0.004485 0.3019 0.5835 Output:Residuals 147 2.18378 0.014856 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01478557 Output:[1] 0.1349988 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004245858 -0.0004914889 Output:regressor -0.0004914889 0.0007435323 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.764300 0.053473 14.2933 <2e-16 *** Output:regressor -0.014982 0.035852 -0.4179 0.6766 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:-1.197e-15 -2.184e-16 -9.750e-17 1.339e-16 1.187e-14 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.164e-15 1.829e-16 6.367e+00 2.32e-09 *** Output:regressor 1.000e+00 2.412e-17 4.146e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.029e-15 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.719e+33 on 1 and 147 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 1821.2 1821.2 1.7186e+33 < 2.2e-16 *** Output:Residuals 147 0.0 0.0 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 12.30547 Output:[1] 12.30547 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.343274e-32 3.913425e-33 Output:regressor 3.913425e-33 5.818555e-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) 1.1642e-15 3.3078e-16 3.5196e+00 0.0005757 *** Output:regressor 1.0000e+00 3.7780e-17 2.6469e+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 | 0.6417 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.6521 -1.7864 -0.4289 1.8910 3.7078 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -3.33979 0.26957 -12.39 <2e-16 *** Output:regressor 1.35096 0.08281 16.31 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.1 on 147 degrees of freedom Output:Multiple R-squared: 0.6442, Adjusted R-squared: 0.6417 Output:F-statistic: 266.1 on 1 and 147 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 1173.16 1173.16 266.11 < 2.2e-16 *** Output:Residuals 147 648.05 4.41 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 12.30547 Output:[1] 4.343242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.07266940 0.01718921 Output:regressor 0.01718921 0.00685825 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -3.33979 2.26868 -1.4721 0.1431 Output:regressor 1.35096 0.83981 1.6086 0.1098 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.6021 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.0100 -1.5075 0.4757 1.6048 3.7705 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.7956 0.3754 -4.783 4.15e-06 *** Output:regressor -2.4958 0.1664 -14.999 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.213 on 147 degrees of freedom Output:Multiple R-squared: 0.6048, Adjusted R-squared: 0.6021 Output:F-statistic: 225 on 1 and 147 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 1101.49 1101.5 224.97 < 2.2e-16 *** Output:Residuals 147 719.72 4.9 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 12.30547 Output:[1] 1.1948 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.14090245 -0.05469444 Output:regressor -0.05469444 0.02768789 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.7956 5.3678 -0.3345 0.73847 Output:regressor -2.4958 1.4436 -1.7289 0.08593 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.5727 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.917 -1.759 -0.968 1.781 6.221 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -6.2206 0.1912 -32.53 <2e-16 *** Output:regressor 1.4541 0.1030 14.12 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.293 on 147 degrees of freedom Output:Multiple R-squared: 0.5756, Adjusted R-squared: 0.5727 Output:F-statistic: 199.4 on 1 and 147 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 1048.32 1048.32 199.38 < 2.2e-16 *** Output:Residuals 147 772.89 5.26 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 12.30547 Output:[1] 3.349969 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.036567011 0.003684282 Output:regressor 0.003684282 0.010604708 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -6.22058 0.89194 -6.9742 9.706e-11 *** Output:regressor 1.45410 0.36874 3.9435 0.0001239 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.4036 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-7.3155 -0.9132 0.6050 2.1532 3.7216 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.74914 0.45345 -6.063 1.08e-08 *** Output:regressor -0.95055 0.09452 -10.057 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.709 on 147 degrees of freedom Output:Multiple R-squared: 0.4076, Adjusted R-squared: 0.4036 Output:F-statistic: 101.1 on 1 and 147 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 1 742.3 742.30 101.14 < 2.2e-16 *** Output:Residuals 147 1078.9 7.34 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 12.30547 Output:[1] 5.550992 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.20561579 -0.037374616 Output:regressor -0.03737462 0.008933784 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.74914 11.91935 -0.2306 0.8179 Output:regressor -0.95055 3.71717 -0.2557 0.7985 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.2509 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.3180 -2.1457 0.2813 1.5679 6.1344 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -5.5355 0.2998 -18.464 < 2e-16 *** Output:regressor 5.7478 0.8082 7.112 4.64e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.036 on 147 degrees of freedom Output:Multiple R-squared: 0.256, Adjusted R-squared: 0.2509 Output:F-statistic: 50.58 on 1 and 147 DF, p-value: 4.642e-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 1 466.2 466.20 50.576 4.642e-11 *** Output:Residuals 147 1355.0 9.22 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 12.30547 Output:[1] 0.09534775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0898779 0.1352733 Output:regressor 0.1352733 0.6532111 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -5.5355 3.0173 -1.8346 0.06859 . Output:regressor 5.7478 4.3827 1.3115 0.19175 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | 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:-6.6038 -2.4392 -0.3062 3.0853 5.5588 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.4097 0.5554 -7.939 4.81e-13 *** Output:regressor -0.5380 0.1129 -4.763 4.53e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.276 on 147 degrees of freedom Output:Multiple R-squared: 0.1337, Adjusted R-squared: 0.1278 Output:F-statistic: 22.69 on 1 and 147 DF, p-value: 4.53e-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 1 243.48 243.485 22.686 4.53e-06 *** Output:Residuals 147 1577.72 10.733 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 12.30547 Output:[1] 5.684397 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.30848857 -0.05492363 Output:regressor -0.05492363 0.01275756 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.40968 5.41052 -0.8150 0.4164 Output:regressor -0.53798 1.03764 -0.5185 0.6049 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for DE
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| DE | DE | 1.0000 | +- Error:Loading required package: zoo
Error:
Error:Attaching package: ‘zoo’
Error:
Error:The following objects are masked from ‘package:base’:
Error:
Error: as.Date, as.Date.numeric
Error:
Error:Warning message:
Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable
Output:[1] "----------------- LM Summary --------------------------------------------------------------"
Output:
Output:Call:
Output:lm(formula = regressand ~ regressor, na.action = NULL)
Output:
Output:Residuals:
Output: Min 1Q Median 3Q Max
Output:-8.618e-16 -1.005e-16 -3.710e-17 4.110e-17 5.937e-15
Output:
Output:Coefficients:
Output: Estimate Std. Error t value Pr(>|t|)
Output:(Intercept) 1.164e-15 8.871e-17 1.312e+01 <2e-16 ***
Output:regressor 1.000e+00 1.804e-17 5.544e+16 <2e-16 ***
Output:---
Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Output:
Output:Residual standard error: 5.232e-16 on 147 degrees of freedom
Output:Multiple R-squared: 1, Adjusted R-squared: 1
Output:F-statistic: 3.073e+33 on 1 and 147 DF, p-value: < 2.2e-16
Output:
Output:[1] "-------------------------------------------------------------------------------------------"
Output:[1] "----------------- Anova Output ------------------------------------------------------------"
Output:Analysis of Variance Table
Output:
Output:Response: regressand
Output:Error:Warning message:
Df Sum Sq Mean Sq F value Pr(>F)
Output:regressor 1 841.29 841.29 3.0731e+33 < 2.2e-16 ***
Output:Residuals 147 0.00 0.00
Output:---
Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Error:In anova.lm(ols) :
Error: ANOVA F-tests on an essentially perfect fit are unreliable
Output:[1] "-------------------------------------------------------------------------------------------"
Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------"
Output:[1] 5.684397
Output:[1] 5.684397
Output:[1] "-------------------------------------------------------------------------------------------"
Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------"
Output: (Intercept) regressor
Output:(Intercept) 7.868590e-33 -1.400932e-33
Output:regressor -1.400932e-33 3.254061e-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) 1.1642e-15 1.9360e-16 6.0133e+00 1.375e-08 ***
Output:regressor 1.0000e+00 3.5156e-17 2.8445e+16 < 2.2e-16 ***
Output:---
Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Output:
Error:Warning message:
Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable
Output:[1] "-------------------------------------------------------------------------------------------"
| |
| DE | RO | 0.8480 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.6365 -0.6971 0.2676 0.7682 1.5514 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.40424 0.15556 2.599 0.0103 * Output:regressor 0.93246 0.03243 28.757 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9294 on 147 degrees of freedom Output:Multiple R-squared: 0.8491, Adjusted R-squared: 0.848 Output:F-statistic: 827 on 1 and 147 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 1 714.31 714.31 826.96 < 2.2e-16 *** Output:Residuals 147 126.98 0.86 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.684397 Output:[1] 5.550992 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02419876 -0.00439859 Output:regressor -0.00439859 0.00105141 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.40424 4.39687 0.0919 0.9269 Output:regressor 0.93246 0.96442 0.9669 0.3352 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.4998 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-4.6805 -0.8694 0.1171 1.1017 3.0197 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.1709 0.1665 19.04 <2e-16 *** Output:regressor -5.4771 0.4489 -12.20 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.686 on 147 degrees of freedom Output:Multiple R-squared: 0.5032, Adjusted R-squared: 0.4998 Output:F-statistic: 148.9 on 1 and 147 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 1 423.32 423.32 148.88 < 2.2e-16 *** Output:Residuals 147 417.97 2.84 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.684397 Output:[1] 0.09534775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02772411 0.04172695 Output:regressor 0.04172695 0.20149222 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.1709 2.3164 1.3689 0.1731 Output:regressor -5.4771 2.9315 -1.8684 0.0637 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.3289 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.0875 -1.5728 0.2909 1.5023 3.3824 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.8171 0.3313 5.484 1.77e-07 *** Output:regressor 1.2595 0.1469 8.575 1.27e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.953 on 147 degrees of freedom Output:Multiple R-squared: 0.3334, Adjusted R-squared: 0.3289 Output:F-statistic: 73.54 on 1 and 147 DF, p-value: 1.266e-14 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 280.52 280.520 73.535 1.266e-14 *** Output:Residuals 147 560.77 3.815 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.684397 Output:[1] 1.1948 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.10978405 -0.04261514 Output:regressor -0.04261514 0.02157300 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.8171 6.0095 0.3024 0.7628 Output:regressor 1.2595 1.5712 0.8016 0.4241 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 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:-6.4885 -1.2011 0.5227 1.5696 3.5049 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.63374 0.39550 6.659 5.13e-10 *** Output:regressor -0.24851 0.05218 -4.763 4.53e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.227 on 147 degrees of freedom Output:Multiple R-squared: 0.1337, Adjusted R-squared: 0.1278 Output:F-statistic: 22.69 on 1 and 147 DF, p-value: 4.53e-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 1 112.48 112.476 22.686 4.53e-06 *** Output:Residuals 147 728.82 4.958 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.684397 Output:[1] 12.30547 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.15642173 0.018309737 Output:regressor 0.01830974 0.002722326 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.63374 0.89785 2.9334 0.003891 ** Output:regressor -0.24851 0.23485 -1.0582 0.291715 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.0263 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-4.8249 -1.9143 0.5206 2.1105 3.6667 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.82485 0.30206 15.973 <2e-16 *** Output:regressor 0.20734 0.09279 2.234 0.027 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.353 on 147 degrees of freedom Output:Multiple R-squared: 0.03285, Adjusted R-squared: 0.02627 Output:F-statistic: 4.993 on 1 and 147 DF, p-value: 0.02697 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 27.63 27.6340 4.9925 0.02697 * Output:Residuals 147 813.66 5.5351 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.684397 Output:[1] 4.343242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.09124023 0.021581955 Output:regressor 0.02158196 0.008610893 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.82485 1.42119 3.3949 0.0008828 *** Output:regressor 0.20734 0.40453 0.5125 0.6090418 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.0098 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-4.7063 -2.1256 0.7461 2.1501 3.8163 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.3633 0.1979 22.052 <2e-16 *** Output:regressor 0.1671 0.1066 1.569 0.119 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.373 on 147 degrees of freedom Output:Multiple R-squared: 0.01647, Adjusted R-squared: 0.009774 Output:F-statistic: 2.461 on 1 and 147 DF, p-value: 0.1189 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 13.85 13.8520 2.4609 0.1189 Output:Residuals 147 827.44 5.6288 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.684397 Output:[1] 3.349969 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.039147744 0.003944301 Output:regressor 0.003944301 0.011353140 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.36325 1.51719 2.8759 0.004628 ** Output:regressor 0.16715 0.50860 0.3286 0.742890 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:-7.516e-16 -3.881e-17 7.800e-19 4.552e-17 1.807e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.911e-16 1.802e-17 1.615e+01 <2e-16 *** Output:regressor 1.000e+00 7.989e-18 1.252e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.062e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.567e+34 on 1 and 147 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 1 176.83 176.83 1.5669e+34 < 2.2e-16 *** Output:Residuals 147 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] 1.1948 Output:[1] 1.1948 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.247688e-34 -1.260663e-34 Output:regressor -1.260663e-34 6.381837e-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) 2.9105e-16 2.5708e-17 1.1321e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.3597e-17 7.3544e+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 | CH | 0.6021 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.88733 -0.33690 -0.05835 0.33899 1.83207 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.34553 0.12247 2.821 0.00544 ** Output:regressor -0.24233 0.01616 -14.999 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6895 on 147 degrees of freedom Output:Multiple R-squared: 0.6048, Adjusted R-squared: 0.6021 Output:F-statistic: 225 on 1 and 147 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 1 106.949 106.949 224.97 < 2.2e-16 *** Output:Residuals 147 69.881 0.475 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.1948 Output:[1] 12.30547 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.014998270 0.0017556025 Output:regressor 0.001755603 0.0002610263 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.34553 0.67087 0.5150 0.6073 Output:regressor -0.24233 0.22128 -1.0951 0.2753 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.5898 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.1707 -0.4831 -0.1940 0.3524 2.1243 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.48127 0.11717 4.107 6.62e-05 *** Output:regressor 0.35715 0.02442 14.623 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7 on 147 degrees of freedom Output:Multiple R-squared: 0.5926, Adjusted R-squared: 0.5898 Output:F-statistic: 213.8 on 1 and 147 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 1 104.79 104.79 213.83 < 2.2e-16 *** Output:Residuals 147 72.04 0.49 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.1948 Output:[1] 5.550992 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.013729166 -0.0024955394 Output:regressor -0.002495539 0.0005965174 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.48127 0.45272 1.0631 0.28950 Output:regressor 0.35715 0.17901 1.9951 0.04788 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.3880 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.7719 -0.6335 -0.1016 0.5485 2.0409 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.51634 0.08444 17.958 <2e-16 *** Output:regressor -2.21670 0.22764 -9.738 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8551 on 147 degrees of freedom Output:Multiple R-squared: 0.3921, Adjusted R-squared: 0.388 Output:F-statistic: 94.83 on 1 and 147 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 69.34 69.340 94.828 < 2.2e-16 *** Output:Residuals 147 107.49 0.731 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.1948 Output:[1] 0.09534775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007129817 0.01073093 Output:regressor 0.010730932 0.05181781 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.51634 0.30415 4.9855 1.718e-06 *** Output:regressor -2.21670 1.15019 -1.9272 0.05588 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | DE | 0.3289 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.1847 -0.6841 -0.3051 0.6360 2.5126 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.83565 0.15181 5.505 1.61e-07 *** Output:regressor 0.26474 0.03087 8.575 1.27e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8954 on 147 degrees of freedom Output:Multiple R-squared: 0.3334, Adjusted R-squared: 0.3289 Output:F-statistic: 73.54 on 1 and 147 DF, p-value: 1.266e-14 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 58.962 58.962 73.535 1.266e-14 *** Output:Residuals 147 117.868 0.802 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.1948 Output:[1] 5.684397 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.023046441 -0.004103213 Output:regressor -0.004103213 0.000953087 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.83565 0.58863 1.4197 0.15782 Output:regressor 0.26474 0.12337 2.1459 0.03352 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | 0.1902 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.24736 -0.75386 -0.01232 0.53992 2.29273 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.3938 0.1263 11.037 < 2e-16 *** Output:regressor -0.2320 0.0388 -5.981 1.62e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9836 on 147 degrees of freedom Output:Multiple R-squared: 0.1957, Adjusted R-squared: 0.1902 Output:F-statistic: 35.77 on 1 and 147 DF, p-value: 1.616e-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 34.607 34.607 35.769 1.616e-08 *** Output:Residuals 147 142.223 0.968 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.1948 Output:[1] 4.343242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.015948367 0.003772425 Output:regressor 0.003772425 0.001505144 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.39384 1.02097 1.3652 0.1743 Output:regressor -0.23203 0.55486 -0.4182 0.6764 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.1667 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.43607 -0.64441 -0.07545 0.49299 2.43101 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.88927 0.08321 22.704 < 2e-16 *** Output:regressor -0.24790 0.04481 -5.532 1.41e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9978 on 147 degrees of freedom Output:Multiple R-squared: 0.1723, Adjusted R-squared: 0.1667 Output:F-statistic: 30.6 on 1 and 147 DF, p-value: 1.411e-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 30.47 30.4696 30.603 1.411e-07 *** Output:Residuals 147 146.36 0.9957 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.1948 Output:[1] 3.349969 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006924621 0.000697685 Output:regressor 0.000697685 0.002008192 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.88927 0.37371 5.0554 1.259e-06 *** Output:regressor -0.24790 0.18916 -1.3105 0.1921 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for FR
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| FR | FR | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.044e-15 -1.420e-16 -7.940e-17 -4.910e-17 1.552e-14 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.911e-16 1.079e-16 2.698e+00 0.0078 ** Output:regressor 1.000e+00 5.810e-17 1.721e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.294e-15 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.962e+32 on 1 and 147 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 1 495.8 495.8 2.9621e+32 < 2.2e-16 *** Output:Residuals 147 0.0 0.0 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.349969 Output:[1] 3.349969 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.164088e-32 1.172868e-33 Output:regressor 1.172868e-33 3.375942e-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) 2.9105e-16 1.0922e-16 2.6647e+00 0.008566 ** Output:regressor 1.0000e+00 3.1605e-17 3.1640e+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 | 0.7501 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.92645 -0.56679 0.06843 0.41319 2.82019 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.56111 0.11748 13.29 <2e-16 *** Output:regressor 0.76148 0.03609 21.10 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.915 on 147 degrees of freedom Output:Multiple R-squared: 0.7518, Adjusted R-squared: 0.7501 Output:F-statistic: 445.2 on 1 and 147 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 1 372.73 372.73 445.2 < 2.2e-16 *** Output:Residuals 147 123.07 0.84 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.349969 Output:[1] 4.343242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.013800526 0.003264375 Output:regressor 0.003264375 0.001302439 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.56111 1.80332 0.8657 0.3881 Output:regressor 0.76148 0.75581 1.0075 0.3154 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.5727 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-4.1262 -0.5727 0.3540 0.6756 2.2184 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.31502 0.21251 10.89 <2e-16 *** Output:regressor 0.39586 0.02803 14.12 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.196 on 147 degrees of freedom Output:Multiple R-squared: 0.5756, Adjusted R-squared: 0.5727 Output:F-statistic: 199.4 on 1 and 147 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 1 285.39 285.388 199.38 < 2.2e-16 *** Output:Residuals 147 210.41 1.431 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.349969 Output:[1] 12.30547 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.045158639 0.0052859843 Output:regressor 0.005285984 0.0007859301 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.31502 0.68470 3.3811 0.000925 *** Output:regressor 0.39586 0.16402 2.4135 0.017032 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.1667 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.1859 -0.4307 0.2911 0.7366 3.1780 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.0256 0.2834 3.618 0.000407 *** Output:regressor -0.6951 0.1256 -5.532 1.41e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.671 on 147 degrees of freedom Output:Multiple R-squared: 0.1723, Adjusted R-squared: 0.1667 Output:F-statistic: 30.6 on 1 and 147 DF, p-value: 1.411e-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 85.43 85.430 30.603 1.411e-07 *** Output:Residuals 147 410.37 2.792 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.349969 Output:[1] 1.1948 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.08033869 -0.03118526 Output:regressor -0.03118526 0.01578687 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.02561 2.74327 0.3739 0.7090 Output:regressor -0.69507 0.86300 -0.8054 0.4219 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.0113 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.6429 -0.6997 0.1466 0.7422 3.7489 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.1826 0.1797 -1.016 0.311 Output:regressor 0.7959 0.4845 1.643 0.103 Output: Output:Residual standard error: 1.82 on 147 degrees of freedom Output:Multiple R-squared: 0.01803, Adjusted R-squared: 0.01135 Output:F-statistic: 2.699 on 1 and 147 DF, p-value: 0.1026 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 8.94 8.9387 2.6989 0.1026 Output:Residuals 147 486.86 3.3120 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.349969 Output:[1] 0.09534775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03229320 0.04860379 Output:regressor 0.04860379 0.23469925 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.18260 2.06880 -0.0883 0.9298 Output:regressor 0.79589 3.75915 0.2117 0.8326 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.0098 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-4.8972 -0.8602 -0.2542 0.8260 4.2667 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.77150 0.30878 -2.499 0.0136 * Output:regressor 0.09851 0.06279 1.569 0.1189 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.821 on 147 degrees of freedom Output:Multiple R-squared: 0.01647, Adjusted R-squared: 0.009774 Output:F-statistic: 2.461 on 1 and 147 DF, p-value: 0.1189 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 8.16 8.1634 2.4609 0.1189 Output:Residuals 147 487.63 3.3172 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.349969 Output:[1] 5.684397 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.09534548 -0.016975410 Output:regressor -0.01697541 0.003943018 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.771505 1.391152 -0.5546 0.5800 Output:regressor 0.098506 0.180634 0.5453 0.5864 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.0085 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.8339 -0.6873 0.1935 0.7739 3.9085 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.05342 0.30504 0.175 0.861 Output:regressor -0.09581 0.06358 -1.507 0.134 Output: Output:Residual standard error: 1.822 on 147 degrees of freedom Output:Multiple R-squared: 0.01521, Adjusted R-squared: 0.008513 Output:F-statistic: 2.271 on 1 and 147 DF, p-value: 0.134 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 7.54 7.5419 2.2707 0.134 Output:Residuals 147 488.25 3.3215 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.349969 Output:[1] 5.550992 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.09305009 -0.016913639 Output:regressor -0.01691364 0.004042926 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.053416 1.237017 0.0432 0.9656 Output:regressor -0.095813 0.216093 -0.4434 0.6581 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for GB
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| GB | GB | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.858e-16 -4.230e-17 -2.870e-17 -1.490e-17 4.411e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.183e-16 3.627e-17 6.018e+00 1.35e-08 *** Output:regressor 1.000e+00 9.779e-17 1.023e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.674e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.046e+32 on 1 and 147 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 14.111 14.111 1.0457e+32 < 2.2e-16 *** Output:Residuals 147 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] 0.09534775 Output:[1] 0.09534775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output: (Intercept) regressor Output:(Intercept) 1.315815e-33 1.980404e-33 Output:regressor 1.980404e-33 9.563029e-33 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.1829e-16 4.1501e-17 5.2598e+00 5e-07 *** Output:regressor 1.0000e+00 6.4729e-17 1.5449e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.5415 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.34798 -0.16874 -0.03511 0.17800 0.48107 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.197529 0.034996 5.644 8.28e-08 *** Output:regressor -0.096717 0.007295 -13.258 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2091 on 147 degrees of freedom Output:Multiple R-squared: 0.5446, Adjusted R-squared: 0.5415 Output:F-statistic: 175.8 on 1 and 147 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 7.6850 7.6850 175.79 < 2.2e-16 *** Output:Residuals 147 6.4265 0.0437 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09534775 Output:[1] 5.550992 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001224746 -2.226210e-04 Output:regressor -0.000222621 5.321388e-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) 0.197529 0.201994 0.9779 0.3297 Output:regressor -0.096717 0.064799 -1.4926 0.1377 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.4998 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.36759 -0.17653 -0.04981 0.12611 0.53364 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.188427 0.037025 5.089 1.08e-06 *** Output:regressor -0.091870 0.007529 -12.202 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2184 on 147 degrees of freedom Output:Multiple R-squared: 0.5032, Adjusted R-squared: 0.4998 Output:F-statistic: 148.9 on 1 and 147 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 7.1006 7.1006 148.88 < 2.2e-16 *** Output:Residuals 147 7.0109 0.0477 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09534775 Output:[1] 5.684397 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0013708239 -2.440629e-04 Output:regressor -0.0002440629 5.669051e-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) 0.18843 1.06161 0.1775 0.8594 Output:regressor -0.09187 0.23744 -0.3869 0.6994 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.3880 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.46016 -0.17540 0.04788 0.20164 0.49609 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.14235 0.04098 3.474 0.000675 *** Output:regressor -0.17690 0.01817 -9.738 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2416 on 147 degrees of freedom Output:Multiple R-squared: 0.3921, Adjusted R-squared: 0.388 Output:F-statistic: 94.83 on 1 and 147 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 5.5335 5.5335 94.828 < 2.2e-16 *** Output:Residuals 147 8.5780 0.0584 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09534775 Output:[1] 1.1948 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0016793368 -0.0006518722 Output:regressor -0.0006518722 0.0003299964 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.14235 0.12772 1.1146 0.266848 Output:regressor -0.17690 0.05778 -3.0616 0.002618 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.2509 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.4709 -0.1923 -0.0393 0.1958 0.5204 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.092449 0.047470 1.948 0.0534 . Output:regressor 0.044536 0.006262 7.112 4.64e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2673 on 147 degrees of freedom Output:Multiple R-squared: 0.256, Adjusted R-squared: 0.2509 Output:F-statistic: 50.58 on 1 and 147 DF, p-value: 4.642e-11 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.6123 3.6123 50.576 4.642e-11 *** Output:Residuals 147 10.4992 0.0714 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09534775 Output:[1] 12.30547 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0022533826 2.637667e-04 Output:regressor 0.0002637667 3.921733e-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) 0.092449 0.226483 0.4082 0.6837 Output:regressor 0.044536 0.110621 0.4026 0.6878 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.0113 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.53123 -0.26661 0.00396 0.29063 0.59104 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.19922 0.02560 -7.781 1.17e-12 *** Output:regressor 0.02265 0.01379 1.643 0.103 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.307 on 147 degrees of freedom Output:Multiple R-squared: 0.01803, Adjusted R-squared: 0.01135 Output:F-statistic: 2.699 on 1 and 147 DF, p-value: 0.1026 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2544 0.254415 2.6989 0.1026 Output:Residuals 147 13.8571 0.094266 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09534775 Output:[1] 3.349969 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.556042e-04 6.605491e-05 Output:regressor 6.605491e-05 1.901301e-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) -0.199220 0.214058 -0.9307 0.3535 Output:regressor 0.022653 0.341786 0.0663 0.9472 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.0036 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.54120 -0.26365 0.00705 0.30404 0.56563 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.16935 0.03957 -4.279 3.36e-05 *** Output:regressor 0.01506 0.01216 1.239 0.217 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3082 on 147 degrees of freedom Output:Multiple R-squared: 0.01033, Adjusted R-squared: 0.003598 Output:F-statistic: 1.534 on 1 and 147 DF, p-value: 0.2174 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.1458 0.145779 1.5344 0.2174 Output:Residuals 147 13.9657 0.095005 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.09534775 Output:[1] 4.343242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0015660567 0.0003704349 Output:regressor 0.0003704349 0.0001477982 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.169345 0.370761 -0.4568 0.6485 Output:regressor 0.015059 0.311235 0.0484 0.9615 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:-4.135e-16 -1.389e-17 4.280e-18 1.646e-17 2.128e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 9.410e-18 0.000e+00 1 Output:regressor 1.000e+00 2.891e-18 3.459e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.329e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.197e+35 on 1 and 147 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 1 642.8 642.8 1.1967e+35 < 2.2e-16 *** Output:Residuals 147 0.0 0.0 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Error:Warning message: Error:In anova.lm(ols) : Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.343242 Output:[1] 4.343242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.854619e-35 2.094471e-35 Output:regressor 2.094471e-35 8.356640e-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) 0.0000e+00 1.0051e-17 0.0000e+00 1 Output:regressor 1.0000e+00 4.2683e-18 2.3428e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | 0.7501 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.5441 -0.5962 -0.1088 0.5584 2.3777 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.16336 0.08689 -24.9 <2e-16 *** Output:regressor 0.98726 0.04679 21.1 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.042 on 147 degrees of freedom Output:Multiple R-squared: 0.7518, Adjusted R-squared: 0.7501 Output:F-statistic: 445.2 on 1 and 147 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 1 483.24 483.24 445.2 < 2.2e-16 *** Output:Residuals 147 159.56 1.09 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.343242 Output:[1] 3.349969 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0075490897 0.0007606028 Output:regressor 0.0007606028 0.0021892927 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.16336 0.47861 -4.5201 1.262e-05 *** Output:regressor 0.98726 0.29860 3.3063 0.001188 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.6417 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.5291 -0.5561 0.2406 0.8524 2.1736 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.70065 0.22156 3.162 0.0019 ** Output:regressor 0.47682 0.02923 16.313 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.247 on 147 degrees of freedom Output:Multiple R-squared: 0.6442, Adjusted R-squared: 0.6417 Output:F-statistic: 266.1 on 1 and 147 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 1 414.07 414.07 266.11 < 2.2e-16 *** Output:Residuals 147 228.73 1.56 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.343242 Output:[1] 12.30547 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.049090998 0.005746281 Output:regressor 0.005746281 0.000854368 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.70065 1.51698 0.4619 0.6449 Output:regressor 0.47682 0.47701 0.9996 0.3191 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | 0.1902 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.9058 -0.0023 0.5281 1.1550 2.5944 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.8402 0.3181 -2.641 0.00916 ** Output:regressor -0.8435 0.1410 -5.981 1.62e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.875 on 147 degrees of freedom Output:Multiple R-squared: 0.1957, Adjusted R-squared: 0.1902 Output:F-statistic: 35.77 on 1 and 147 DF, p-value: 1.616e-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 1 125.8 125.801 35.769 1.616e-08 *** Output:Residuals 147 517.0 3.517 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.343242 Output:[1] 1.1948 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.10121477 -0.03928878 Output:regressor -0.03928878 0.01988911 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.84020 7.78722 -0.1079 0.9142 Output:regressor -0.84346 2.16151 -0.3902 0.6969 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.0263 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-4.3481 -1.2572 -0.3368 1.7683 3.1884 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -3.1884 0.3487 -9.145 4.53e-16 *** Output:regressor 0.1584 0.0709 2.234 0.027 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.056 on 147 degrees of freedom Output:Multiple R-squared: 0.03285, Adjusted R-squared: 0.02627 Output:F-statistic: 4.993 on 1 and 147 DF, p-value: 0.02697 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 21.11 21.1141 4.9925 0.02697 * Output:Residuals 147 621.69 4.2292 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.343242 Output:[1] 5.684397 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.12155664 -0.021642073 Output:regressor -0.02164207 0.005026983 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -3.18839 3.55410 -0.8971 0.3711 Output:regressor 0.15842 0.60422 0.2622 0.7935 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.0036 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.3446 -1.0371 0.2949 1.5817 2.5452 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.3643 0.2054 -11.510 <2e-16 *** Output:regressor 0.6860 0.5538 1.239 0.217 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.08 on 147 degrees of freedom Output:Multiple R-squared: 0.01033, Adjusted R-squared: 0.003598 Output:F-statistic: 1.534 on 1 and 147 DF, p-value: 0.2174 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.64 6.6404 1.5344 0.2174 Output:Residuals 147 636.16 4.3276 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.343242 Output:[1] 0.09534775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.04219644 0.06350893 Output:regressor 0.06350893 0.30667361 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.36430 4.56271 -0.5182 0.6051 Output:regressor 0.68598 7.80633 0.0879 0.9301 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 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:-5.4560 -0.9710 0.2074 1.7306 2.7877 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.14487 0.34833 -6.158 6.7e-09 *** Output:regressor -0.08641 0.07261 -1.190 0.236 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.081 on 147 degrees of freedom Output:Multiple R-squared: 0.009543, Adjusted R-squared: 0.002805 Output:F-statistic: 1.416 on 1 and 147 DF, p-value: 0.2359 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.13 6.1339 1.4163 0.2359 Output:Residuals 147 636.67 4.3311 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 4.343242 Output:[1] 5.550992 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.12133413 -0.022054806 Output:regressor -0.02205481 0.005271837 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.144867 3.476408 -0.6170 0.5382 Output:regressor -0.086408 0.914393 -0.0945 0.9248 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:-1.574e-14 -2.530e-17 9.990e-17 2.028e-16 1.405e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.910e-15 2.221e-16 -1.311e+01 <2e-16 *** Output:regressor 1.000e+00 4.630e-17 2.160e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.327e-15 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.666e+32 on 1 and 147 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 1 821.55 821.55 4.6658e+32 < 2.2e-16 *** Output:Residuals 147 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] 5.550992 Output:[1] 5.550992 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.932773e-32 -8.966262e-33 Output:regressor -8.966262e-33 2.143237e-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) -2.9105e-15 4.1488e-16 -7.0153e+00 7.794e-11 *** Output:regressor 1.0000e+00 7.5360e-17 1.3270e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.8480 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.7879 -0.6978 -0.2650 0.8000 2.3837 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.26333 0.15571 1.691 0.0929 . Output:regressor 0.91057 0.03166 28.757 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9184 on 147 degrees of freedom Output:Multiple R-squared: 0.8491, Adjusted R-squared: 0.848 Output:F-statistic: 827 on 1 and 147 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 1 697.55 697.55 826.96 < 2.2e-16 *** Output:Residuals 147 124.00 0.84 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.550992 Output:[1] 5.684397 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.024244641 -0.004316542 Output:regressor -0.004316542 0.001002639 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.26333 2.61217 0.1008 0.91984 Output:regressor 0.91057 0.48481 1.8782 0.06233 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.5898 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.2938 -0.9863 0.0176 1.0755 3.1580 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.9058 0.2560 3.539 0.000539 *** Output:regressor 1.6593 0.1135 14.623 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.509 on 147 degrees of freedom Output:Multiple R-squared: 0.5926, Adjusted R-squared: 0.5898 Output:F-statistic: 213.8 on 1 and 147 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 1 486.85 486.85 213.83 < 2.2e-16 *** Output:Residuals 147 334.69 2.28 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.550992 Output:[1] 1.1948 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.06552426 -0.02543471 Output:regressor -0.02543471 0.01287578 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.90578 2.20664 0.4105 0.68205 Output:regressor 1.65928 0.71418 2.3233 0.02153 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.5415 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.7302 -0.6839 0.0593 0.9357 3.4482 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.0174 0.1575 19.15 <2e-16 *** Output:regressor -5.6307 0.4247 -13.26 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.595 on 147 degrees of freedom Output:Multiple R-squared: 0.5446, Adjusted R-squared: 0.5415 Output:F-statistic: 175.8 on 1 and 147 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 1 447.41 447.41 175.79 < 2.2e-16 *** Output:Residuals 147 374.14 2.55 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.550992 Output:[1] 0.09534775 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02481673 0.03735111 Output:regressor 0.03735111 0.18036203 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.0174 1.3624 2.2149 0.02831 * Output:regressor -5.6307 1.2867 -4.3762 2.277e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.4036 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.6467 -0.8473 0.4279 1.0069 2.3524 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.29956 0.32320 4.021 9.23e-05 *** Output:regressor -0.42879 0.04264 -10.057 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.82 on 147 degrees of freedom Output:Multiple R-squared: 0.4076, Adjusted R-squared: 0.4036 Output:F-statistic: 101.1 on 1 and 147 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 1 334.85 334.85 101.14 < 2.2e-16 *** Output:Residuals 147 486.70 3.31 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.550992 Output:[1] 12.30547 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.10445688 0.012227061 Output:regressor 0.01222706 0.001817943 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.29956 0.58478 2.2223 0.027790 * Output:regressor -0.42879 0.13807 -3.1055 0.002279 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.0085 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.0984 -1.7763 0.1448 2.0477 3.6100 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.1284 0.1956 21.101 <2e-16 *** Output:regressor -0.1588 0.1054 -1.507 0.134 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.346 on 147 degrees of freedom Output:Multiple R-squared: 0.01521, Adjusted R-squared: 0.008513 Output:F-statistic: 2.271 on 1 and 147 DF, p-value: 0.134 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 12.50 12.4972 2.2707 0.134 Output:Residuals 147 809.05 5.5037 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.550992 Output:[1] 3.349969 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.038277715 0.003856642 Output:regressor 0.003856642 0.011100825 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.12836 1.27461 3.2389 0.001484 ** Output:regressor -0.15877 0.35293 -0.4499 0.653478 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | 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:-4.7873 -2.1223 0.4299 2.0477 3.5505 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.9067 0.3021 12.93 <2e-16 *** Output:regressor -0.1104 0.0928 -1.19 0.236 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.353 on 147 degrees of freedom Output:Multiple R-squared: 0.009543, Adjusted R-squared: 0.002805 Output:F-statistic: 1.416 on 1 and 147 DF, p-value: 0.2359 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 7.84 7.8396 1.4163 0.2359 Output:Residuals 147 813.71 5.5354 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 5.550992 Output:[1] 4.343242 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.09124588 0.021583291 Output:regressor 0.02158329 0.008611426 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.90672 1.62233 2.4081 0.01727 * Output:regressor -0.11044 0.42302 -0.2611 0.79441 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:-1.831e-16 -4.760e-17 -2.070e-17 -7.100e-18 3.611e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.455e-16 2.809e-17 5.182e+00 7.14e-07 *** Output:regressor 1.000e+00 3.546e-17 2.820e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.018e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 7.953e+32 on 1 and 147 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 72.45 72.45 7.953e+32 < 2.2e-16 *** Output:Residuals 147 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] 0.4895253 Output:[1] 0.4895253 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 7.887755e-34 4.722719e-34 Output:regressor 4.722719e-34 1.257385e-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) 1.4553e-16 2.7220e-17 5.3463e+00 3.359e-07 *** Output:regressor 1.0000e+00 2.2060e-17 4.5330e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.3887 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.12466 -0.40049 -0.01526 0.27801 1.51260 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.14725 0.05056 -2.912 0.00415 ** Output:regressor 0.72376 0.07422 9.752 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.547 on 147 degrees of freedom Output:Multiple R-squared: 0.3928, Adjusted R-squared: 0.3887 Output:F-statistic: 95.1 on 1 and 147 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 28.459 28.4588 95.098 < 2.2e-16 *** Output:Residuals 147 43.991 0.2993 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4895253 Output:[1] 0.3670874 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002556767 0.001737903 Output:regressor 0.001737903 0.005508267 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.14725 0.31256 -0.4711 0.63827 Output:regressor 0.72376 0.28523 2.5375 0.01221 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.2525 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.11773 -0.46038 -0.03892 0.38428 1.54604 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.84910 0.08278 -10.258 < 2e-16 *** Output:regressor 0.33256 0.04657 7.141 3.96e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6049 on 147 degrees of freedom Output:Multiple R-squared: 0.2576, Adjusted R-squared: 0.2525 Output:F-statistic: 51 on 1 and 147 DF, p-value: 3.957e-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 18.661 18.6606 50.997 3.957e-11 *** Output:Residuals 147 53.789 0.3659 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4895253 Output:[1] 1.140031 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006852098 -0.003087760 Output:regressor -0.003087760 0.002168697 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.84910 0.11834 -7.1753 3.292e-11 *** Output:regressor 0.33256 0.15081 2.2052 0.02899 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.0979 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.26871 -0.39921 -0.07958 0.42434 1.80754 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.06850 0.09215 -0.743 0.458 Output:regressor -1.66494 0.40309 -4.130 6.05e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6645 on 147 degrees of freedom Output:Multiple R-squared: 0.104, Adjusted R-squared: 0.09789 Output:F-statistic: 17.06 on 1 and 147 DF, p-value: 6.051e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 7.534 7.5339 17.06 6.051e-05 *** Output:Residuals 147 64.916 0.4416 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4895253 Output:[1] 0.01836379 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.008491966 -0.02997062 Output:regressor -0.029970623 0.16248362 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.068496 0.551428 -0.1242 0.9013 Output:regressor -1.664936 1.194312 -1.3941 0.1654 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.0845 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.2260 -0.5665 -0.1418 0.4935 1.7526 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.31221 0.05729 -5.450 2.08e-07 *** Output:regressor -0.23141 0.06045 -3.828 0.000191 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6695 on 147 degrees of freedom Output:Multiple R-squared: 0.09065, Adjusted R-squared: 0.08446 Output:F-statistic: 14.65 on 1 and 147 DF, p-value: 0.0001906 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.568 6.5675 14.654 0.0001906 *** Output:Residuals 147 65.882 0.4482 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4895253 Output:[1] 0.8286645 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003282121 -0.001001031 Output:regressor -0.001001031 0.003654354 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.31221 0.39343 -0.7936 0.4287 Output:regressor -0.23141 0.21286 -1.0871 0.2788 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0276 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.9767 -0.5201 -0.1610 0.3519 1.8592 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.07454 0.14360 -0.519 0.604 Output:regressor -0.16563 0.07263 -2.281 0.024 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6899 on 147 degrees of freedom Output:Multiple R-squared: 0.03417, Adjusted R-squared: 0.0276 Output:F-statistic: 5.201 on 1 and 147 DF, p-value: 0.02401 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.476 2.47587 5.2013 0.02401 * Output:Residuals 147 69.974 0.47601 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4895253 Output:[1] 0.6097679 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.020620562 -0.009587229 Output:regressor -0.009587229 0.005274635 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.07454 0.16269 -0.4582 0.6475 Output:regressor -0.16563 0.25977 -0.6376 0.5247 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | -0.0041 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.07234 -0.60797 -0.08324 0.43924 1.81585 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.27337 0.17214 -1.588 0.114 Output:regressor -0.09145 0.14517 -0.630 0.530 Output: Output:Residual standard error: 0.7011 on 147 degrees of freedom Output:Multiple R-squared: 0.002693, Adjusted R-squared: -0.004092 Output:F-statistic: 0.3969 on 1 and 147 DF, p-value: 0.5297 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.195 0.19508 0.3969 0.5297 Output:Residuals 147 72.255 0.49153 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4895253 Output:[1] 0.1576004 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02963199 -0.02355679 Output:regressor -0.02355679 0.02107316 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.273368 0.528994 -0.5168 0.6061 Output:regressor -0.091452 0.419875 -0.2178 0.8279 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:-1.227e-15 -9.790e-17 -6.870e-17 -1.200e-18 1.252e-14 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.455e-15 1.434e-16 1.015e+01 <2e-16 *** Output:regressor 1.000e+00 8.065e-17 1.240e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.048e-15 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.537e+32 on 1 and 147 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 1 168.72 168.72 1.5373e+32 < 2.2e-16 *** Output:Residuals 147 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] 1.140031 Output:[1] 1.140031 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.055313e-32 -9.261855e-33 Output:regressor -9.261855e-33 6.505091e-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) 1.4552e-15 2.4036e-16 6.0543e+00 1.122e-08 *** Output:regressor 1.0000e+00 1.1156e-16 8.9637e+15 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.7005 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.90280 -0.28929 0.09045 0.33271 1.56182 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.88982 0.05401 34.99 <2e-16 *** Output:regressor 1.47709 0.07928 18.63 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5843 on 147 degrees of freedom Output:Multiple R-squared: 0.7025, Adjusted R-squared: 0.7005 Output:F-statistic: 347.2 on 1 and 147 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 1 118.534 118.534 347.17 < 2.2e-16 *** Output:Residuals 147 50.191 0.341 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.140031 Output:[1] 0.3670874 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002917089 0.001982824 Output:regressor 0.001982824 0.006284540 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.8898 0.1299 14.5484 < 2e-16 *** Output:regressor 1.4771 0.7566 1.9523 0.05281 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.2525 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.4825 -0.4676 0.1170 0.7188 1.5434 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.7147 0.0859 19.962 < 2e-16 *** Output:regressor 0.7745 0.1085 7.141 3.96e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9231 on 147 degrees of freedom Output:Multiple R-squared: 0.2576, Adjusted R-squared: 0.2525 Output:F-statistic: 51 on 1 and 147 DF, p-value: 3.957e-11 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 43.458 43.458 50.997 3.957e-11 *** Output:Residuals 147 125.267 0.852 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.140031 Output:[1] 0.4895253 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007378482 0.004417797 Output:regressor 0.004417797 0.011762021 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.71468 0.61729 2.7778 0.006187 ** Output:regressor 0.77449 1.06989 0.7239 0.470282 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.1470 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.3009 -0.3350 0.1610 0.6483 1.4595 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.2488 0.2421 1.028 0.306 Output:regressor 1.0511 0.2042 5.148 8.32e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9861 on 147 degrees of freedom Output:Multiple R-squared: 0.1527, Adjusted R-squared: 0.147 Output:F-statistic: 26.5 on 1 and 147 DF, p-value: 8.324e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 25.769 25.7691 26.498 8.324e-07 *** Output:Residuals 147 142.955 0.9725 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.140031 Output:[1] 0.1576004 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.05862674 -0.04660699 Output:regressor -0.04660699 0.04169313 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.24882 4.32856 0.0575 0.9542 Output:regressor 1.05109 11.08523 0.0948 0.9246 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.0457 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.3013 -0.3903 0.2565 0.7809 1.3216 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.7557 0.1446 12.138 < 2e-16 *** Output:regressor -1.7994 0.6327 -2.844 0.00509 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.043 on 147 degrees of freedom Output:Multiple R-squared: 0.05216, Adjusted R-squared: 0.04571 Output:F-statistic: 8.089 on 1 and 147 DF, p-value: 0.005088 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 8.80 8.8003 8.0891 0.005088 ** Output:Residuals 147 159.92 1.0879 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.140031 Output:[1] 0.01836379 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02092050 -0.07383453 Output:regressor -0.07383453 0.40028868 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.7557 1.8445 0.9518 0.3427 Output:regressor -1.7994 1.8505 -0.9724 0.3324 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.0196 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.1707 -0.1307 0.3723 0.6933 1.1620 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.8259 0.2200 8.298 6.26e-14 *** Output:regressor -0.2212 0.1113 -1.988 0.0487 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.057 on 147 degrees of freedom Output:Multiple R-squared: 0.02618, Adjusted R-squared: 0.01955 Output:F-statistic: 3.952 on 1 and 147 DF, p-value: 0.04868 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 4.417 4.4171 3.9518 0.04868 * Output:Residuals 147 164.307 1.1177 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.140031 Output:[1] 0.6097679 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.04841967 -0.02251202 Output:regressor -0.02251202 0.01238551 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.82591 16.10977 0.1133 0.9099 Output:regressor -0.22124 10.18630 -0.0217 0.9827 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.0008 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.0853 -0.3166 0.3713 0.7561 1.2555 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.39581 0.09133 15.28 <2e-16 *** Output:regressor 0.10212 0.09637 1.06 0.291 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.067 on 147 degrees of freedom Output:Multiple R-squared: 0.00758, Adjusted R-squared: 0.0008291 Output:F-statistic: 1.123 on 1 and 147 DF, p-value: 0.2911 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.279 1.2790 1.1228 0.2911 Output:Residuals 147 167.446 1.1391 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.140031 Output:[1] 0.8286645 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.008341803 -0.002544210 Output:regressor -0.002544210 0.009287867 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.39581 89.98512 0.0155 0.9876 Output:regressor 0.10212 47.20296 0.0022 0.9983 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:-1.674e-15 -4.800e-18 1.284e-17 2.661e-17 2.695e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.366e-16 3.535e-17 -1.235e+01 <2e-16 *** Output:regressor 1.000e+00 2.981e-17 3.355e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.44e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.126e+33 on 1 and 147 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 23.325 23.325 1.1255e+33 < 2.2e-16 *** Output:Residuals 147 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] 0.1576004 Output:[1] 0.1576004 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.249305e-33 -9.931708e-34 Output:regressor -9.931708e-34 8.884590e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.3657e-16 6.9107e-17 -6.3174e+00 2.99e-09 *** Output:regressor 1.0000e+00 5.3475e-17 1.8700e+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 | 0.1470 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.91097 -0.27769 -0.00403 0.27848 0.82797 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.91097 0.05017 18.156 < 2e-16 *** Output:regressor 0.14531 0.02823 5.148 8.32e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3667 on 147 degrees of freedom Output:Multiple R-squared: 0.1527, Adjusted R-squared: 0.147 Output:F-statistic: 26.5 on 1 and 147 DF, p-value: 8.324e-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 3.5624 3.5624 26.498 8.324e-07 *** Output:Residuals 147 19.7625 0.1344 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1576004 Output:[1] 1.140031 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002517505 -0.0011344629 Output:regressor -0.001134463 0.0007967933 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.91097 0.36873 2.4706 0.01463 * Output:regressor 0.14531 0.20836 0.6974 0.48666 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.0636 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.26071 -0.20085 0.03161 0.25139 0.79409 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.26071 0.05327 23.665 < 2e-16 *** Output:regressor -0.77449 0.23303 -3.324 0.00112 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3842 on 147 degrees of freedom Output:Multiple R-squared: 0.06989, Adjusted R-squared: 0.06357 Output:F-statistic: 11.05 on 1 and 147 DF, p-value: 0.001122 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.6302 1.63024 11.046 0.001122 ** Output:Residuals 147 21.6946 0.14758 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1576004 Output:[1] 0.01836379 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.00283798 -0.01001606 Output:regressor -0.01001606 0.05430136 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.26071 0.10954 11.5091 <2e-16 *** Output:regressor -0.77449 0.68733 -1.1268 0.2617 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.0472 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.16573 -0.27737 0.03781 0.29363 0.77171 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.16573 0.03582 32.546 < 2e-16 *** Output:regressor 0.15174 0.05257 2.886 0.00449 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3875 on 147 degrees of freedom Output:Multiple R-squared: 0.05363, Adjusted R-squared: 0.04719 Output:F-statistic: 8.33 on 1 and 147 DF, p-value: 0.004488 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.2509 1.25086 8.33 0.004488 ** Output:Residuals 147 22.0740 0.15016 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1576004 Output:[1] 0.3670874 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0012829471 0.0008720535 Output:regressor 0.0008720535 0.0027639651 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.165732 0.081387 14.3233 <2e-16 *** Output:regressor 0.151736 0.272003 0.5578 0.5778 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.0223 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.09755 -0.21491 0.03465 0.29820 0.72204 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.09755 0.03359 32.673 <2e-16 *** Output:regressor 0.07413 0.03545 2.091 0.0382 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3925 on 147 degrees of freedom Output:Multiple R-squared: 0.02889, Adjusted R-squared: 0.02229 Output:F-statistic: 4.374 on 1 and 147 DF, p-value: 0.03822 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.6739 0.67392 4.3736 0.03822 * Output:Residuals 147 22.6509 0.15409 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1576004 Output:[1] 0.8286645 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0011284238 -0.0003441639 Output:regressor -0.0003441639 0.0012564011 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.097552 0.126338 8.6874 6.606e-15 *** Output:regressor 0.074128 0.144303 0.5137 0.6082 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | -0.0003 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.07951 -0.22804 0.02655 0.30652 0.67423 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.04376 0.08264 12.630 <2e-16 *** Output:regressor 0.04076 0.04180 0.975 0.331 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3971 on 147 degrees of freedom Output:Multiple R-squared: 0.006429, Adjusted R-squared: -0.0003295 Output:F-statistic: 0.9512 on 1 and 147 DF, p-value: 0.331 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.150 0.14997 0.9512 0.331 Output:Residuals 147 23.175 0.15765 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1576004 Output:[1] 0.6097679 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006829395 -0.003175227 Output:regressor -0.003175227 0.001746924 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.043764 0.165619 6.3022 3.229e-09 *** Output:regressor 0.040765 0.110687 0.3683 0.7132 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | -0.0041 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.10680 -0.22738 0.03084 0.30681 0.68211 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.10680 0.03702 29.90 <2e-16 *** Output:regressor -0.02944 0.04674 -0.63 0.53 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3978 on 147 degrees of freedom Output:Multiple R-squared: 0.002693, Adjusted R-squared: -0.004092 Output:F-statistic: 0.3969 on 1 and 147 DF, p-value: 0.5297 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0628 0.062804 0.3969 0.5297 Output:Residuals 147 23.2621 0.158245 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1576004 Output:[1] 0.4895253 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0013701839 0.0008203848 Output:regressor 0.0008203848 0.0021842070 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.106799 0.083645 13.2321 <2e-16 *** Output:regressor -0.029443 0.132682 -0.2219 0.8247 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:-7.743e-15 4.240e-17 6.600e-17 7.540e-17 9.287e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.819e-16 5.555e-17 3.275e+00 0.00132 ** Output:regressor 1.000e+00 5.861e-17 1.706e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 6.491e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.911e+32 on 1 and 147 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 1 122.64 122.64 2.911e+32 < 2.2e-16 *** Output:Residuals 147 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] 0.8286645 Output:[1] 0.8286645 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.085369e-33 -9.410228e-34 Output:regressor -9.410228e-34 3.435289e-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) 1.8191e-16 4.2660e-17 4.2641e+00 3.574e-05 *** Output:regressor 1.0000e+00 2.4536e-17 4.0756e+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 | 0.0845 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.23741 -0.56403 0.01224 0.64890 1.64913 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.12680 0.08105 1.564 0.119868 Output:regressor -0.39173 0.10233 -3.828 0.000191 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.871 on 147 degrees of freedom Output:Multiple R-squared: 0.09065, Adjusted R-squared: 0.08446 Output:F-statistic: 14.65 on 1 and 147 DF, p-value: 0.0001906 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 11.117 11.1174 14.654 0.0001906 *** Output:Residuals 147 111.525 0.7587 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.8286645 Output:[1] 0.4895253 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006569054 0.003933159 Output:regressor 0.003933159 0.010471714 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.12680 0.66544 0.1905 0.8491 Output:regressor -0.39173 0.45465 -0.8616 0.3903 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.0223 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.36472 -0.51219 0.00536 0.59299 1.59962 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.1618 0.2210 -0.732 0.4653 Output:regressor 0.3898 0.1864 2.091 0.0382 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9001 on 147 degrees of freedom Output:Multiple R-squared: 0.02889, Adjusted R-squared: 0.02229 Output:F-statistic: 4.374 on 1 and 147 DF, p-value: 0.03822 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.543 3.5435 4.3736 0.03822 * Output:Residuals 147 119.099 0.8102 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.8286645 Output:[1] 0.1576004 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.04884302 -0.03882915 Output:regressor -0.03882915 0.03473532 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.16178 0.83346 -0.1941 0.8464 Output:regressor 0.38977 1.35747 0.2871 0.7744 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.0188 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.15579 -0.58684 -0.09063 0.70332 1.75366 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.19834 0.08335 2.380 0.0186 * Output:regressor -0.23957 0.12234 -1.958 0.0521 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9017 on 147 degrees of freedom Output:Multiple R-squared: 0.02543, Adjusted R-squared: 0.0188 Output:F-statistic: 3.835 on 1 and 147 DF, p-value: 0.05209 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.118 3.11819 3.835 0.05209 . Output:Residuals 147 119.524 0.81309 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.8286645 Output:[1] 0.3670874 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006946778 0.004721911 Output:regressor 0.004721911 0.014966052 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.19834 0.94556 0.2098 0.8341 Output:regressor -0.23957 3.27026 -0.0733 0.9417 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.0126 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.28656 -0.51989 -0.08129 0.60362 1.71130 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.1021 0.1254 0.814 0.4168 Output:regressor 0.9314 0.5487 1.697 0.0917 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9046 on 147 degrees of freedom Output:Multiple R-squared: 0.01922, Adjusted R-squared: 0.01255 Output:F-statistic: 2.881 on 1 and 147 DF, p-value: 0.09173 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.358 2.35762 2.8812 0.09173 . Output:Residuals 147 120.285 0.81826 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.8286645 Output:[1] 0.01836379 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01573504 -0.05553355 Output:regressor -0.05553355 0.30107122 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.10213 0.76789 0.1330 0.8944 Output:regressor 0.93138 1.75210 0.5316 0.5958 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.0008 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.28991 -0.50902 -0.07389 0.60157 1.67542 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.16824 0.12452 1.351 0.179 Output:regressor 0.07423 0.07005 1.060 0.291 Output: Output:Residual standard error: 0.9099 on 147 degrees of freedom Output:Multiple R-squared: 0.00758, Adjusted R-squared: 0.0008291 Output:F-statistic: 1.123 on 1 and 147 DF, p-value: 0.2911 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.93 0.92965 1.1228 0.2911 Output:Residuals 147 121.71 0.82798 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.8286645 Output:[1] 1.140031 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.015504751 -0.006986904 Output:regressor -0.006986904 0.004907272 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.168243 0.408751 0.4116 0.6812 Output:regressor 0.074229 0.318320 0.2332 0.8159 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | -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:-2.2639 -0.4676 -0.1694 0.6013 1.7067 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.29382 0.19010 1.546 0.124 Output:regressor -0.01094 0.09615 -0.114 0.910 Output: Output:Residual standard error: 0.9134 on 147 degrees of freedom Output:Multiple R-squared: 8.813e-05, Adjusted R-squared: -0.006714 Output:F-statistic: 0.01296 on 1 and 147 DF, p-value: 0.9095 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.011 0.01081 0.013 0.9095 Output:Residuals 147 122.632 0.83423 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.8286645 Output:[1] 0.6097679 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03613822 -0.016801936 Output:regressor -0.01680194 0.009243972 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.293820 0.678665 0.4329 0.6657 Output:regressor -0.010944 0.494710 -0.0221 0.9824 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:-1.218e-15 1.510e-18 8.760e-18 1.467e-17 1.185e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.819e-16 1.418e-17 -1.282e+01 <2e-16 *** Output:regressor 1.000e+00 6.204e-17 1.612e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.023e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.598e+32 on 1 and 147 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 2.7178 2.7178 2.5978e+32 < 2.2e-16 *** Output:Residuals 147 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] 0.01836379 Output:[1] 0.01836379 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.011827e-34 -7.100325e-34 Output:regressor -7.100325e-34 3.849391e-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) -1.8191e-16 2.3756e-17 -7.6572e+00 2.337e-12 *** Output:regressor 1.0000e+00 8.4247e-17 1.1870e+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 | 0.0979 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.20866 -0.11071 0.01761 0.09769 0.30235 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.16099 0.01198 13.44 < 2e-16 *** Output:regressor -0.06246 0.01512 -4.13 6.05e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1287 on 147 degrees of freedom Output:Multiple R-squared: 0.104, Adjusted R-squared: 0.09789 Output:F-statistic: 17.06 on 1 and 147 DF, p-value: 6.051e-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 0.28262 0.282622 17.06 6.051e-05 *** Output:Residuals 147 2.43522 0.016566 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01836379 Output:[1] 0.4895253 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.434395e-04 8.588305e-05 Output:regressor 8.588305e-05 2.286566e-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) 0.160994 0.036752 4.3806 2.238e-05 *** Output:regressor -0.062457 0.068392 -0.9132 0.3626 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.0868 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.221620 -0.108312 -0.002475 0.102713 0.290526 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.16293 0.01197 13.612 < 2e-16 *** Output:regressor -0.06820 0.01757 -3.882 0.000156 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1295 on 147 degrees of freedom Output:Multiple R-squared: 0.09298, Adjusted R-squared: 0.08681 Output:F-statistic: 15.07 on 1 and 147 DF, p-value: 0.000156 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.25271 0.25271 15.07 0.000156 *** Output:Residuals 147 2.46513 0.01677 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01836379 Output:[1] 0.3670874 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.432740e-04 9.738719e-05 Output:regressor 9.738719e-05 3.086678e-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) 0.162935 0.039398 4.1356 5.929e-05 *** Output:regressor -0.068202 0.185954 -0.3668 0.7143 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.0636 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.285333 -0.101229 -0.004297 0.089305 0.271445 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.28533 0.03220 8.862 2.39e-15 *** Output:regressor -0.09024 0.02715 -3.324 0.00112 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1311 on 147 degrees of freedom Output:Multiple R-squared: 0.06989, Adjusted R-squared: 0.06357 Output:F-statistic: 11.05 on 1 and 147 DF, p-value: 0.001122 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.18996 0.189957 11.046 0.001122 ** Output:Residuals 147 2.52788 0.017196 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01836379 Output:[1] 0.1576004 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0010366970 -0.0008241517 Output:regressor -0.0008241517 0.0007372599 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.285333 0.091263 3.1265 0.002133 ** Output:regressor -0.090244 0.073717 -1.2242 0.222838 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.0457 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.233067 -0.112432 -0.000355 0.102773 0.295199 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.22572 0.01812 12.460 < 2e-16 *** Output:regressor -0.02899 0.01019 -2.844 0.00509 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1324 on 147 degrees of freedom Output:Multiple R-squared: 0.05216, Adjusted R-squared: 0.04571 Output:F-statistic: 8.089 on 1 and 147 DF, p-value: 0.005088 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.14176 0.141756 8.0891 0.005088 ** Output:Residuals 147 2.57608 0.017524 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01836379 Output:[1] 1.140031 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003281625 -0.0001478799 Output:regressor -0.0001478799 0.0001038638 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.225722 0.165794 1.3615 0.1754 Output:regressor -0.028986 0.076807 -0.3774 0.7064 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.0126 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.23170 -0.11582 -0.00506 0.09603 0.34517 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.17880 0.01152 15.516 <2e-16 *** Output:regressor 0.02064 0.01216 1.697 0.0917 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1347 on 147 degrees of freedom Output:Multiple R-squared: 0.01922, Adjusted R-squared: 0.01255 Output:F-statistic: 2.881 on 1 and 147 DF, p-value: 0.09173 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.05225 0.052246 2.8812 0.09173 . Output:Residuals 147 2.66559 0.018133 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01836379 Output:[1] 0.8286645 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.327945e-04 -4.050169e-05 Output:regressor -4.050169e-05 1.478551e-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) 0.178799 0.047753 3.7443 0.000259 *** Output:regressor 0.020640 0.041894 0.4927 0.622982 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | -0.0052 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.24995 -0.12215 -0.01224 0.10697 0.33674 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.172004 0.028278 6.082 9.76e-09 *** Output:regressor 0.006849 0.014302 0.479 0.633 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1359 on 147 degrees of freedom Output:Multiple R-squared: 0.001558, Adjusted R-squared: -0.005234 Output:F-statistic: 0.2294 on 1 and 147 DF, p-value: 0.6327 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00423 0.0042339 0.2294 0.6327 Output:Residuals 147 2.71361 0.0184599 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01836379 Output:[1] 0.6097679 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0007996710 -0.0003717954 Output:regressor -0.0003717954 0.0002045518 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.1720036 0.0579355 2.9689 0.003491 ** Output:regressor 0.0068495 0.0372280 0.1840 0.854278 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:-1.065e-15 -7.780e-17 -3.880e-17 1.940e-17 8.440e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.037e-15 1.488e-16 1.369e+01 <2e-16 *** Output:regressor 1.000e+00 7.526e-17 1.329e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.149e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.766e+32 on 1 and 147 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 90.246 90.246 1.7656e+32 < 2.2e-16 *** Output:Residuals 147 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] 0.6097679 Output:[1] 0.6097679 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.214237e-32 -1.029477e-32 Output:regressor -1.029477e-32 5.663907e-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) 2.0373e-15 3.4757e-16 5.8617e+00 2.899e-08 *** Output:regressor 1.0000e+00 1.6190e-16 6.1768e+15 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.0928 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.6935 -0.2968 0.2676 0.5172 1.3225 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.68971 0.06875 24.579 < 2e-16 *** Output:regressor -0.40539 0.10091 -4.017 9.36e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7438 on 147 degrees of freedom Output:Multiple R-squared: 0.09893, Adjusted R-squared: 0.0928 Output:F-statistic: 16.14 on 1 and 147 DF, p-value: 9.356e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 8.928 8.9284 16.14 9.356e-05 *** Output:Residuals 147 81.317 0.5532 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6097679 Output:[1] 0.3670874 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004726183 0.003212513 Output:regressor 0.003212513 0.010182028 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.68971 0.39447 4.2835 3.308e-05 *** Output:regressor -0.40539 0.45126 -0.8984 0.3705 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.0276 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.8517 -0.2476 0.1948 0.5241 1.3652 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.74012 0.07165 24.286 <2e-16 *** Output:regressor -0.20632 0.09047 -2.281 0.024 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.77 on 147 degrees of freedom Output:Multiple R-squared: 0.03417, Adjusted R-squared: 0.0276 Output:F-statistic: 5.201 on 1 and 147 DF, p-value: 0.02401 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.084 3.08402 5.2013 0.02401 * Output:Residuals 147 87.162 0.59294 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6097679 Output:[1] 0.4895253 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005134004 0.003073936 Output:regressor 0.003073936 0.008184103 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.74012 0.40665 4.2791 3.366e-05 *** Output:regressor -0.20632 0.31012 -0.6653 0.5069 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.0196 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.9861 -0.2179 0.1785 0.4868 1.5229 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.98609 0.10581 18.771 <2e-16 *** Output:regressor -0.11833 0.05953 -1.988 0.0487 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7732 on 147 degrees of freedom Output:Multiple R-squared: 0.02618, Adjusted R-squared: 0.01955 Output:F-statistic: 3.952 on 1 and 147 DF, p-value: 0.04868 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.363 2.36258 3.9518 0.04868 * Output:Residuals 147 87.883 0.59784 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6097679 Output:[1] 1.140031 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.011195257 -0.005044918 Output:regressor -0.005044918 0.003543313 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.98609 0.18238 10.8898 <2e-16 *** Output:regressor -0.11833 0.23703 -0.4992 0.6184 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | -0.0003 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.8945 -0.1398 0.2065 0.4662 1.5278 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.6413 0.1918 8.559 1.39e-14 *** Output:regressor 0.1577 0.1617 0.975 0.331 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.781 on 147 degrees of freedom Output:Multiple R-squared: 0.006429, Adjusted R-squared: -0.0003295 Output:F-statistic: 0.9512 on 1 and 147 DF, p-value: 0.331 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.580 0.58023 0.9512 0.331 Output:Residuals 147 89.665 0.60997 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6097679 Output:[1] 0.1576004 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03677222 -0.02923312 Output:regressor -0.02923312 0.02615102 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.64130 0.48694 3.3707 0.0009581 *** Output:regressor 0.15772 0.44233 0.3566 0.7219273 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | -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:-1.8496 -0.1439 0.1564 0.4837 1.5610 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.7757 0.1086 16.355 <2e-16 *** Output:regressor 0.2274 0.4749 0.479 0.633 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7829 on 147 degrees of freedom Output:Multiple R-squared: 0.001558, Adjusted R-squared: -0.005234 Output:F-statistic: 0.2294 on 1 and 147 DF, p-value: 0.6327 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.141 0.14059 0.2294 0.6327 Output:Residuals 147 90.105 0.61296 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6097679 Output:[1] 0.01836379 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01178709 -0.04160007 Output:regressor -0.04160007 0.22553186 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.77566 0.45695 3.8859 0.0001538 *** Output:regressor 0.22744 1.14651 0.1984 0.8430280 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | -0.0067 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.8198 -0.1281 0.1753 0.4282 1.5499 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.819816 0.067048 27.142 <2e-16 *** Output:regressor -0.008053 0.070748 -0.114 0.91 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7835 on 147 degrees of freedom Output:Multiple R-squared: 8.813e-05, Adjusted R-squared: -0.006714 Output:F-statistic: 0.01296 on 1 and 147 DF, p-value: 0.9095 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.008 0.00795 0.013 0.9095 Output:Residuals 147 90.238 0.61386 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6097679 Output:[1] 0.8286645 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004495459 -0.001371094 Output:regressor -0.001371094 0.005005301 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.8198160 0.3761053 4.8386 3.269e-06 *** Output:regressor -0.0080531 0.4059302 -0.0198 0.9842 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:-2.784e-15 -1.000e-19 2.071e-17 3.337e-17 1.956e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.091e-16 2.154e-17 -5.067e+00 1.2e-06 *** Output:regressor 1.000e+00 3.162e-17 3.163e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.33e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1e+33 on 1 and 147 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 54.329 54.329 1.0003e+33 < 2.2e-16 *** Output:Residuals 147 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] 0.3670874 Output:[1] 0.3670874 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.640094e-34 3.153996e-34 Output:regressor 3.153996e-34 9.996561e-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) -1.0914e-16 2.3797e-17 -4.5865e+00 9.576e-06 *** Output:regressor 1.0000e+00 1.7700e-17 5.6498e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Output:[1] "-------------------------------------------------------------------------------------------" Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable | |
| RO | DE | 0.7005 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.86818 -0.12390 0.03252 0.20176 1.00148 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.99269 0.04537 -21.88 <2e-16 *** Output:regressor 0.47562 0.02553 18.63 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3316 on 147 degrees of freedom Output:Multiple R-squared: 0.7025, Adjusted R-squared: 0.7005 Output:F-statistic: 347.2 on 1 and 147 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 38.168 38.168 347.17 < 2.2e-16 *** Output:Residuals 147 16.161 0.110 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.3670874 Output:[1] 1.140031 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0020587499 -0.0009277343 Output:regressor -0.0009277343 0.0006515968 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.992687 0.176045 -5.6388 8.501e-08 *** Output:regressor 0.475618 0.076644 6.2056 5.265e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.3887 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.10899 -0.33133 0.04739 0.36426 0.89903 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.11166 0.04408 -2.533 0.0124 * Output:regressor 0.54273 0.05565 9.752 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4737 on 147 degrees of freedom Output:Multiple R-squared: 0.3928, Adjusted R-squared: 0.3887 Output:F-statistic: 95.1 on 1 and 147 DF, p-value: < 2.2e-16 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 21.341 21.3408 95.098 < 2.2e-16 *** Output:Residuals 147 32.988 0.2244 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.3670874 Output:[1] 0.4895253 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001943070 0.001163395 Output:regressor 0.001163395 0.003097444 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.11166 0.35229 -0.3169 0.7517 Output:regressor 0.54273 0.40049 1.3552 0.1774 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.0928 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.3238 -0.3368 0.3218 0.4438 0.6753 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.12808 0.12011 1.066 0.288 Output:regressor -0.24405 0.06075 -4.017 9.36e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5771 on 147 degrees of freedom Output:Multiple R-squared: 0.09893, Adjusted R-squared: 0.0928 Output:F-statistic: 16.14 on 1 and 147 DF, p-value: 9.356e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 5.375 5.375 16.14 9.356e-05 *** Output:Residuals 147 48.954 0.333 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.3670874 Output:[1] 0.6097679 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.014426207 -0.006707255 Output:regressor -0.006707255 0.003690151 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.12808 0.82232 0.1558 0.8764 Output:regressor -0.24405 0.31753 -0.7686 0.4434 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.0868 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.3939 -0.6079 0.2295 0.4061 0.7937 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.06404 0.08029 -0.798 0.426402 Output:regressor -1.36334 0.35120 -3.882 0.000156 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.579 on 147 degrees of freedom Output:Multiple R-squared: 0.09298, Adjusted R-squared: 0.08681 Output:F-statistic: 15.07 on 1 and 147 DF, p-value: 0.000156 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 5.052 5.0516 15.07 0.000156 *** Output:Residuals 147 49.277 0.3352 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.3670874 Output:[1] 0.01836379 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006446208 -0.02275055 Output:regressor -0.022750548 0.12334049 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.064036 0.730017 -0.0877 0.9302 Output:regressor -1.363338 1.590028 -0.8574 0.3926 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.0472 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.3344 -0.6219 0.3010 0.4547 0.7106 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.7106 0.1452 -4.894 2.57e-06 *** Output:regressor 0.3534 0.1225 2.886 0.00449 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5914 on 147 degrees of freedom Output:Multiple R-squared: 0.05363, Adjusted R-squared: 0.04719 Output:F-statistic: 8.33 on 1 and 147 DF, p-value: 0.004488 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.914 2.91353 8.33 0.004488 ** Output:Residuals 147 51.415 0.34976 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.3670874 Output:[1] 0.1576004 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02108570 -0.01676268 Output:regressor -0.01676268 0.01499536 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.71059 1.86678 -0.3807 0.7040 Output:regressor 0.35343 0.51763 0.6828 0.4958 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.0188 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.3364 -0.4475 0.3265 0.4082 0.5320 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.28644 0.05136 -5.577 1.14e-07 *** Output:regressor -0.10613 0.05419 -1.958 0.0521 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6002 on 147 degrees of freedom Output:Multiple R-squared: 0.02543, Adjusted R-squared: 0.0188 Output:F-statistic: 3.835 on 1 and 147 DF, p-value: 0.05209 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.381 1.38132 3.835 0.05209 . Output:Residuals 147 52.948 0.36019 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.3670874 Output:[1] 0.8286645 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002637743 -0.000804499 Output:regressor -0.000804499 0.002936896 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.28644 0.76524 -0.3743 0.7087 Output:regressor -0.10613 0.74797 -0.1419 0.8874 Output: Output:[1] "-------------------------------------------------------------------------------------------" |