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Sentiment Data per Topic: UK
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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:-1.283e-18 -2.299e-19 1.370e-20 1.735e-19 2.767e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 6.117e-20 0.000e+00 1 Output:regressor 1.000e+00 6.824e-18 1.465e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.201e-19 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.148e+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 0.0037898 0.0037898 2.1476e+34 < 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] 2.560692e-05 Output:[1] 2.560692e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.741832e-39 -3.450892e-37 Output:regressor -3.450892e-37 4.656427e-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 8.3159e-20 0.0000e+00 1 Output:regressor 1.0000e+00 9.0679e-18 1.1028e+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] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.6139 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0067055 -0.0019918 -0.0006732 0.0013194 0.0111357 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0024059 0.0004151 5.795 4e-08 *** Output:regressor 0.3213933 0.0209055 15.374 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.003144 on 147 degrees of freedom Output:Multiple R-squared: 0.6165, Adjusted R-squared: 0.6139 Output:F-statistic: 236.3 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 0.0023366 0.00233657 236.35 < 2.2e-16 *** Output:Residuals 147 0.0014532 0.00000989 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.560692e-05 Output:[1] 0.0001528423 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.723417e-07 -6.806072e-06 Output:regressor -6.806072e-06 4.370381e-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) 0.00240591 0.00059345 4.0541 8.131e-05 *** Output:regressor 0.32139330 0.04188610 7.6730 2.139e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.5445 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0121338 -0.0021018 -0.0002057 0.0017344 0.0158067 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.0011666 0.0007013 -1.664 0.0983 . Output:regressor 0.4801117 0.0359927 13.339 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.003415 on 147 degrees of freedom Output:Multiple R-squared: 0.5476, Adjusted R-squared: 0.5445 Output:F-statistic: 177.9 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 0.0020753 0.00207530 177.93 < 2.2e-16 *** Output:Residuals 147 0.0017145 0.00001166 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.560692e-05 Output:[1] 6.083236e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.917801e-07 -2.314482e-05 Output:regressor -2.314482e-05 1.295478e-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) -0.0011666 0.0015670 -0.7444 0.4578 Output:regressor 0.4801117 0.0993792 4.8311 3.377e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 0.3499 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0120597 -0.0024275 -0.0008721 0.0021458 0.0193270 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.001158 0.001011 -1.145 0.254 Output:regressor 1.609748 0.179250 8.980 1.19e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00408 on 147 degrees of freedom Output:Multiple R-squared: 0.3543, Adjusted R-squared: 0.3499 Output:F-statistic: 80.65 on 1 and 147 DF, p-value: 1.193e-15 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0013426 0.00134262 80.649 1.193e-15 *** Output:Residuals 147 0.0024472 0.00001665 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.560692e-05 Output:[1] 3.500856e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.022211e-06 -0.0001710387 Output:regressor -1.710387e-04 0.0321305177 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.0011581 0.0020413 -0.5673 0.5713638 Output:regressor 1.6097482 0.4231451 3.8042 0.0002081 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.2272 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.007396 -0.003120 -0.000749 0.002024 0.024580 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0009416 0.0010359 0.909 0.365 Output:regressor 0.4087322 0.0612651 6.672 4.81e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.004449 on 147 degrees of freedom Output:Multiple R-squared: 0.2324, Adjusted R-squared: 0.2272 Output:F-statistic: 44.51 on 1 and 147 DF, p-value: 4.81e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00088081 0.00088081 44.509 4.81e-10 *** Output:Residuals 147 0.00290902 0.00001979 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.560692e-05 Output:[1] 3.562387e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.073131e-06 -5.940873e-05 Output:regressor -5.940873e-05 3.753412e-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) 0.00094165 0.00205419 0.4584 0.64734 Output:regressor 0.40873224 0.13992730 2.9210 0.00404 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.0305 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.006658 -0.003525 -0.001159 0.002160 0.028926 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.002781 0.001990 1.398 0.1643 Output:regressor 0.085065 0.035773 2.378 0.0187 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.004983 on 147 degrees of freedom Output:Multiple R-squared: 0.03704, Adjusted R-squared: 0.03049 Output:F-statistic: 5.655 on 1 and 147 DF, p-value: 0.0187 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0001404 1.4038e-04 5.6545 0.0187 * Output:Residuals 147 0.0036494 2.4826e-05 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.560692e-05 Output:[1] 0.0001310818 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.958119e-06 -6.965596e-05 Output:regressor -6.965596e-05 1.279692e-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) 0.0027808 0.0036711 0.7575 0.450 Output:regressor 0.0850648 0.0728784 1.1672 0.245 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0159 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.007980 -0.003327 -0.001413 0.001987 0.030254 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0066081 0.0005993 11.026 <2e-16 *** Output:regressor 0.2598358 0.1410705 1.842 0.0675 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00502 on 147 degrees of freedom Output:Multiple R-squared: 0.02256, Adjusted R-squared: 0.01591 Output:F-statistic: 3.393 on 1 and 147 DF, p-value: 0.06751 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000855 8.5491e-05 3.3925 0.06751 . Output:Residuals 147 0.0037043 2.5200e-05 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.560692e-05 Output:[1] 8.555763e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.591657e-07 -6.149786e-05 Output:regressor -6.149786e-05 1.990088e-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) 0.0066081 0.0010438 6.3309 2.791e-09 *** Output:regressor 0.2598358 0.2581436 1.0066 0.3158 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:-3.189e-17 -1.400e-20 2.350e-19 4.960e-19 2.672e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -4.548e-18 3.583e-19 -1.269e+01 <2e-16 *** Output:regressor 1.000e+00 1.804e-17 5.543e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.714e-18 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.072e+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 0.022621 0.022621 3.0721e+33 < 2.2e-16 *** Output:Residuals 147 0.000000 0.000000 Output:--- Error:Warning message: 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] 0.0001528423 Output:[1] 0.0001528423 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.283622e-37 -5.069245e-36 Output:regressor -5.069245e-36 3.255113e-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) -4.5477e-18 4.0743e-19 -1.1162e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.3639e-17 7.3320e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.6139 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0176003 -0.0043635 0.0002003 0.0030171 0.0304613 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.001356 0.001119 1.213 0.227 Output:regressor 1.918328 0.124780 15.374 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007682 on 147 degrees of freedom Output:Multiple R-squared: 0.6165, Adjusted R-squared: 0.6139 Output:F-statistic: 236.3 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 0.0139465 0.013947 236.35 < 2.2e-16 *** Output:Residuals 147 0.0086742 0.000059 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001528423 Output:[1] 2.560692e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.251188e-06 -0.0001153904 Output:regressor -1.153904e-04 0.0155700968 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0013564 0.0013048 1.0395 0.3003 Output:regressor 1.9183279 0.2737089 7.0086 8.075e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.5158 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.024837 -0.004113 -0.001466 0.003278 0.038450 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.004830 0.001766 -2.734 0.00702 ** Output:regressor 1.142005 0.090664 12.596 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.008603 on 147 degrees of freedom Output:Multiple R-squared: 0.5191, Adjusted R-squared: 0.5158 Output:F-statistic: 158.7 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 0.011742 0.011742 158.66 < 2.2e-16 *** Output:Residuals 147 0.010879 0.000074 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001528423 Output:[1] 6.083236e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.120421e-06 -0.0001468575 Output:regressor -1.468575e-04 0.0082200083 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.0048297 0.0028937 -1.6691 0.09723 . Output:regressor 1.1420045 0.1902729 6.0019 1.455e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.2992 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.031055 -0.005886 -0.002433 0.003330 0.042983 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.003818 0.002565 -1.489 0.139 Output:regressor 3.642645 0.454678 8.011 3.2e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01035 on 147 degrees of freedom Output:Multiple R-squared: 0.3039, Adjusted R-squared: 0.2992 Output:F-statistic: 64.18 on 1 and 147 DF, p-value: 3.199e-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 0.006875 0.0068750 64.184 3.199e-13 *** Output:Residuals 147 0.015746 0.0001071 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001528423 Output:[1] 3.500856e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.577053e-06 -0.001100488 Output:regressor -1.100488e-03 0.206732476 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.0038175 0.0050637 -0.7539 0.4521147 Output:regressor 3.6426454 0.9949920 3.6610 0.0003497 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.2035 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.026229 -0.006437 -0.002898 0.003542 0.046956 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0005893 0.0025694 0.229 0.819 Output:regressor 0.9466751 0.1519544 6.230 4.66e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01103 on 147 degrees of freedom Output:Multiple R-squared: 0.2089, Adjusted R-squared: 0.2035 Output:F-statistic: 38.81 on 1 and 147 DF, p-value: 4.655e-09 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.004725 0.0047250 38.813 4.655e-09 *** Output:Residuals 147 0.017896 0.0001217 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001528423 Output:[1] 3.562387e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.601658e-06 -0.0003654691 Output:regressor -3.654691e-04 0.0230901413 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00058927 0.00473670 0.1244 0.901164 Output:regressor 0.94667513 0.32554784 2.9079 0.004203 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 0.0298 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.016539 -0.006847 -0.004273 0.003736 0.059492 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.013083 0.001454 8.999 1.07e-15 *** Output:regressor 0.805959 0.342208 2.355 0.0198 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01218 on 147 degrees of freedom Output:Multiple R-squared: 0.03636, Adjusted R-squared: 0.02981 Output:F-statistic: 5.547 on 1 and 147 DF, p-value: 0.01984 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0008225 0.00082252 5.5468 0.01984 * Output:Residuals 147 0.0217981 0.00014829 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001528423 Output:[1] 8.555763e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.113508e-06 -0.0003618838 Output:regressor -3.618838e-04 0.1171066305 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0130826 0.0030077 4.3497 2.536e-05 *** Output:regressor 0.8059593 0.8556267 0.9420 0.3478 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | -0.0057 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.013949 -0.007515 -0.004330 0.003207 0.065877 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.01359 0.00495 2.746 0.0068 ** Output:regressor 0.03641 0.08901 0.409 0.6831 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0124 on 147 degrees of freedom Output:Multiple R-squared: 0.001137, Adjusted R-squared: -0.005658 Output:F-statistic: 0.1673 on 1 and 147 DF, p-value: 0.6831 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000257 0.00002572 0.1673 0.6831 Output:Residuals 147 0.0225949 0.00015371 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001528423 Output:[1] 0.0001310818 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.450604e-05 -0.0004312633 Output:regressor -4.312633e-04 0.0079230015 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0135913 0.0072862 1.8653 0.06413 . Output:regressor 0.0364111 0.1355845 0.2685 0.78865 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:-8.568e-18 2.180e-20 5.760e-20 9.720e-20 7.148e-19 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.137e-18 1.798e-19 -6.322e+00 2.92e-09 *** Output:regressor 1.000e+00 3.188e-17 3.136e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.258e-19 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 9.837e+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 0.00051813 0.00051813 9.8366e+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) : Output:[1] "-------------------------------------------------------------------------------------------" Error: ANOVA F-tests on an essentially perfect fit are unreliable Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.500856e-06 Output:[1] 3.500856e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.234278e-38 -5.411670e-36 Output:regressor -5.411670e-36 1.016611e-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) -1.1369e-18 3.2185e-19 -3.5324e+00 0.0005506 *** Output:regressor 1.0000e+00 5.2658e-17 1.8990e+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 | 0.3499 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0031492 -0.0008372 -0.0001794 0.0007622 0.0077106 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0036922 0.0002197 16.81 < 2e-16 *** Output:regressor 0.2200771 0.0245062 8.98 1.19e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001509 on 147 degrees of freedom Output:Multiple R-squared: 0.3543, Adjusted R-squared: 0.3499 Output:F-statistic: 80.65 on 1 and 147 DF, p-value: 1.193e-15 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00018356 1.8356e-04 80.649 1.193e-15 *** Output:Residuals 147 0.00033457 2.2760e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.500856e-06 Output:[1] 2.560692e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.825949e-08 -4.450716e-06 Output:regressor -4.450716e-06 6.005530e-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) 0.00369225 0.00030391 12.1492 < 2.2e-16 *** Output:regressor 0.22007706 0.04661332 4.7213 5.414e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | DE | 0.2992 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0037457 -0.0009567 -0.0001851 0.0008168 0.0070558 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0040239 0.0002068 19.457 < 2e-16 *** Output:regressor 0.0834349 0.0104144 8.011 3.2e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001566 on 147 degrees of freedom Output:Multiple R-squared: 0.3039, Adjusted R-squared: 0.2992 Output:F-statistic: 64.18 on 1 and 147 DF, p-value: 3.199e-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 0.00015747 1.5747e-04 64.184 3.199e-13 *** Output:Residuals 147 0.00036066 2.4530e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.500856e-06 Output:[1] 0.0001528423 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.277022e-08 -1.689070e-06 Output:regressor -1.689070e-06 1.084602e-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) 0.00402390 0.00034506 11.6614 < 2.2e-16 *** Output:regressor 0.08343489 0.02485095 3.3574 0.001002 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.2501 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0033966 -0.0010815 -0.0002560 0.0008673 0.0071048 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0028167 0.0003773 7.465 6.76e-12 *** Output:regressor 0.1583641 0.0223140 7.097 5.02e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00162 on 147 degrees of freedom Output:Multiple R-squared: 0.2552, Adjusted R-squared: 0.2501 Output:F-statistic: 50.37 on 1 and 147 DF, p-value: 5.022e-11 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00013223 1.3223e-04 50.368 5.022e-11 *** Output:Residuals 147 0.00038590 2.6250e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.500856e-06 Output:[1] 3.562387e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.423580e-07 -7.880968e-06 Output:regressor -7.880968e-06 4.979153e-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) 0.0028167 0.0007868 3.5799 0.0004662 *** Output:regressor 0.1583641 0.0507884 3.1181 0.0021903 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.2327 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0045591 -0.0009672 -0.0001255 0.0007172 0.0075465 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0032328 0.0003365 9.606 < 2e-16 *** Output:regressor 0.1170104 0.0172729 6.774 2.81e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001639 on 147 degrees of freedom Output:Multiple R-squared: 0.2379, Adjusted R-squared: 0.2327 Output:F-statistic: 45.89 on 1 and 147 DF, p-value: 2.805e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00012327 1.2327e-04 45.89 2.805e-10 *** Output:Residuals 147 0.00039486 2.6860e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.500856e-06 Output:[1] 6.083236e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.132584e-07 -5.330321e-06 Output:regressor -5.330321e-06 2.983524e-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) 0.00323276 0.00072332 4.4693 1.557e-05 *** Output:regressor 0.11701041 0.04399555 2.6596 0.008691 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | 0.1098 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0033903 -0.0011675 -0.0003075 0.0007820 0.0079582 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0046505 0.0002108 22.066 < 2e-16 *** Output:regressor 0.2176935 0.0496101 4.388 2.17e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001765 on 147 degrees of freedom Output:Multiple R-squared: 0.1158, Adjusted R-squared: 0.1098 Output:F-statistic: 19.26 on 1 and 147 DF, p-value: 2.17e-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 0.00006001 6.0008e-05 19.255 2.17e-05 *** Output:Residuals 147 0.00045812 3.1160e-06 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.500856e-06 Output:[1] 8.555763e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.441834e-08 -7.605496e-06 Output:regressor -7.605496e-06 2.461160e-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) 0.00465053 0.00035715 13.0213 <2e-16 *** Output:regressor 0.21769350 0.13264044 1.6412 0.1029 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | -0.0062 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0028442 -0.0010644 -0.0004117 0.0006015 0.0117736 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0051135 0.0007494 6.823 2.17e-10 *** Output:regressor 0.0038538 0.0134752 0.286 0.775 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.001877 on 147 degrees of freedom Output:Multiple R-squared: 0.0005561, Adjusted R-squared: -0.006243 Output:F-statistic: 0.08179 on 1 and 147 DF, p-value: 0.7753 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00000029 2.8810e-07 0.0818 0.7753 Output:Residuals 147 0.00051784 3.5227e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.500856e-06 Output:[1] 0.0001310818 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.616378e-07 -9.883843e-06 Output:regressor -9.883843e-06 1.815821e-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) 0.00511348 0.00095967 5.3284 3.649e-07 *** Output:regressor 0.00385385 0.01903758 0.2024 0.8399 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for FR
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| FR | FR | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.556e-18 -1.871e-19 -1.155e-19 -4.100e-21 1.208e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.548e-18 2.515e-19 1.808e+01 <2e-16 *** Output:regressor 1.000e+00 1.487e-17 6.723e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.08e-18 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.52e+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 0.0052723 0.0052723 4.5196e+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] 3.562387e-05 Output:[1] 3.562387e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.326021e-38 -3.502097e-36 Output:regressor -3.502097e-36 2.212606e-34 Error:Warning message: Output:[1] "-------------------------------------------------------------------------------------------"Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.5477e-18 3.9924e-19 1.1391e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 2.3078e-17 4.3331e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.2501 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0162147 -0.0031541 -0.0003546 0.0021882 0.0166713 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.007250 0.001281 5.661 7.66e-08 *** Output:regressor 1.611476 0.227062 7.097 5.02e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005168 on 147 degrees of freedom Output:Multiple R-squared: 0.2552, Adjusted R-squared: 0.2501 Output:F-statistic: 50.37 on 1 and 147 DF, p-value: 5.022e-11 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0013455 0.00134550 50.368 5.022e-11 *** Output:Residuals 147 0.0039268 0.00002671 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.562387e-05 Output:[1] 3.500856e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.640257e-06 -0.0002744517 Output:regressor -2.744517e-04 0.0515571946 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0072496 0.0020489 3.5384 0.0005393 *** Output:regressor 1.6114756 0.4236847 3.8035 0.0002086 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.2272 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0169116 -0.0036509 -0.0004696 0.0019518 0.0189812 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.011614 0.000764 15.201 < 2e-16 *** Output:regressor 0.568621 0.085231 6.672 4.81e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005247 on 147 degrees of freedom Output:Multiple R-squared: 0.2324, Adjusted R-squared: 0.2272 Output:F-statistic: 44.51 on 1 and 147 DF, p-value: 4.81e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0012254 0.00122536 44.509 4.81e-10 *** Output:Residuals 147 0.0040470 0.00002753 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.562387e-05 Output:[1] 2.560692e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.837476e-07 -5.383593e-05 Output:regressor -5.383593e-05 7.264298e-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) 0.0116139 0.0012364 9.3933 < 2.2e-16 *** Output:regressor 0.5686206 0.1559286 3.6467 0.0003681 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.2035 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0127511 -0.0031532 -0.0007149 0.0026913 0.0180820 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0123917 0.0007033 17.62 < 2e-16 *** Output:regressor 0.2206473 0.0354169 6.23 4.66e-09 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005327 on 147 degrees of freedom Output:Multiple R-squared: 0.2089, Adjusted R-squared: 0.2035 Output:F-statistic: 38.81 on 1 and 147 DF, p-value: 4.655e-09 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0011013 0.00110129 38.813 4.655e-09 *** Output:Residuals 147 0.0041710 0.00002837 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.562387e-05 Output:[1] 0.0001528423 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.946445e-07 -1.953436e-05 Output:regressor -1.953436e-05 1.254359e-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) 0.0123917 0.0012454 9.9502 < 2.2e-16 *** Output:regressor 0.2206473 0.0786813 2.8043 0.005724 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.1745 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0172885 -0.0031601 -0.0004664 0.0021747 0.0177489 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.010027 0.001114 9.004 1.04e-15 *** Output:regressor 0.324697 0.057154 5.681 6.94e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005423 on 147 degrees of freedom Output:Multiple R-squared: 0.18, Adjusted R-squared: 0.1745 Output:F-statistic: 32.28 on 1 and 147 DF, p-value: 6.943e-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 0.0009492 0.00094919 32.275 6.943e-08 *** Output:Residuals 147 0.0043231 0.00002941 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.562387e-05 Output:[1] 6.083236e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.240014e-06 -5.835923e-05 Output:regressor -5.835923e-05 3.266523e-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) 0.0100269 0.0024133 4.1548 5.501e-05 *** Output:regressor 0.3246974 0.1443662 2.2491 0.02599 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | 0.1163 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0136230 -0.0035067 -0.0008336 0.0027671 0.0176669 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0136230 0.0006698 20.338 < 2e-16 *** Output:regressor 0.7135249 0.1576747 4.525 1.24e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005611 on 147 degrees of freedom Output:Multiple R-squared: 0.1223, Adjusted R-squared: 0.1163 Output:F-statistic: 20.48 on 1 and 147 DF, p-value: 1.236e-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 0.0006447 0.00064467 20.478 1.236e-05 *** Output:Residuals 147 0.0046277 0.00003148 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.562387e-05 Output:[1] 8.555763e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.486898e-07 -7.682656e-05 Output:regressor -7.682656e-05 2.486130e-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) 0.0136230 0.0010899 12.4997 < 2e-16 *** Output:regressor 0.7135249 0.3945257 1.8086 0.07256 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | 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:-0.015832 -0.003302 -0.001056 0.002531 0.029484 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.013775 0.002385 5.776 4.41e-08 *** Output:regressor 0.037721 0.042885 0.880 0.381 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005973 on 147 degrees of freedom Output:Multiple R-squared: 0.005236, Adjusted R-squared: -0.001532 Output:F-statistic: 0.7737 on 1 and 147 DF, p-value: 0.3805 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000276 2.7603e-05 0.7737 0.3805 Output:Residuals 147 0.0052447 3.5678e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 3.562387e-05 Output:[1] 0.0001310818 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.688334e-06 -0.0001001047 Output:regressor -1.001047e-04 0.0018390850 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0137747 0.0033254 4.1423 5.777e-05 *** Output:regressor 0.0377206 0.0651588 0.5789 0.5635 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:-1.351e-17 -1.894e-18 -1.146e-18 -7.660e-19 2.266e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -8.186e-17 7.516e-18 -1.089e+01 <2e-16 *** Output:regressor 1.000e+00 1.351e-16 7.399e+15 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.882e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.475e+31 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 0.0194 0.0194 5.4752e+31 < 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] 0.0001310818 Output:[1] 0.0001310818 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.649163e-35 -9.941539e-34 Output:regressor -9.941539e-34 1.826421e-32 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -8.1858e-17 1.8236e-18 -4.4888e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 4.0117e-17 2.4927e+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 | RO | 0.1095 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.052601 -0.008523 -0.000054 0.008372 0.033201 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.045518 0.002219 20.518 < 2e-16 *** Output:regressor 0.498912 0.113865 4.382 2.23e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0108 on 147 degrees of freedom Output:Multiple R-squared: 0.1155, Adjusted R-squared: 0.1095 Output:F-statistic: 19.2 on 1 and 147 DF, p-value: 2.228e-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 0.002241 0.00224102 19.198 2.228e-05 *** Output:Residuals 147 0.017159 0.00011673 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001310818 Output:[1] 6.083236e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.921771e-06 -0.000231635 Output:regressor -2.316350e-04 0.012965235 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0455183 0.0036907 12.3334 < 2e-16 *** Output:regressor 0.4989124 0.2047860 2.4363 0.01604 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.0305 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.052987 -0.008715 -0.000434 0.007462 0.037591 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.051205 0.001642 31.193 <2e-16 *** Output:regressor 0.435447 0.183121 2.378 0.0187 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01127 on 147 degrees of freedom Output:Multiple R-squared: 0.03704, Adjusted R-squared: 0.03049 Output:F-statistic: 5.655 on 1 and 147 DF, p-value: 0.0187 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0007186 0.00071860 5.6545 0.0187 * Output:Residuals 147 0.0186815 0.00012709 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001310818 Output:[1] 2.560692e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.694677e-06 -0.0002485157 Output:regressor -2.485157e-04 0.0335332184 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0512047 0.0027781 18.4314 <2e-16 *** Output:regressor 0.4354466 0.2995701 1.4536 0.1482 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | -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:-0.053845 -0.008102 0.000340 0.007224 0.038185 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.052235 0.002668 19.58 <2e-16 *** Output:regressor 0.138797 0.157798 0.88 0.381 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01146 on 147 degrees of freedom Output:Multiple R-squared: 0.005236, Adjusted R-squared: -0.001532 Output:F-statistic: 0.7737 on 1 and 147 DF, p-value: 0.3805 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0001016 0.00010157 0.7737 0.3805 Output:Residuals 147 0.0192985 0.00013128 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001310818 Output:[1] 3.562387e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 7.119189e-06 -0.0003941197 Output:regressor -3.941197e-04 0.0249002715 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0522349 0.0042783 12.2093 <2e-16 *** Output:regressor 0.1387970 0.2299481 0.6036 0.547 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | -0.0050 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.053923 -0.008272 0.000359 0.007410 0.037915 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.05392 0.00137 39.352 <2e-16 *** Output:regressor 0.16476 0.32255 0.511 0.61 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01148 on 147 degrees of freedom Output:Multiple R-squared: 0.001772, Adjusted R-squared: -0.005019 Output:F-statistic: 0.2609 on 1 and 147 DF, p-value: 0.6102 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000344 3.4375e-05 0.2609 0.6102 Output:Residuals 147 0.0193657 1.3174e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001310818 Output:[1] 8.555763e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.877666e-06 -0.000321502 Output:regressor -3.215020e-04 0.104038955 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.053923 0.002587 20.8436 <2e-16 *** Output:regressor 0.164763 0.372860 0.4419 0.6592 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | -0.0057 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.054172 -0.008361 0.000129 0.007433 0.037332 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.053946 0.001516 35.586 <2e-16 *** Output:regressor 0.031227 0.076339 0.409 0.683 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01148 on 147 degrees of freedom Output:Multiple R-squared: 0.001137, Adjusted R-squared: -0.005658 Output:F-statistic: 0.1673 on 1 and 147 DF, p-value: 0.6831 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000221 2.2058e-05 0.1673 0.6831 Output:Residuals 147 0.0193780 1.3182e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001310818 Output:[1] 0.0001528423 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.298045e-06 -9.075377e-05 Output:regressor -9.075377e-05 5.827569e-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) 0.0539455 0.0024273 22.2247 <2e-16 *** Output:regressor 0.0312271 0.1175976 0.2655 0.791 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | -0.0062 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.054154 -0.008509 0.000086 0.007466 0.037716 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.053664 0.002846 18.857 <2e-16 *** Output:regressor 0.144299 0.504550 0.286 0.775 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.01148 on 147 degrees of freedom Output:Multiple R-squared: 0.0005561, Adjusted R-squared: -0.006243 Output:F-statistic: 0.08179 on 1 and 147 DF, p-value: 0.7753 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0000108 1.0789e-05 0.0818 0.7753 Output:Residuals 147 0.0193893 1.3190e-04 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0001310818 Output:[1] 3.500856e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.099007e-06 -0.001355145 Output:regressor -1.355145e-03 0.254571119 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0536637 0.0039215 13.685 <2e-16 *** Output:regressor 0.1442988 0.6774593 0.213 0.8316 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:-7.026e-18 -2.800e-21 5.710e-20 1.021e-19 7.180e-19 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -5.685e-19 7.313e-20 -7.774e+00 1.22e-12 *** Output:regressor 1.000e+00 1.721e-17 5.809e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 6.125e-19 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.375e+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 0.0012663 0.0012663 3.3749e+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] 8.555763e-06 Output:[1] 8.555763e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.347609e-39 -9.156402e-37 Output:regressor -9.156402e-37 2.963038e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -5.6846e-19 1.0324e-19 -5.5064e+00 1.592e-07 *** Output:regressor 1.0000e+00 2.0945e-17 4.7745e+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 | 0.1163 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0048180 -0.0016946 -0.0005666 0.0007125 0.0124718 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0003778 0.0006403 0.590 0.556 Output:regressor 0.1713668 0.0378686 4.525 1.24e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00275 on 147 degrees of freedom Output:Multiple R-squared: 0.1223, Adjusted R-squared: 0.1163 Output:F-statistic: 20.48 on 1 and 147 DF, p-value: 1.236e-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 0.00015483 1.5483e-04 20.478 1.236e-05 *** Output:Residuals 147 0.00111142 7.5610e-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] 8.555763e-06 Output:[1] 3.562387e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.100015e-07 -2.269776e-05 Output:regressor -2.269776e-05 1.434033e-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) 0.00037783 0.00128302 0.2945 0.76881 Output:regressor 0.17136683 0.08256040 2.0757 0.03967 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | 0.1098 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0063935 -0.0018268 -0.0007227 0.0007990 0.0112597 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0002581 0.0006839 0.377 0.706 Output:regressor 0.5320225 0.1212424 4.388 2.17e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00276 on 147 degrees of freedom Output:Multiple R-squared: 0.1158, Adjusted R-squared: 0.1098 Output:F-statistic: 19.26 on 1 and 147 DF, p-value: 2.17e-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 0.00014665 1.4666e-04 19.255 2.17e-05 *** Output:Residuals 147 0.00111960 7.6160e-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] 8.555763e-06 Output:[1] 3.500856e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.676615e-07 -7.825022e-05 Output:regressor -7.825022e-05 1.469972e-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) 0.00025812 0.00148704 0.1736 0.86243 Output:regressor 0.53202249 0.28889391 1.8416 0.06755 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.0298 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0037599 -0.0019291 -0.0005994 0.0009057 0.0145514 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0023876 0.0003804 6.277 3.68e-09 *** Output:regressor 0.0451158 0.0191561 2.355 0.0198 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002881 on 147 degrees of freedom Output:Multiple R-squared: 0.03636, Adjusted R-squared: 0.02981 Output:F-statistic: 5.547 on 1 and 147 DF, p-value: 0.01984 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00004604 4.6043e-05 5.5468 0.01984 * Output:Residuals 147 0.00122021 8.3010e-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] 8.555763e-06 Output:[1] 0.0001528423 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.447049e-07 -5.714647e-06 Output:regressor -5.714647e-06 3.669544e-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) 0.00238761 0.00074032 3.2251 0.001552 ** Output:regressor 0.04511577 0.05130853 0.8793 0.380672 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.0159 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0036500 -0.0019930 -0.0006911 0.0009241 0.0159207 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0024468 0.0004225 5.791 4.09e-08 *** Output:regressor 0.0868161 0.0471343 1.842 0.0675 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002902 on 147 degrees of freedom Output:Multiple R-squared: 0.02256, Adjusted R-squared: 0.01591 Output:F-statistic: 3.393 on 1 and 147 DF, p-value: 0.06751 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00002856 2.8564e-05 3.3925 0.06751 . Output:Residuals 147 0.00123769 8.4197e-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] 8.555763e-06 Output:[1] 2.560692e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.785280e-07 -1.646469e-05 Output:regressor -1.646469e-05 2.221647e-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) 0.00244681 0.00067949 3.6010 0.0004329 *** Output:regressor 0.08681612 0.09670586 0.8977 0.3707955 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.0101 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0040722 -0.0019045 -0.0006464 0.0010504 0.0157675 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0022218 0.0005976 3.718 0.000285 *** Output:regressor 0.0486053 0.0306708 1.585 0.115173 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00291 on 147 degrees of freedom Output:Multiple R-squared: 0.0168, Adjusted R-squared: 0.01011 Output:F-statistic: 2.511 on 1 and 147 DF, p-value: 0.1152 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.127e-05 2.1270e-05 2.5114 0.1152 Output:Residuals 147 1.245e-03 8.4693e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 8.555763e-06 Output:[1] 6.083236e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.571007e-07 -1.680636e-05 Output:regressor -1.680636e-05 9.406970e-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) 0.0022218 0.0013195 1.6839 0.09433 . Output:regressor 0.0486053 0.0811769 0.5988 0.55026 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | -0.0050 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0034925 -0.0018417 -0.0006834 0.0009844 0.0175251 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.002505 0.001171 2.139 0.0341 * Output:regressor 0.010754 0.021053 0.511 0.6102 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.002932 on 147 degrees of freedom Output:Multiple R-squared: 0.001772, Adjusted R-squared: -0.005019 Output:F-statistic: 0.2609 on 1 and 147 DF, p-value: 0.6102 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.240e-06 2.2436e-06 0.2609 0.6102 Output:Residuals 147 1.264e-03 8.5987e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 8.555763e-06 Output:[1] 0.0001310818 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.370921e-06 -0.0000241258 Output:regressor -2.412580e-05 0.0004432298 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0025048 0.0012497 2.0043 0.04687 * Output:regressor 0.0107541 0.0259794 0.4139 0.67952 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:-2.210e-18 -4.697e-19 -1.635e-19 8.700e-20 2.745e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 6.822e-18 4.829e-19 1.413e+01 <2e-16 *** Output:regressor 1.000e+00 2.478e-17 4.035e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.352e-18 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.628e+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 0.0090032 0.0090032 1.6279e+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] 6.083236e-05 Output:[1] 6.083236e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.331908e-37 -1.097474e-35 Output:regressor -1.097474e-35 6.142858e-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) 6.8215e-18 6.7304e-19 1.0135e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 3.1357e-17 3.1891e+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 | CH | 0.5445 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0117537 -0.0034591 -0.0006617 0.0029635 0.0264464 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0094131 0.0007665 12.28 <2e-16 *** Output:regressor 1.1405637 0.0855051 13.34 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005264 on 147 degrees of freedom Output:Multiple R-squared: 0.5476, Adjusted R-squared: 0.5445 Output:F-statistic: 177.9 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 0.0049301 0.0049301 177.93 < 2.2e-16 *** Output:Residuals 147 0.0040731 0.0000277 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.083236e-05 Output:[1] 2.560692e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.875109e-07 -0.000054183 Output:regressor -5.418300e-05 0.007311130 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0094131 0.0009656 9.7484 < 2.2e-16 *** Output:regressor 1.1405637 0.1212942 9.4033 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.5158 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.0145393 -0.0035171 -0.0003626 0.0024927 0.0246912 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0107874 0.0007166 15.05 <2e-16 *** Output:regressor 0.4545264 0.0360851 12.60 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.005427 on 147 degrees of freedom Output:Multiple R-squared: 0.5191, Adjusted R-squared: 0.5158 Output:F-statistic: 158.7 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 0.0046733 0.0046733 158.66 < 2.2e-16 *** Output:Residuals 147 0.0043299 0.0000295 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.083236e-05 Output:[1] 0.0001528423 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.134828e-07 -2.027832e-05 Output:regressor -2.027832e-05 1.302131e-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) 0.01078744 0.00092464 11.6666 < 2.2e-16 *** Output:regressor 0.45452635 0.06285262 7.2316 2.426e-11 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.2327 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.018985 -0.004905 -0.001300 0.003862 0.030507 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.007043 0.001693 4.160 5.39e-05 *** Output:regressor 2.033223 0.300141 6.774 2.81e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.006832 on 147 degrees of freedom Output:Multiple R-squared: 0.2379, Adjusted R-squared: 0.2327 Output:F-statistic: 45.89 on 1 and 147 DF, p-value: 2.805e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0021419 0.00214193 45.89 2.805e-10 *** Output:Residuals 147 0.0068613 0.00004668 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.083236e-05 Output:[1] 3.500856e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.865979e-06 -0.0004795424 Output:regressor -4.795424e-04 0.0900845642 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0070425 0.0035220 1.9996 0.047391 * Output:regressor 2.0332227 0.6465274 3.1448 0.002011 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.1745 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.012212 -0.005396 -0.001325 0.004173 0.030274 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.00909 0.00165 5.508 1.58e-07 *** Output:regressor 0.55446 0.09760 5.681 6.94e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.007087 on 147 degrees of freedom Output:Multiple R-squared: 0.18, Adjusted R-squared: 0.1745 Output:F-statistic: 32.28 on 1 and 147 DF, p-value: 6.943e-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 0.0016209 0.00162087 32.275 6.943e-08 *** Output:Residuals 147 0.0073823 0.00005022 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.083236e-05 Output:[1] 3.562387e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.723324e-06 -0.0001507637 Output:regressor -1.507637e-04 0.0095251714 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0090899 0.0042085 2.1599 0.0324 * Output:regressor 0.5544627 0.2590924 2.1400 0.0340 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.1095 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.011324 -0.005014 -0.001577 0.004723 0.036161 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.005263 0.002939 1.791 0.0754 . Output:regressor 0.231535 0.052842 4.382 2.23e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00736 on 147 degrees of freedom Output:Multiple R-squared: 0.1155, Adjusted R-squared: 0.1095 Output:F-statistic: 19.2 on 1 and 147 DF, p-value: 2.228e-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 0.0010400 1.040e-03 19.198 2.228e-05 *** Output:Residuals 147 0.0079632 5.417e-05 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.083236e-05 Output:[1] 0.0001310818 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.636713e-06 -0.000151991 Output:regressor -1.519910e-04 0.002792320 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.005263 0.004793 1.0981 0.27398 Output:regressor 0.231535 0.096055 2.4104 0.01717 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.0101 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.012716 -0.005487 -0.001900 0.004415 0.030670 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0167979 0.0009264 18.132 <2e-16 *** Output:regressor 0.3455891 0.2180724 1.585 0.115 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.00776 on 147 degrees of freedom Output:Multiple R-squared: 0.0168, Adjusted R-squared: 0.01011 Output:F-statistic: 2.511 on 1 and 147 DF, p-value: 0.1152 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0001512 1.5123e-04 2.5114 0.1152 Output:Residuals 147 0.0088520 6.0217e-05 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 6.083236e-05 Output:[1] 8.555763e-06 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.582702e-07 -0.0001469566 Output:regressor -1.469566e-04 0.0475555881 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0167979 0.0019445 8.6388 8.765e-15 *** Output:regressor 0.3455891 0.5274538 0.6552 0.5134 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:-5.430e-17 -9.970e-18 -3.930e-18 -8.200e-19 8.971e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.183e-16 1.547e-17 -1.411e+01 <2e-16 *** Output:regressor 1.000e+00 3.146e-17 3.179e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.544e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.011e+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 5.752 5.752 1.0106e+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] 0.03886473 Output:[1] 0.03886473 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.393843e-34 -4.461737e-34 Output:regressor -4.461737e-34 9.894858e-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) -2.1829e-16 5.0356e-18 -4.3349e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.0046e-17 9.9541e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.0084 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.45142 -0.13861 0.00384 0.13413 0.51690 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.33779 0.07717 4.377 2.27e-05 *** Output:regressor 0.19127 0.12761 1.499 0.136 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1963 on 147 degrees of freedom Output:Multiple R-squared: 0.01505, Adjusted R-squared: 0.008351 Output:F-statistic: 2.246 on 1 and 147 DF, p-value: 0.1361 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0866 0.086575 2.2464 0.1361 Output:Residuals 147 5.6654 0.038540 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03886473 Output:[1] 0.01599024 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005955793 -0.009632228 Output:regressor -0.009632228 0.016285347 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.337787 0.091841 3.6779 0.0003291 *** Output:regressor 0.191266 0.140828 1.3582 0.1764946 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 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:-0.47490 -0.14144 0.00386 0.14427 0.48509 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.37596 0.05861 6.414 1.82e-09 *** Output:regressor 0.11193 0.08416 1.330 0.186 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1966 on 147 degrees of freedom Output:Multiple R-squared: 0.01189, Adjusted R-squared: 0.005167 Output:F-statistic: 1.769 on 1 and 147 DF, p-value: 0.1856 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0684 0.068386 1.7687 0.1856 Output:Residuals 147 5.6836 0.038664 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03886473 Output:[1] 0.03688217 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003435579 -0.004743077 Output:regressor -0.004743077 0.007083167 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.375964 0.066174 5.6814 6.934e-08 *** Output:regressor 0.111930 0.091695 1.2207 0.2242 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | 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:-0.4563 -0.1370 -0.0017 0.1400 0.5269 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.41867 0.04191 9.990 <2e-16 *** Output:regressor 0.55185 0.66164 0.834 0.406 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1973 on 147 degrees of freedom Output:Multiple R-squared: 0.00471, Adjusted R-squared: -0.00206 Output:F-statistic: 0.6957 on 1 and 147 DF, p-value: 0.4056 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0271 0.027093 0.6957 0.4056 Output:Residuals 147 5.7249 0.038945 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03886473 Output:[1] 0.0006011014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001756305 -0.02558176 Output:regressor -0.025581764 0.43776406 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.418666 0.040265 10.3976 <2e-16 *** Output:regressor 0.551853 0.697989 0.7906 0.4304 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | -0.0050 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.46660 -0.13450 0.01029 0.13555 0.50091 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.46660 0.03465 13.468 <2e-16 *** Output:regressor -0.02528 0.04937 -0.512 0.609 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1976 on 147 degrees of freedom Output:Multiple R-squared: 0.00178, Adjusted R-squared: -0.00501 Output:F-statistic: 0.2622 on 1 and 147 DF, p-value: 0.6094 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0102 0.010240 0.2622 0.6094 Output:Residuals 147 5.7417 0.039059 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03886473 Output:[1] 0.108282 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001200302 -0.001512141 Output:regressor -0.001512141 0.002437296 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.466598 0.039647 11.7689 <2e-16 *** Output:regressor -0.025278 0.051424 -0.4916 0.6238 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | -0.0055 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.46010 -0.13548 0.00048 0.15028 0.51362 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.42443 0.06274 6.765 2.94e-10 *** Output:regressor 0.04121 0.09432 0.437 0.663 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1977 on 147 degrees of freedom Output:Multiple R-squared: 0.001297, Adjusted R-squared: -0.005497 Output:F-statistic: 0.1909 on 1 and 147 DF, p-value: 0.6628 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0075 0.007459 0.1909 0.6628 Output:Residuals 147 5.7445 0.039078 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03886473 Output:[1] 0.02967967 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003935792 -0.005716749 Output:regressor -0.005716749 0.008896429 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.424434 0.101174 4.1951 4.697e-05 *** Output:regressor 0.041209 0.142345 0.2895 0.7726 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | -0.0060 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.46205 -0.13781 0.00374 0.14755 0.51304 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.40964 0.12110 3.383 0.00092 *** Output:regressor 0.05837 0.16971 0.344 0.73141 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1977 on 147 degrees of freedom Output:Multiple R-squared: 0.0008039, Adjusted R-squared: -0.005993 Output:F-statistic: 0.1183 on 1 and 147 DF, p-value: 0.7314 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0046 0.004624 0.1183 0.7314 Output:Residuals 147 5.7474 0.039098 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03886473 Output:[1] 0.009171778 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01466502 -0.02036754 Output:regressor -0.02036754 0.02880285 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.409642 0.158663 2.5818 0.0108 * Output:regressor 0.058366 0.212271 0.2750 0.7837 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for DE
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| DE | DE | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-8.563e-17 -1.377e-17 -6.770e-18 -3.200e-19 9.343e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.911e-16 2.355e-17 -1.236e+01 <2e-16 *** Output:regressor 1.000e+00 3.382e-17 2.957e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.901e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 8.744e+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 5.4586 5.4586 8.7437e+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] 0.03688217 Output:[1] 0.03688217 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.547212e-34 -7.658345e-34 Output:regressor -7.658345e-34 1.143674e-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 2.8958e-17 -1.0051e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 5.1368e-17 1.9467e+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 | 0.4049 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.43950 -0.09711 0.01240 0.11201 0.37943 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.21155 0.04702 4.50 1.37e-05 *** Output:regressor 0.71286 0.07069 10.09 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1481 on 147 degrees of freedom Output:Multiple R-squared: 0.4089, Adjusted R-squared: 0.4049 Output:F-statistic: 101.7 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 2.2322 2.23219 101.7 < 2.2e-16 *** Output:Residuals 147 3.2264 0.02195 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03688217 Output:[1] 0.02967967 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002210510 -0.003210772 Output:regressor -0.003210772 0.004996616 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.211549 0.049747 4.2525 3.742e-05 *** Output:regressor 0.712862 0.069067 10.3213 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.2246 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.74154 -0.11020 0.01881 0.11745 0.35176 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.88906 0.03591 24.756 < 2e-16 *** Output:regressor -3.75501 0.56699 -6.623 6.21e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1691 on 147 degrees of freedom Output:Multiple R-squared: 0.2298, Adjusted R-squared: 0.2246 Output:F-statistic: 43.86 on 1 and 147 DF, p-value: 6.207e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.2544 1.2544 43.86 6.207e-10 *** Output:Residuals 147 4.2042 0.0286 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03688217 Output:[1] 0.0006011014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001289774 -0.01878644 Output:regressor -0.018786437 0.32148005 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.889059 0.051821 17.1565 < 2.2e-16 *** Output:regressor -3.755007 0.747284 -5.0249 1.443e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.1660 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.44657 -0.11646 0.01703 0.12998 0.38848 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.08219 0.10741 0.765 0.445 Output:regressor 0.83073 0.15054 5.518 1.5e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1754 on 147 degrees of freedom Output:Multiple R-squared: 0.1716, Adjusted R-squared: 0.166 Output:F-statistic: 30.45 on 1 and 147 DF, p-value: 1.504e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.9368 0.93676 30.453 1.504e-07 *** Output:Residuals 147 4.5218 0.03076 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03688217 Output:[1] 0.009171778 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01153787 -0.01602439 Output:regressor -0.01602439 0.02266096 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.08219 0.11770 0.6983 0.4861 Output:regressor 0.83073 0.15185 5.4706 1.884e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.0724 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.46411 -0.14827 0.03004 0.14738 0.33679 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.41767 0.07271 5.744 5.13e-08 *** Output:regressor 0.42598 0.12023 3.543 0.000531 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.185 on 147 degrees of freedom Output:Multiple R-squared: 0.07867, Adjusted R-squared: 0.07241 Output:F-statistic: 12.55 on 1 and 147 DF, p-value: 0.0005307 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.4294 0.42944 12.553 0.0005307 *** Output:Residuals 147 5.0291 0.03421 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03688217 Output:[1] 0.01599024 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005286894 -0.008550426 Output:regressor -0.008550426 0.014456329 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.41767 0.12694 3.2904 0.001252 ** Output:regressor 0.42598 0.19313 2.2057 0.028960 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | 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:-0.71566 -0.14579 0.03292 0.15646 0.29902 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.71566 0.03351 21.359 <2e-16 *** Output:regressor -0.07420 0.04775 -1.554 0.122 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1911 on 147 degrees of freedom Output:Multiple R-squared: 0.01616, Adjusted R-squared: 0.009472 Output:F-statistic: 2.415 on 1 and 147 DF, p-value: 0.1223 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0882 0.088237 2.4153 0.1223 Output:Residuals 147 5.3703 0.036533 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03688217 Output:[1] 0.108282 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001122658 -0.001414325 Output:regressor -0.001414325 0.002279635 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.715663 0.077051 9.2882 <2e-16 *** Output:regressor -0.074202 0.082584 -0.8985 0.3704 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 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:-0.63058 -0.14810 0.03617 0.15144 0.31438 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.62173 0.03928 15.83 <2e-16 *** Output:regressor 0.10622 0.07987 1.33 0.186 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1916 on 147 degrees of freedom Output:Multiple R-squared: 0.01189, Adjusted R-squared: 0.005167 Output:F-statistic: 1.769 on 1 and 147 DF, p-value: 0.1856 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0649 0.064898 1.7687 0.1856 Output:Residuals 147 5.3937 0.036692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.03688217 Output:[1] 0.03886473 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001543246 -0.002876362 Output:regressor -0.002876362 0.006378949 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.621730 0.071113 8.7429 4.784e-15 *** Output:regressor 0.106220 0.094987 1.1183 0.2653 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:-1.275e-16 -2.346e-17 -1.171e-17 3.970e-18 1.436e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.164e-15 7.441e-17 -1.564e+01 <2e-16 *** Output:regressor 1.000e+00 1.043e-16 9.589e+15 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.215e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 9.195e+31 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 1.3574 1.3574 9.1952e+31 < 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] 0.009171778 Output:[1] 0.009171778 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.537175e-33 -7.690313e-33 Output:regressor -7.690313e-33 1.087529e-32 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.1642e-15 1.5881e-16 -7.3306e+00 1.415e-11 *** Output:regressor 1.0000e+00 2.3689e-16 4.2214e+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] "-------------------------------------------------------------------------------------------" | |
| ES | DE | 0.1660 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.40214 -0.05052 0.01416 0.05553 0.17325 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.56880 0.02607 21.817 < 2e-16 *** Output:regressor 0.20658 0.03743 5.518 1.5e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08746 on 147 degrees of freedom Output:Multiple R-squared: 0.1716, Adjusted R-squared: 0.166 Output:F-statistic: 30.45 on 1 and 147 DF, p-value: 1.504e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.23295 0.232953 30.453 1.504e-07 *** Output:Residuals 147 1.12447 0.007649 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.009171778 Output:[1] 0.03688217 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0006797121 -0.0009383939 Output:regressor -0.0009383939 0.0014013692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.568803 0.047488 11.9778 < 2.2e-16 *** Output:regressor 0.206583 0.064712 3.1923 0.001726 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.1444 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.40206 -0.05124 0.00500 0.06138 0.23310 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.56872 0.02811 20.229 < 2e-16 *** Output:regressor 0.21540 0.04227 5.096 1.05e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.08859 on 147 degrees of freedom Output:Multiple R-squared: 0.1501, Adjusted R-squared: 0.1444 Output:F-statistic: 25.97 on 1 and 147 DF, p-value: 1.05e-06 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2038 0.203804 25.97 1.05e-06 *** Output:Residuals 147 1.1536 0.007848 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.009171778 Output:[1] 0.02967967 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0007903888 -0.001148042 Output:regressor -0.0011480420 0.001786588 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.568722 0.044160 12.8787 < 2e-16 *** Output:regressor 0.215400 0.064905 3.3187 0.00114 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.0815 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.40777 -0.04827 0.01039 0.05775 0.19013 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.57444 0.03608 15.92 < 2e-16 *** Output:regressor 0.22435 0.05966 3.76 0.000244 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09178 on 147 degrees of freedom Output:Multiple R-squared: 0.08775, Adjusted R-squared: 0.08155 Output:F-statistic: 14.14 on 1 and 147 DF, p-value: 0.0002443 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.11912 0.119118 14.141 0.0002443 *** Output:Residuals 147 1.23830 0.008424 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.009171778 Output:[1] 0.01599024 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001301776 -0.002105345 Output:regressor -0.002105345 0.003559538 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.574439 0.065625 8.7534 4.501e-15 *** Output:regressor 0.224353 0.111022 2.0208 0.04512 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 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:-0.55504 -0.04718 0.01741 0.05031 0.22096 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.75158 0.02002 37.549 <2e-16 *** Output:regressor -0.76060 0.31601 -2.407 0.0173 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09426 on 147 degrees of freedom Output:Multiple R-squared: 0.03791, Adjusted R-squared: 0.03137 Output:F-statistic: 5.793 on 1 and 147 DF, p-value: 0.01733 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.05147 0.051467 5.7931 0.01733 * Output:Residuals 147 1.30596 0.008884 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.009171778 Output:[1] 0.0006011014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004006468 -0.005835691 Output:regressor -0.0058356912 0.099862382 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.751584 0.018563 40.4886 < 2e-16 *** Output:regressor -0.760603 0.293701 -2.5897 0.01057 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | -0.0048 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.54859 -0.04706 0.01293 0.05485 0.21093 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.71526 0.01683 42.503 <2e-16 *** Output:regressor -0.01310 0.02398 -0.546 0.586 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.096 on 147 degrees of freedom Output:Multiple R-squared: 0.002025, Adjusted R-squared: -0.004764 Output:F-statistic: 0.2983 on 1 and 147 DF, p-value: 0.5858 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00275 0.0027487 0.2983 0.5858 Output:Residuals 147 1.35467 0.0092155 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.009171778 Output:[1] 0.108282 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002831927 -0.0003567661 Output:regressor -0.0003567661 0.0005750422 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.715262 0.028336 25.2425 <2e-16 *** Output:regressor -0.013097 0.037330 -0.3508 0.7262 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | -0.0060 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.53541 -0.04753 0.01373 0.05414 0.21862 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.70093 0.01970 35.581 <2e-16 *** Output:regressor 0.01377 0.04005 0.344 0.731 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09606 on 147 degrees of freedom Output:Multiple R-squared: 0.0008039, Adjusted R-squared: -0.005993 Output:F-statistic: 0.1183 on 1 and 147 DF, p-value: 0.7314 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00109 0.0010913 0.1183 0.7314 Output:Residuals 147 1.35633 0.0092267 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.009171778 Output:[1] 0.03886473 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003880765 -0.0007233121 Output:regressor -0.0007233121 0.0016040994 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.700925 0.022331 31.388 <2e-16 *** Output:regressor 0.013774 0.047168 0.292 0.7707 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for FR
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| FR | FR | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.576e-17 -6.960e-18 -4.030e-18 -1.270e-18 5.712e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -3.638e-16 1.893e-17 -1.922e+01 <2e-16 *** Output:regressor 1.000e+00 3.130e-17 3.195e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.815e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.021e+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 ErrorOutput:Warning message: : Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.3666 2.3666 1.0209e+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: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] 0.01599024 Output:[1] 0.01599024 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.582436e-34 -5.793828e-34 Output:regressor -5.793828e-34 9.795709e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -3.6381e-16 1.5464e-17 -2.3526e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 3.1795e-17 3.1451e+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 | RO | 0.1598 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.39963 -0.07613 -0.00976 0.07651 0.28258 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.39963 0.03679 10.864 < 2e-16 *** Output:regressor 0.29854 0.05531 5.398 2.64e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1159 on 147 degrees of freedom Output:Multiple R-squared: 0.1654, Adjusted R-squared: 0.1598 Output:F-statistic: 29.14 on 1 and 147 DF, p-value: 2.643e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.3915 0.39150 29.139 2.643e-07 *** Output:Residuals 147 1.9751 0.01344 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01599024 Output:[1] 0.02967967 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001353187 -0.001965507 Output:regressor -0.001965507 0.003058731 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.399626 0.071402 5.5968 1.038e-07 *** Output:regressor 0.298542 0.104770 2.8495 0.005008 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.0815 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.38007 -0.07998 -0.01325 0.08039 0.35846 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.31488 0.07422 4.242 3.89e-05 *** Output:regressor 0.39114 0.10402 3.760 0.000244 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1212 on 147 degrees of freedom Output:Multiple R-squared: 0.08775, Adjusted R-squared: 0.08155 Output:F-statistic: 14.14 on 1 and 147 DF, p-value: 0.0002443 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.20767 0.207673 14.141 0.0002443 *** Output:Residuals 147 2.15888 0.014686 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01599024 Output:[1] 0.009171778 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005508629 -0.007650668 Output:regressor -0.007650668 0.010819228 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.31488 0.13261 2.3745 0.01886 * Output:regressor 0.39114 0.17345 2.2551 0.02560 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.0724 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.46780 -0.07307 -0.00611 0.08362 0.32150 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.46780 0.03630 12.886 < 2e-16 *** Output:regressor 0.18469 0.05213 3.543 0.000531 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1218 on 147 degrees of freedom Output:Multiple R-squared: 0.07867, Adjusted R-squared: 0.07241 Output:F-statistic: 12.55 on 1 and 147 DF, p-value: 0.0005307 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.18618 0.186184 12.553 0.0005307 *** Output:Residuals 147 2.18037 0.014832 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01599024 Output:[1] 0.03688217 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001317975 -0.001819565 Output:regressor -0.001819565 0.002717283 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.467796 0.072465 6.4555 1.475e-09 *** Output:regressor 0.184685 0.092782 1.9905 0.04839 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.0084 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.56254 -0.08333 0.00560 0.07863 0.30596 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.55598 0.02583 21.529 <2e-16 *** Output:regressor 0.07869 0.05250 1.499 0.136 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1259 on 147 degrees of freedom Output:Multiple R-squared: 0.01505, Adjusted R-squared: 0.008351 Output:F-statistic: 2.246 on 1 and 147 DF, p-value: 0.1361 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.03562 0.035620 2.2464 0.1361 Output:Residuals 147 2.33093 0.015857 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01599024 Output:[1] 0.03886473 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.000666932 -0.001243054 Output:regressor -0.001243054 0.002756738 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.555982 0.037635 14.7728 <2e-16 *** Output:regressor 0.078693 0.063693 1.2355 0.2186 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 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:-0.59971 -0.08032 -0.00041 0.08558 0.31719 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.61662 0.02685 22.965 <2e-16 *** Output:regressor -0.43047 0.42391 -1.015 0.312 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1264 on 147 degrees of freedom Output:Multiple R-squared: 0.006966, Adjusted R-squared: 0.0002104 Output:F-statistic: 1.031 on 1 and 147 DF, p-value: 0.3116 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01648 0.016485 1.0311 0.3116 Output:Residuals 147 2.35007 0.015987 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01599024 Output:[1] 0.0006011014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0007209643 -0.01050133 Output:regressor -0.0105013319 0.17970245 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.616621 0.033077 18.6422 <2e-16 *** Output:regressor -0.430465 0.575769 -0.7476 0.4559 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | -0.0060 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.59813 -0.08701 -0.00311 0.08628 0.32416 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.59813 0.02223 26.902 <2e-16 *** Output:regressor -0.01073 0.03168 -0.339 0.735 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1268 on 147 degrees of freedom Output:Multiple R-squared: 0.0007802, Adjusted R-squared: -0.006017 Output:F-statistic: 0.1148 on 1 and 147 DF, p-value: 0.7352 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.00185 0.0018465 0.1148 0.7352 Output:Residuals 147 2.36471 0.0160865 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01599024 Output:[1] 0.108282 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004943388 -0.0006227679 Output:regressor -0.0006227679 0.0010037888 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.598126 0.034966 17.106 <2e-16 *** Output:regressor -0.010734 0.045288 -0.237 0.813 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:-1.581e-16 -1.220e-19 8.040e-19 1.934e-18 9.858e-18 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.638e-17 2.810e-18 1.295e+01 <2e-16 *** Output:regressor 1.000e+00 4.436e-17 2.254e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.323e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.081e+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) Error:Warning message: Output:regressor 1 0.088963 0.088963 5.0811e+32 < 2.2e-16 *** Output:Residuals 147 0.000000 0.000000 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] 0.0006011014 Output:[1] 0.0006011014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 7.895911e-36 -1.150093e-34 Output:regressor -1.150093e-34 1.968079e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.6381e-17 8.7238e-19 4.1703e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 1.3719e-17 7.2891e+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 | DE | 0.2246 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.060132 -0.012909 -0.001391 0.012341 0.086420 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.099418 0.006436 15.448 < 2e-16 *** Output:regressor -0.061199 0.009241 -6.623 6.21e-10 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02159 on 147 degrees of freedom Output:Multiple R-squared: 0.2298, Adjusted R-squared: 0.2246 Output:F-statistic: 43.86 on 1 and 147 DF, p-value: 6.207e-10 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.020444 0.0204438 43.86 6.207e-10 *** Output:Residuals 147 0.068519 0.0004661 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0006011014 Output:[1] 0.03688217 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 4.141799e-05 -5.718067e-05 Output:regressor -5.718067e-05 8.539189e-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) 0.099418 0.013892 7.1563 3.649e-11 *** Output:regressor -0.061199 0.020312 -3.0130 0.003047 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.1504 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.061014 -0.014826 -0.002048 0.013980 0.092869 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.094574 0.007172 13.187 < 2e-16 *** Output:regressor -0.056236 0.010782 -5.215 6.12e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0226 on 147 degrees of freedom Output:Multiple R-squared: 0.1561, Adjusted R-squared: 0.1504 Output:F-statistic: 27.2 on 1 and 147 DF, p-value: 6.122e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.013891 0.0138913 27.201 6.122e-07 *** Output:Residuals 147 0.075072 0.0005107 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0006011014 Output:[1] 0.02967967 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.143454e-05 -7.470882e-05 Output:regressor -7.470882e-05 1.162622e-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) 0.0945737 0.0094207 10.0390 < 2.2e-16 *** Output:regressor -0.0562355 0.0133892 -4.2001 4.606e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | 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:-0.055255 -0.018509 -0.002958 0.017708 0.089562 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.09369 0.01478 6.340 2.67e-09 *** Output:regressor -0.04985 0.02071 -2.407 0.0173 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02413 on 147 degrees of freedom Output:Multiple R-squared: 0.03791, Adjusted R-squared: 0.03137 Output:F-statistic: 5.793 on 1 and 147 DF, p-value: 0.01733 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.003373 0.0033730 5.7931 0.01733 * Output:Residuals 147 0.085590 0.0005822 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0006011014 Output:[1] 0.009171778 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002183925 -0.0003033147 Output:regressor -0.0003033147 0.0004289339 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.093687 0.018877 4.9631 1.897e-06 *** Output:regressor -0.049849 0.025251 -1.9741 0.05024 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | 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:-0.05618 -0.01959 -0.00258 0.01766 0.09594 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.068008 0.009637 7.057 6.23e-11 *** Output:regressor -0.016182 0.015936 -1.015 0.312 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02451 on 147 degrees of freedom Output:Multiple R-squared: 0.006966, Adjusted R-squared: 0.0002104 Output:F-statistic: 1.031 on 1 and 147 DF, p-value: 0.3116 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000620 0.00061970 1.0311 0.3116 Output:Residuals 147 0.088343 0.00060097 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0006011014 Output:[1] 0.01599024 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.287148e-05 -0.0001501999 Output:regressor -1.501999e-04 0.0002539451 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.068008 0.012261 5.5466 1.317e-07 *** Output:regressor -0.016182 0.020061 -0.8066 0.4212 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | -0.0021 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.058856 -0.018979 -0.002362 0.016555 0.091644 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.054589 0.005033 10.845 <2e-16 *** Output:regressor 0.008535 0.010233 0.834 0.406 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.02454 on 147 degrees of freedom Output:Multiple R-squared: 0.00471, Adjusted R-squared: -0.00206 Output:F-statistic: 0.6957 on 1 and 147 DF, p-value: 0.4056 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000419 0.00041903 0.6957 0.4056 Output:Residuals 147 0.088544 0.00060234 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0006011014 Output:[1] 0.03886473 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.533439e-05 -4.721921e-05 Output:regressor -4.721921e-05 1.047187e-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) 0.0545887 0.0070628 7.7291 1.565e-12 *** Output:regressor 0.0085352 0.0105053 0.8125 0.4178 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | -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:-0.058465 -0.020158 -0.001008 0.017838 0.093044 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.847e-02 4.312e-03 13.557 <2e-16 *** Output:regressor -4.513e-05 6.145e-03 -0.007 0.994 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.0246 on 147 degrees of freedom Output:Multiple R-squared: 3.669e-07, Adjusted R-squared: -0.006802 Output:F-statistic: 5.393e-05 on 1 and 147 DF, p-value: 0.9942 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000000 0.00000003 1e-04 0.9942 Output:Residuals 147 0.088963 0.00060519 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.0006011014 Output:[1] 0.108282 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.859758e-05 -2.342923e-05 Output:regressor -2.342923e-05 3.776366e-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) 5.8465e-02 5.6626e-03 10.3248 <2e-16 *** Output:regressor -4.5131e-05 7.2406e-03 -0.0062 0.995 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:-6.524e-16 -8.710e-17 -2.870e-17 3.360e-17 6.715e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.237e-15 9.886e-17 1.251e+01 <2e-16 *** Output:regressor 1.000e+00 1.409e-16 7.099e+15 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 5.639e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 5.039e+31 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 16.026 16.026 5.0395e+31 < 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] 0.108282 Output:[1] 0.108282 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.772339e-33 -1.231119e-32 Output:regressor -1.231119e-32 1.984341e-32 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.2370e-15 1.9465e-16 6.3548e+00 2.47e-09 *** Output:regressor 1.0000e+00 2.4503e-16 4.0812e+15 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | 0.0095 | +- 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:-0.76629 -0.22891 0.04279 0.29828 0.43859 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.76629 0.09762 7.849 7.98e-13 *** Output:regressor -0.21785 0.14018 -1.554 0.122 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3275 on 147 degrees of freedom Output:Multiple R-squared: 0.01616, Adjusted R-squared: 0.009472 Output:F-statistic: 2.415 on 1 and 147 DF, p-value: 0.1223 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2591 0.25905 2.4153 0.1223 Output:Residuals 147 15.7667 0.10726 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.108282 Output:[1] 0.03688217 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009530533 -0.01315762 Output:regressor -0.013157622 0.01964919 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.76629 0.17452 4.3909 2.145e-05 *** Output:regressor -0.21785 0.26348 -0.8268 0.4097 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 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:-0.67341 -0.22117 0.04303 0.29645 0.45091 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.4962 0.1042 4.760 4.6e-06 *** Output:regressor 0.1933 0.1567 1.234 0.219 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3285 on 147 degrees of freedom Output:Multiple R-squared: 0.01025, Adjusted R-squared: 0.003513 Output:F-statistic: 1.522 on 1 and 147 DF, p-value: 0.2193 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.1642 0.16419 1.5217 0.2193 Output:Residuals 147 15.8615 0.10790 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.108282 Output:[1] 0.02967967 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01086735 -0.01578486 Output:regressor -0.01578486 0.02456447 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.49618 0.16527 3.0023 0.003149 ** Output:regressor 0.19334 0.24429 0.7914 0.429977 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | -0.0048 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.70398 -0.21523 0.04197 0.31877 0.40632 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.7298 0.2020 3.612 0.000416 *** Output:regressor -0.1546 0.2831 -0.546 0.585796 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3298 on 147 degrees of freedom Output:Multiple R-squared: 0.002025, Adjusted R-squared: -0.004764 Output:F-statistic: 0.2983 on 1 and 147 DF, p-value: 0.5858 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0325 0.032451 0.2983 0.5858 Output:Residuals 147 15.9933 0.108798 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.108282 Output:[1] 0.009171778 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.04080866 -0.05667716 Output:regressor -0.05667716 0.08015027 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.72975 0.30211 2.4155 0.01694 * Output:regressor -0.15462 0.43415 -0.3561 0.72225 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | -0.0050 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.65217 -0.23963 0.04191 0.30262 0.41030 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.65217 0.06765 9.640 <2e-16 *** Output:regressor -0.07043 0.13755 -0.512 0.609 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3299 on 147 degrees of freedom Output:Multiple R-squared: 0.00178, Adjusted R-squared: -0.00501 Output:F-statistic: 0.2622 on 1 and 147 DF, p-value: 0.6094 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0285 0.02853 0.2622 0.6094 Output:Residuals 147 15.9972 0.10883 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.108282 Output:[1] 0.03886473 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004577154 -0.008531076 Output:regressor -0.008531076 0.018919489 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.652174 0.067239 9.6993 <2e-16 *** Output:regressor -0.070427 0.142061 -0.4958 0.6208 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | FR | -0.0060 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.66341 -0.23319 0.05348 0.31110 0.39267 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.66341 0.12975 5.113 9.72e-07 *** Output:regressor -0.07269 0.21455 -0.339 0.735 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3301 on 147 degrees of freedom Output:Multiple R-squared: 0.0007802, Adjusted R-squared: -0.006017 Output:F-statistic: 0.1148 on 1 and 147 DF, p-value: 0.7352 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0125 0.012504 0.1148 0.7352 Output:Residuals 147 16.0132 0.108934 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.108282 Output:[1] 0.01599024 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01683401 -0.02722543 Output:regressor -0.02722543 0.04603043 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.663410 0.214641 3.0908 0.002388 ** Output:regressor -0.072689 0.345235 -0.2105 0.833531 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | 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:-0.62089 -0.23356 0.05701 0.31283 0.38034 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.62089 0.07012 8.855 2.49e-15 *** Output:regressor -0.00813 1.10699 -0.007 0.994 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3302 on 147 degrees of freedom Output:Multiple R-squared: 3.669e-07, Adjusted R-squared: -0.006802 Output:F-statistic: 5.393e-05 on 1 and 147 DF, p-value: 0.9942 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.000 0.000006 1e-04 0.9942 Output:Residuals 147 16.026 0.109019 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.108282 Output:[1] 0.0006011014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.00491644 -0.07161127 Output:regressor -0.07161127 1.22543694 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.6208924 0.0723190 8.5855 1.194e-14 *** Output:regressor -0.0081298 1.3531153 -0.0060 0.9952 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:-7.333e-17 -5.023e-18 1.300e-18 5.644e-18 8.963e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.000e+00 4.215e-18 0.000e+00 1 Output:regressor 1.000e+00 6.337e-18 1.578e+17 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.328e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.49e+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 4.3926 4.3926 2.4901e+34 < 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] 0.02967967 Output:[1] 0.02967967 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.776674e-35 -2.580624e-35 Output:regressor -2.580624e-35 4.015978e-35 Output:[1] "-------------------------------------------------------------------------------------------" Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.0000e+00 7.1874e-18 0.0000e+00 1 Output:regressor 1.0000e+00 1.0906e-17 9.1689e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.4049 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.35459 -0.09337 0.00506 0.09223 0.29012 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.25846 0.03962 6.524 1.04e-09 *** Output:regressor 0.57365 0.05688 10.085 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1329 on 147 degrees of freedom Output:Multiple R-squared: 0.4089, Adjusted R-squared: 0.4049 Output:F-statistic: 101.7 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 1.7963 1.79628 101.7 < 2.2e-16 *** Output:Residuals 147 2.5963 0.01766 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02967967 Output:[1] 0.03688217 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001569400 -0.002166675 Output:regressor -0.002166675 0.003235647 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.258457 0.077470 3.3362 0.001075 ** Output:regressor 0.573651 0.097366 5.8917 2.504e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.1598 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.40025 -0.12429 0.03109 0.11027 0.30801 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.31484 0.06208 5.072 1.17e-06 *** Output:regressor 0.55413 0.10265 5.398 2.64e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1579 on 147 degrees of freedom Output:Multiple R-squared: 0.1654, Adjusted R-squared: 0.1598 Output:F-statistic: 29.14 on 1 and 147 DF, p-value: 2.643e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.7267 0.72667 29.139 2.643e-07 *** Output:Residuals 147 3.6659 0.02494 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02967967 Output:[1] 0.01599024 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003853826 -0.006232744 Output:regressor -0.006232744 0.010537790 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.31484 0.12610 2.4967 0.013640 * Output:regressor 0.55413 0.18920 2.9288 0.003945 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.1504 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.69577 -0.10034 0.01544 0.12206 0.33720 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.80485 0.03372 23.867 < 2e-16 *** Output:regressor -2.77665 0.53239 -5.215 6.12e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1588 on 147 degrees of freedom Output:Multiple R-squared: 0.1561, Adjusted R-squared: 0.1504 Output:F-statistic: 27.2 on 1 and 147 DF, p-value: 6.122e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.6859 0.68589 27.201 6.122e-07 *** Output:Residuals 147 3.7067 0.02522 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02967967 Output:[1] 0.0006011014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001137158 -0.01656347 Output:regressor -0.016563470 0.28343988 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.804849 0.036813 21.8632 < 2.2e-16 *** Output:regressor -2.776654 0.627846 -4.4225 1.886e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.1444 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.37144 -0.12652 0.00874 0.12464 0.37485 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.1497 0.0976 1.534 0.127 Output:regressor 0.6970 0.1368 5.096 1.05e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1594 on 147 degrees of freedom Output:Multiple R-squared: 0.1501, Adjusted R-squared: 0.1444 Output:F-statistic: 25.97 on 1 and 147 DF, p-value: 1.05e-06 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.6595 0.65951 25.97 1.05e-06 *** Output:Residuals 147 3.7331 0.02540 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02967967 Output:[1] 0.009171778 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009525386 -0.01322934 Output:regressor -0.013229345 0.01870834 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.14969 0.14943 1.0018 0.3180884 Output:regressor 0.69703 0.19175 3.6351 0.0003835 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 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:-0.60971 -0.14105 0.02118 0.12640 0.31357 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.60971 0.03015 20.224 <2e-16 *** Output:regressor 0.05299 0.04296 1.234 0.219 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.172 on 147 degrees of freedom Output:Multiple R-squared: 0.01025, Adjusted R-squared: 0.003513 Output:F-statistic: 1.522 on 1 and 147 DF, p-value: 0.2193 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0450 0.045005 1.5217 0.2193 Output:Residuals 147 4.3476 0.029575 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02967967 Output:[1] 0.108282 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0009088564 -0.001144977 Output:regressor -0.0011449772 0.001845495 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.609711 0.064210 9.4956 <2e-16 *** Output:regressor 0.052993 0.079820 0.6639 0.5078 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | -0.0055 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.63102 -0.13512 0.02407 0.14061 0.31866 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.62840 0.03543 17.737 <2e-16 *** Output:regressor 0.03147 0.07203 0.437 0.663 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1728 on 147 degrees of freedom Output:Multiple R-squared: 0.001297, Adjusted R-squared: -0.005497 Output:F-statistic: 0.1909 on 1 and 147 DF, p-value: 0.6628 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0057 0.0056965 0.1909 0.6628 Output:Residuals 147 4.3869 0.0298428 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.02967967 Output:[1] 0.03886473 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001255187 -0.002339467 Output:regressor -0.002339467 0.005188269 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.628399 0.062022 10.1318 <2e-16 *** Output:regressor 0.031470 0.106072 0.2967 0.7671 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:-2.802e-16 -4.360e-17 -2.410e-17 -6.600e-18 3.991e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 7.276e-17 3.095e-17 2.351e+00 0.0201 * Output:regressor 1.000e+00 3.540e-17 2.825e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.34e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 7.98e+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 89.046 89.046 7.9802e+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] 0.6016621 Output:[1] 0.6016621 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 9.581841e-34 5.121286e-34 Output:regressor 5.121286e-34 1.253100e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 7.2762e-17 3.5134e-17 2.0710e+00 0.04011 * Output:regressor 1.0000e+00 2.1709e-17 4.6065e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.3248 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.44928 -0.42869 0.02967 0.50757 1.20271 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.06521 0.07640 0.854 0.395 Output:regressor -0.42158 0.04962 -8.497 2e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6374 on 147 degrees of freedom Output:Multiple R-squared: 0.3294, Adjusted R-squared: 0.3248 Output:F-statistic: 72.19 on 1 and 147 DF, p-value: 1.996e-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 29.328 29.3278 72.192 1.996e-14 *** Output:Residuals 147 59.718 0.4062 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6016621 Output:[1] 1.114962 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005837389 -0.002767433 Output:regressor -0.002767433 0.002461886 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.065212 0.288581 0.2260 0.8215 Output:regressor -0.421579 0.561600 -0.7507 0.4540 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.2767 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.34941 -0.55861 0.08209 0.59542 1.18122 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.08553 0.08461 1.011 0.314 Output:regressor 0.27370 0.03606 7.591 3.38e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6597 on 147 degrees of freedom Output:Multiple R-squared: 0.2816, Adjusted R-squared: 0.2767 Output:F-statistic: 57.62 on 1 and 147 DF, p-value: 3.376e-12 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 25.076 25.0756 57.622 3.376e-12 *** Output:Residuals 147 63.970 0.4352 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6016621 Output:[1] 2.261671 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007159499 0.002347527 Output:regressor 0.002347527 0.001300081 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.085531 0.454144 0.1883 0.8509 Output:regressor 0.273704 0.396451 0.6904 0.4910 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | 0.0351 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.9646 -0.3649 0.1925 0.4901 1.6807 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.70417 0.13254 -5.313 3.92e-07 *** Output:regressor 0.04612 0.01825 2.527 0.0126 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7619 on 147 degrees of freedom Output:Multiple R-squared: 0.04164, Adjusted R-squared: 0.03512 Output:F-statistic: 6.387 on 1 and 147 DF, p-value: 0.01255 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 3.708 3.7077 6.3868 0.01255 * Output:Residuals 147 85.338 0.5805 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6016621 Output:[1] 11.78014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.017566813 -0.002133542 Output:regressor -0.002133542 0.000332977 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.704174 1.198025 -0.5878 0.5576 Output:regressor 0.046116 0.123331 0.3739 0.7090 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.0224 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.9884 -0.3459 0.1968 0.5093 1.6718 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.5749 0.1012 -5.681 6.95e-08 *** Output:regressor -0.2966 0.1416 -2.095 0.0379 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7669 on 147 degrees of freedom Output:Multiple R-squared: 0.02899, Adjusted R-squared: 0.02238 Output:F-statistic: 4.389 on 1 and 147 DF, p-value: 0.03789 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.581 2.58138 4.3887 0.03789 * Output:Residuals 147 86.465 0.58819 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6016621 Output:[1] 0.198327 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01023900 0.01122824 Output:regressor 0.01122824 0.02003906 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.57485 0.76588 -0.7506 0.4541 Output:regressor -0.29655 0.74146 -0.4000 0.6898 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | 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:-2.0445 -0.3656 0.2107 0.5543 1.5579 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.57422 0.14423 -3.981 0.000107 *** Output:regressor 0.10963 0.08579 1.278 0.203311 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.774 on 147 degrees of freedom Output:Multiple R-squared: 0.01099, Adjusted R-squared: 0.004258 Output:F-statistic: 1.633 on 1 and 147 DF, p-value: 0.2033 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.978 0.97829 1.6329 0.2033 Output:Residuals 147 88.068 0.59910 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6016621 Output:[1] 0.5499866 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02080143 -0.01111340 Output:regressor -0.01111340 0.00736013 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.57422 0.79714 -0.7204 0.4724 Output:regressor 0.10963 0.37821 0.2899 0.7723 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.0040 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.9748 -0.4134 0.1809 0.6150 1.3673 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.27720 0.12192 -2.274 0.0244 * Output:regressor -0.02807 0.02223 -1.263 0.2087 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7741 on 147 degrees of freedom Output:Multiple R-squared: 0.01073, Adjusted R-squared: 0.004002 Output:F-statistic: 1.595 on 1 and 147 DF, p-value: 0.2087 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.956 0.95563 1.5947 0.2087 Output:Residuals 147 88.090 0.59925 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.6016621 Output:[1] 8.194946 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.014864217 -0.0023145357 Output:regressor -0.002314536 0.0004940868 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.27720 0.43844 -0.6322 0.5282 Output:regressor -0.02807 0.15122 -0.1856 0.8530 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for DE
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| DE | DE | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.232e-14 -4.130e-17 1.371e-16 3.210e-16 2.474e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.328e-15 3.277e-16 -7.105e+00 4.82e-11 *** Output:regressor 1.000e+00 4.512e-17 2.216e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.884e-15 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.912e+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 1743.5 1743.5 4.9118e+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] 11.78014 Output:[1] 11.78014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.074077e-31 -1.304499e-32 Output:regressor -1.304499e-32 2.035901e-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) -2.3284e-15 6.2799e-16 -3.7077e+00 0.0002957 *** Output:regressor 1.0000e+00 7.5238e-17 1.3291e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.9127 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.14854 -0.79582 -0.04426 0.82609 2.49855 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.2708 0.1890 -1.433 0.154 Output:regressor 4.4229 0.1124 39.349 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.014 on 147 degrees of freedom Output:Multiple R-squared: 0.9133, Adjusted R-squared: 0.9127 Output:F-statistic: 1548 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 1592.29 1592.29 1548.4 < 2.2e-16 *** Output:Residuals 147 151.17 1.03 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 11.78014 Output:[1] 0.5499866 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03570608 -0.01907637 Output:regressor -0.01907637 0.01263381 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.27082 0.66247 -0.4088 0.6833 Output:regressor 4.42287 0.55242 8.0063 3.294e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.8633 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.4809 -1.1332 -0.2965 1.2649 1.7721 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.3929 0.1674 14.29 <2e-16 *** Output:regressor -7.1648 0.2342 -30.59 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.269 on 147 degrees of freedom Output:Multiple R-squared: 0.8643, Adjusted R-squared: 0.8633 Output:F-statistic: 935.9 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 1506.80 1506.80 935.94 < 2.2e-16 *** Output:Residuals 147 236.66 1.61 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 11.78014 Output:[1] 0.198327 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02802482 0.03073245 Output:regressor 0.03073245 0.05484826 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.3929 4.4635 0.5361 0.5927 Output:regressor -7.1648 5.0489 -1.4191 0.1580 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | RO | 0.6140 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.128 -1.967 -0.261 2.403 3.001 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.99715 0.33584 5.947 1.91e-08 *** Output:regressor 0.94148 0.06123 15.376 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.132 on 147 degrees of freedom Output:Multiple R-squared: 0.6166, Adjusted R-squared: 0.614 Output:F-statistic: 236.4 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 1075.05 1075.05 236.43 < 2.2e-16 *** Output:Residuals 147 668.41 4.55 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] 11.78014 Output:[1] 8.194946 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.11278655 -0.017562208 Output:regressor -0.01756221 0.003749026 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.99715 8.60829 0.2320 0.8169 Output:regressor 0.94148 1.25101 0.7526 0.4529 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.0392 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-5.6263 -3.1356 0.1077 2.5460 5.3996 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.6263 0.4033 13.951 < 2e-16 *** Output:regressor 0.6950 0.2619 2.654 0.00884 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.364 on 147 degrees of freedom Output:Multiple R-squared: 0.04571, Adjusted R-squared: 0.03922 Output:F-statistic: 7.041 on 1 and 147 DF, p-value: 0.008841 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 79.7 79.696 7.0415 0.008841 ** Output:Residuals 147 1663.8 11.318 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 11.78014 Output:[1] 1.114962 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.1626311 -0.07710140 Output:regressor -0.0771014 0.06858876 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.62627 11.23739 0.5007 0.6173 Output:regressor 0.69496 4.02936 0.1725 0.8633 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | 0.0351 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.8050 -2.8819 0.8158 2.3747 4.4586 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 6.7765 0.3124 21.690 <2e-16 *** Output:regressor 0.9029 0.3573 2.527 0.0126 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.371 on 147 degrees of freedom Output:Multiple R-squared: 0.04164, Adjusted R-squared: 0.03512 Output:F-statistic: 6.387 on 1 and 147 DF, p-value: 0.01255 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 72.59 72.595 6.3868 0.01255 * Output:Residuals 147 1670.87 11.366 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 11.78014 Output:[1] 0.6016621 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.09760528 0.0521679 Output:regressor 0.05216790 0.1276468 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 6.77649 11.43441 0.5926 0.5543 Output:regressor 0.90291 6.83236 0.1322 0.8950 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | -0.0029 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.6634 -3.1314 0.3622 2.9153 5.0855 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 6.6634 0.4409 15.114 <2e-16 *** Output:regressor 0.1418 0.1879 0.755 0.452 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.437 on 147 degrees of freedom Output:Multiple R-squared: 0.003858, Adjusted R-squared: -0.002919 Output:F-statistic: 0.5693 on 1 and 147 DF, p-value: 0.4518 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 6.73 6.7257 0.5693 0.4518 Output:Residuals 147 1736.74 11.8145 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 11.78014 Output:[1] 2.261671 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.19437369 0.06373317 Output:regressor 0.06373317 0.03529598 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 6.66343 1.55659 4.2808 3.344e-05 *** Output:regressor 0.14175 0.57770 0.2454 0.8065 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:-3.887e-15 -1.130e-17 2.990e-17 5.900e-17 4.500e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -5.821e-16 6.125e-17 -9.504e+00 <2e-16 *** Output:regressor 1.000e+00 3.643e-17 2.745e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.287e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 7.534e+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 81.398 81.398 7.5344e+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] 0.5499866 Output:[1] 0.5499866 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.751127e-33 -2.004081e-33 Output:regressor -2.004081e-33 1.327254e-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 1.1119e-16 -5.235e+00 5.599e-07 *** Output:regressor 1.0000e+00 5.7472e-17 1.740e+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 | 0.9127 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.46774 -0.18410 -0.02732 0.17708 0.46125 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.186845 0.038116 4.902 2.48e-06 *** Output:regressor 0.206493 0.005248 39.349 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2191 on 147 degrees of freedom Output:Multiple R-squared: 0.9133, Adjusted R-squared: 0.9127 Output:F-statistic: 1548 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 74.340 74.340 1548.4 < 2.2e-16 *** Output:Residuals 147 7.058 0.048 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5499866 Output:[1] 11.78014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0014528352 -1.764512e-04 Output:regressor -0.0001764512 2.753833e-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) 0.186845 0.151679 1.2318 0.22 Output:regressor 0.206493 0.025731 8.0251 2.961e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.8658 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.70838 -0.17366 0.03113 0.21433 0.57655 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.64128 0.03585 17.89 <2e-16 *** Output:regressor -1.55031 0.05015 -30.92 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2717 on 147 degrees of freedom Output:Multiple R-squared: 0.8667, Adjusted R-squared: 0.8658 Output:F-statistic: 955.8 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 70.548 70.548 955.78 < 2.2e-16 *** Output:Residuals 147 10.850 0.074 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5499866 Output:[1] 0.198327 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001284880 0.001409019 Output:regressor 0.001409019 0.002514679 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.64128 0.27277 2.3510 0.02005 * Output:regressor -1.55031 0.27111 -5.7184 5.804e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.7190 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.89158 -0.24755 0.04651 0.28106 0.81771 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.47952 0.06191 7.746 1.43e-12 *** Output:regressor 0.21997 0.01129 19.488 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3931 on 147 degrees of freedom Output:Multiple R-squared: 0.7209, Adjusted R-squared: 0.719 Output:F-statistic: 379.8 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 58.684 58.684 379.78 < 2.2e-16 *** Output:Residuals 147 22.714 0.155 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5499866 Output:[1] 8.194946 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0038327824 -0.0005968099 Output:regressor -0.0005968099 0.0001274017 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.479523 0.432674 1.1083 0.2696 Output:regressor 0.219966 0.047888 4.5933 9.303e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.1284 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.29548 -0.53208 -0.03256 0.67291 1.13747 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.22061 0.08299 14.707 < 2e-16 *** Output:regressor 0.25739 0.05390 4.776 4.29e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6924 on 147 degrees of freedom Output:Multiple R-squared: 0.1343, Adjusted R-squared: 0.1284 Output:F-statistic: 22.81 on 1 and 147 DF, p-value: 4.291e-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 10.933 10.9325 22.807 4.291e-06 *** Output:Residuals 147 70.466 0.4794 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5499866 Output:[1] 1.114962 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006887924 -0.003265479 Output:regressor -0.003265479 0.002904943 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.22061 1.02212 1.1942 0.2343 Output:regressor 0.25739 0.35301 0.7291 0.4671 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | 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:-1.6098 -0.6970 0.3265 0.6300 1.0146 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.55090 0.06858 22.616 <2e-16 *** Output:regressor 0.10021 0.07842 1.278 0.203 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.74 on 147 degrees of freedom Output:Multiple R-squared: 0.01099, Adjusted R-squared: 0.004258 Output:F-statistic: 1.633 on 1 and 147 DF, p-value: 0.2033 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.894 0.89427 1.6329 0.2033 Output:Residuals 147 80.504 0.54764 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5499866 Output:[1] 0.6016621 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004702705 0.002513494 Output:regressor 0.002513494 0.006150131 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.55090 1.47077 1.0545 0.2934 Output:regressor 0.10021 0.70284 0.1426 0.8868 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | IT | -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:-1.5786 -0.7477 0.1951 0.6456 1.0655 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.504664 0.095445 15.765 <2e-16 *** Output:regressor -0.002925 0.040672 -0.072 0.943 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7441 on 147 degrees of freedom Output:Multiple R-squared: 3.519e-05, Adjusted R-squared: -0.006767 Output:F-statistic: 0.005172 on 1 and 147 DF, p-value: 0.9428 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.003 0.00286 0.0052 0.9428 Output:Residuals 147 81.395 0.55371 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5499866 Output:[1] 2.261671 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.009109664 0.002986967 Output:regressor 0.002986967 0.001654208 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.5046639 0.3494004 4.3064 3.018e-05 *** Output:regressor -0.0029251 0.2575820 -0.0114 0.991 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:-6.249e-16 -9.360e-17 -5.280e-17 -1.300e-17 7.756e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.821e-16 7.765e-17 7.497e+00 5.69e-12 *** Output:regressor 1.000e+00 5.043e-17 1.983e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 6.478e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.933e+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 1 165.01 165.01 3.9327e+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] 1.114962 Output:[1] 1.114962 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.029252e-33 -2.858393e-33 Output:regressor -2.858393e-33 2.542803e-33 Error:Warning message: Output:[1] "-------------------------------------------------------------------------------------------" Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 5.8210e-16 1.0118e-16 5.7530e+00 4.914e-08 *** Output:regressor 1.0000e+00 4.5424e-17 2.2015e+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 | RO | 0.5001 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.46788 -0.38587 -0.06974 0.53301 1.41283 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.10196 0.11758 -0.867 0.387 Output:regressor 0.26173 0.02144 12.209 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7466 on 147 degrees of freedom Output:Multiple R-squared: 0.5035, Adjusted R-squared: 0.5001 Output:F-statistic: 149.1 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 83.084 83.084 149.07 < 2.2e-16 *** Output:Residuals 147 81.930 0.557 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.114962 Output:[1] 8.194946 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.013824718 -0.0021526732 Output:regressor -0.002152673 0.0004595338 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.10196 0.49886 -0.2044 0.8383 Output:regressor 0.26173 0.33561 0.7799 0.4367 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | IT | 0.4298 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.0264 -0.5319 -0.0800 0.3910 2.0679 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.28918 0.10227 2.828 0.00534 ** Output:regressor -0.46239 0.04358 -10.610 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7973 on 147 degrees of freedom Output:Multiple R-squared: 0.4337, Adjusted R-squared: 0.4298 Output:F-statistic: 112.6 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 71.567 71.567 112.58 < 2.2e-16 *** Output:Residuals 147 93.447 0.636 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.114962 Output:[1] 2.261671 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.010458528 0.003429245 Output:regressor 0.003429245 0.001899146 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.28918 1.45348 0.1990 0.8426 Output:regressor -0.46239 3.00066 -0.1541 0.8777 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.3248 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.4640 -0.6102 -0.1678 0.2850 2.0565 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.80483 0.08040 10.010 <2e-16 *** Output:regressor -0.78124 0.09195 -8.497 2e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8677 on 147 degrees of freedom Output:Multiple R-squared: 0.3294, Adjusted R-squared: 0.3248 Output:F-statistic: 72.19 on 1 and 147 DF, p-value: 1.996e-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 54.348 54.348 72.192 1.996e-14 *** Output:Residuals 147 110.666 0.753 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.114962 Output:[1] 0.6016621 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006464662 0.003455222 Output:regressor 0.003455222 0.008454394 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.80483 0.46007 1.7494 0.08232 . Output:regressor -0.78124 0.19346 -4.0382 8.642e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.1608 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.2905 -0.6761 -0.4155 0.7916 2.0848 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.5821 0.1276 4.561 1.07e-05 *** Output:regressor -0.9674 0.1785 -5.418 2.41e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9673 on 147 degrees of freedom Output:Multiple R-squared: 0.1665, Adjusted R-squared: 0.1608 Output:F-statistic: 29.36 on 1 and 147 DF, p-value: 2.406e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 27.469 27.4690 29.357 2.406e-07 *** Output:Residuals 147 137.545 0.9357 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.114962 Output:[1] 0.198327 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01628789 0.01786155 Output:regressor 0.01786155 0.03187755 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.58207 1.01212 0.5751 0.5661 Output:regressor -0.96739 1.28980 -0.7500 0.4544 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.1284 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.2697 -0.7678 -0.5092 0.9767 2.0300 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.3362 0.1837 1.830 0.0692 . Output:regressor 0.5218 0.1093 4.776 4.29e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.9858 on 147 degrees of freedom Output:Multiple R-squared: 0.1343, Adjusted R-squared: 0.1284 Output:F-statistic: 22.81 on 1 and 147 DF, p-value: 4.291e-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 22.163 22.1629 22.807 4.291e-06 *** Output:Residuals 147 142.851 0.9718 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.114962 Output:[1] 0.5499866 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03374124 -0.01802664 Output:regressor -0.01802664 0.01193860 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.33622 1.27722 0.2632 0.7927 Output:regressor 0.52180 0.82847 0.6298 0.5298 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.0392 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.1754 -0.7568 -0.5695 0.9825 2.2454 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.70265 0.18004 3.903 0.000144 *** Output:regressor 0.06578 0.02479 2.654 0.008841 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.035 on 147 degrees of freedom Output:Multiple R-squared: 0.04571, Adjusted R-squared: 0.03922 Output:F-statistic: 7.041 on 1 and 147 DF, p-value: 0.008841 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 7.543 7.5430 7.0415 0.008841 ** Output:Residuals 147 157.471 1.0712 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 1.114962 Output:[1] 11.78014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.032415340 -0.0039369405 Output:regressor -0.003936941 0.0006144292 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.702653 1.664226 0.4222 0.6735 Output:regressor 0.065776 0.209778 0.3136 0.7543 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for GB
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| GB | GB | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.918e-15 -3.640e-18 2.235e-17 4.301e-17 2.696e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.183e-16 3.237e-17 -6.744e+00 3.29e-10 *** Output:regressor 1.000e+00 4.528e-17 2.208e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.453e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 4.877e+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 29.352 29.352 4.8768e+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] 0.198327 Output:[1] 0.198327 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.047709e-33 1.148934e-33 Output:regressor 1.148934e-33 2.050505e-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) -2.1829e-16 4.7669e-17 -4.5792e+00 9.872e-06 *** Output:regressor 1.0000e+00 5.2570e-17 1.9022e+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 | ES | 0.8658 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.32161 -0.13747 -0.01128 0.14448 0.31609 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.28381 0.03040 9.336 <2e-16 *** Output:regressor -0.55905 0.01808 -30.916 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1631 on 147 degrees of freedom Output:Multiple R-squared: 0.8667, Adjusted R-squared: 0.8658 Output:F-statistic: 955.8 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 25.4397 25.4397 955.78 < 2.2e-16 *** Output:Residuals 147 3.9127 0.0266 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.198327 Output:[1] 0.5499866 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0009241659 -0.0004937459 Output:regressor -0.0004937459 0.0003269958 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.28381 0.20546 1.3814 0.1693 Output:regressor -0.55905 0.11363 -4.9197 2.295e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.8633 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.34469 -0.10835 -0.03787 0.14914 0.25875 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.212585 0.028639 7.423 8.53e-12 *** Output:regressor -0.120625 0.003943 -30.593 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1646 on 147 degrees of freedom Output:Multiple R-squared: 0.8643, Adjusted R-squared: 0.8633 Output:F-statistic: 935.9 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 25.3681 25.3681 935.94 < 2.2e-16 *** Output:Residuals 147 3.9843 0.0271 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.198327 Output:[1] 11.78014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.201710e-04 -9.961223e-05 Output:regressor -9.961223e-05 1.554625e-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) 0.212585 0.399170 0.5326 0.59514 Output:regressor -0.120625 0.055938 -2.1564 0.03268 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.8311 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.27870 -0.15276 -0.03643 0.12721 0.39907 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.104485 0.028829 3.624 0.000398 *** Output:regressor -0.141916 0.005256 -27.001 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.183 on 147 degrees of freedom Output:Multiple R-squared: 0.8322, Adjusted R-squared: 0.8311 Output:F-statistic: 729 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 24.4271 24.4271 729.05 < 2.2e-16 *** Output:Residuals 147 4.9253 0.0335 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.198327 Output:[1] 8.194946 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0008310862 -1.294100e-04 Output:regressor -0.0001294100 2.762532e-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) 0.104485 0.161979 0.6451 0.51990 Output:regressor -0.141916 0.067743 -2.0949 0.03789 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.1608 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.7275 -0.4533 0.1411 0.3669 0.5195 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.36688 0.04890 -7.502 5.51e-12 *** Output:regressor -0.17208 0.03176 -5.418 2.41e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.408 on 147 degrees of freedom Output:Multiple R-squared: 0.1665, Adjusted R-squared: 0.1608 Output:F-statistic: 29.36 on 1 and 147 DF, p-value: 2.406e-07 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 4.8861 4.8861 29.357 2.406e-07 *** Output:Residuals 147 24.4663 0.1664 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.198327 Output:[1] 1.114962 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002391550 -0.001133804 Output:regressor -0.001133804 0.001008623 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.36688 1.49909 -0.2447 0.8070 Output:regressor -0.17208 0.45276 -0.3801 0.7044 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.0224 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.68145 -0.38499 -0.04762 0.35158 0.80542 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.60027 0.04080 -14.711 <2e-16 *** Output:regressor -0.09775 0.04666 -2.095 0.0379 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4403 on 147 degrees of freedom Output:Multiple R-squared: 0.02899, Adjusted R-squared: 0.02238 Output:F-statistic: 4.389 on 1 and 147 DF, p-value: 0.03789 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.8509 0.85091 4.3887 0.03789 * Output:Residuals 147 28.5015 0.19389 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.198327 Output:[1] 0.6016621 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0016649427 0.0008898757 Output:regressor 0.0008898757 0.0021773885 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.600269 1.100343 -0.5455 0.5862 Output:regressor -0.097754 0.627310 -0.1558 0.8764 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.0170 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.73018 -0.42446 0.03423 0.42954 0.65336 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.47802 0.05663 -8.441 2.75e-14 *** Output:regressor 0.04558 0.02413 1.889 0.0609 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4415 on 147 degrees of freedom Output:Multiple R-squared: 0.02369, Adjusted R-squared: 0.01705 Output:F-statistic: 3.567 on 1 and 147 DF, p-value: 0.06093 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.6953 0.69528 3.5665 0.06093 . Output:Residuals 147 28.6571 0.19495 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.198327 Output:[1] 2.261671 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003207276 0.0010516335 Output:regressor 0.001051633 0.0005824037 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.478022 0.468633 -1.0200 0.3094 Output:regressor 0.045576 0.135577 0.3362 0.7372 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:-6.775e-15 2.000e-18 4.580e-17 1.052e-16 7.123e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -5.821e-16 7.330e-17 -7.941e+00 4.76e-13 *** Output:regressor 1.000e+00 3.124e-17 3.201e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 5.715e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.025e+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 1 334.73 334.73 1.0249e+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] 2.261671 Output:[1] 2.261671 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.372991e-33 1.761749e-33 Output:regressor 1.761749e-33 9.756720e-34 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -5.8210e-16 1.0616e-16 -5.4830e+00 1.777e-07 *** Output:regressor 1.0000e+00 3.5413e-17 2.8238e+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 | 0.4298 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.84004 -0.91180 0.02381 0.92832 2.10866 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.7513 0.1361 -5.519 1.5e-07 *** Output:regressor -0.9379 0.0884 -10.610 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.136 on 147 degrees of freedom Output:Multiple R-squared: 0.4337, Adjusted R-squared: 0.4298 Output:F-statistic: 112.6 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 1 145.17 145.172 112.58 < 2.2e-16 *** Output:Residuals 147 189.56 1.289 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.261671 Output:[1] 1.114962 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.018528825 -0.008784285 Output:regressor -0.008784285 0.007814426 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.75132 5.24222 -0.1433 0.8862 Output:regressor -0.93795 3.15771 -0.2970 0.7669 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.2767 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.4070 -0.8817 -0.2974 1.1818 2.8550 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.3852 0.1185 -11.687 < 2e-16 *** Output:regressor 1.0289 0.1355 7.591 3.38e-12 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.279 on 147 degrees of freedom Output:Multiple R-squared: 0.2816, Adjusted R-squared: 0.2767 Output:F-statistic: 57.62 on 1 and 147 DF, p-value: 3.376e-12 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 94.26 94.260 57.622 3.376e-12 *** Output:Residuals 147 240.47 1.636 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.261671 Output:[1] 0.6016621 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.014047115 0.007507878 Output:regressor 0.007507878 0.018370619 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.38519 0.89719 -1.5439 0.12476 Output:regressor 1.02886 0.47019 2.1882 0.03023 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.1834 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.7180 -1.6420 0.4703 0.9229 2.1851 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.73603 0.21403 -3.439 0.00076 *** Output:regressor -0.22834 0.03902 -5.851 3.05e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.359 on 147 degrees of freedom Output:Multiple R-squared: 0.1889, Adjusted R-squared: 0.1834 Output:F-statistic: 34.24 on 1 and 147 DF, p-value: 3.047e-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 63.237 63.237 34.24 3.047e-08 *** Output:Residuals 147 271.490 1.847 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.261671 Output:[1] 8.194946 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.04581082 -0.007133290 Output:regressor -0.00713329 0.001522752 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.73603 4.98498 -0.1476 0.8828 Output:regressor -0.22834 1.08043 -0.2113 0.8329 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.0170 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.0139 -1.3699 0.3037 1.1506 2.5381 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.5145 0.1967 -7.699 1.86e-12 *** Output:regressor 0.5197 0.2752 1.889 0.0609 . Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.491 on 147 degrees of freedom Output:Multiple R-squared: 0.02369, Adjusted R-squared: 0.01705 Output:F-statistic: 3.567 on 1 and 147 DF, p-value: 0.06093 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 7.93 7.9288 3.5665 0.06093 . Output:Residuals 147 326.80 2.2231 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.261671 Output:[1] 0.198327 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.03869893 0.04243784 Output:regressor 0.04243784 0.07573890 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.51446 3.83102 -0.3953 0.6932 Output:regressor 0.51974 3.38602 0.1535 0.8782 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | -0.0029 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-3.02577 -1.00928 -0.04497 1.33946 2.57750 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.98006 0.26199 -7.558 4.06e-12 *** Output:regressor 0.02721 0.03607 0.755 0.452 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.506 on 147 degrees of freedom Output:Multiple R-squared: 0.003858, Adjusted R-squared: -0.002919 Output:F-statistic: 0.5693 on 1 and 147 DF, p-value: 0.4518 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.29 1.2913 0.5693 0.4518 Output:Residuals 147 333.44 2.2683 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.261671 Output:[1] 11.78014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.068637532 -0.008336235 Output:regressor -0.008336235 0.001301017 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.980055 2.812877 -0.7039 0.4826 Output:regressor 0.027215 0.256094 0.1063 0.9155 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | ES | -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:-3.02798 -1.13675 0.06811 1.26786 2.59740 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.78752 0.28117 -6.357 2.44e-09 *** Output:regressor -0.01203 0.16725 -0.072 0.943 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: 3.519e-05, Adjusted R-squared: -0.006767 Output:F-statistic: 0.005172 on 1 and 147 DF, p-value: 0.9428 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01 0.01178 0.0052 0.9428 Output:Residuals 147 334.72 2.27698 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 2.261671 Output:[1] 0.5499866 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.07905920 -0.04223826 Output:regressor -0.04223826 0.02797336 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.787515 3.088060 -0.5788 0.5636 Output:regressor -0.012029 1.288565 -0.0093 0.9926 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:-1.592e-15 -1.880e-16 -1.045e-16 5.970e-17 1.379e-14 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.328e-15 1.837e-16 1.268e+01 <2e-16 *** Output:regressor 1.000e+00 3.349e-17 2.986e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.166e-15 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 8.916e+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 1212.8 1212.8 8.9157e+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] 8.194946 Output:[1] 8.194946 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.374298e-32 -5.254185e-33 Output:regressor -5.254185e-33 1.121617e-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) 2.3284e-15 3.1754e-16 7.3327e+00 1.399e-11 *** Output:regressor 1.0000e+00 4.9683e-17 2.0128e+16 < 2.2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:Warning message: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.8311 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.6357 -1.0014 -0.3432 0.5009 2.5964 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.3988 0.1552 9.01 1e-15 *** Output:regressor -5.8640 0.2172 -27.00 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.177 on 147 degrees of freedom Output:Multiple R-squared: 0.8322, Adjusted R-squared: 0.8311 Output:F-statistic: 729 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 1009.34 1009.34 729.05 < 2.2e-16 *** Output:Residuals 147 203.52 1.38 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 8.194946 Output:[1] 0.198327 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02409992 0.02642834 Output:regressor 0.02642834 0.04716672 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.3988 1.1540 1.2121 0.2274 Output:regressor -5.8640 1.2553 -4.6714 6.696e-06 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.7190 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.89403 -1.33074 -0.02099 1.37798 2.85651 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.2644 0.2827 -0.935 0.351 Output:regressor 3.2775 0.1682 19.488 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.517 on 147 degrees of freedom Output:Multiple R-squared: 0.7209, Adjusted R-squared: 0.719 Output:F-statistic: 379.8 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 1 874.40 874.4 379.78 < 2.2e-16 *** Output:Residuals 147 338.45 2.3 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 8.194946 Output:[1] 0.5499866 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.07994128 -0.04270952 Output:regressor -0.04270952 0.02828547 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.26444 2.17647 -0.1215 0.903460 Output:regressor 3.27755 1.21413 2.6995 0.007758 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.6140 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.496 -1.536 -0.498 1.927 2.696 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.48792 0.30938 1.577 0.117 Output:regressor 0.65495 0.04259 15.376 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.779 on 147 degrees of freedom Output:Multiple R-squared: 0.6166, Adjusted R-squared: 0.614 Output:F-statistic: 236.4 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 1 747.87 747.87 236.43 < 2.2e-16 *** Output:Residuals 147 464.99 3.16 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 8.194946 Output:[1] 11.78014 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.09571685 -0.011625099 Output:regressor -0.01162510 0.001814302 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.48792 4.46157 0.1094 0.9131 Output:regressor 0.65495 0.54424 1.2034 0.2308 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.5001 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.8501 -1.3485 -0.8913 1.8117 4.3172 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.5220 0.2426 10.39 <2e-16 *** Output:regressor 1.9237 0.1576 12.21 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.024 on 147 degrees of freedom Output:Multiple R-squared: 0.5035, Adjusted R-squared: 0.5001 Output:F-statistic: 149.1 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 1 610.67 610.67 149.07 < 2.2e-16 *** Output:Residuals 147 602.18 4.10 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 8.194946 Output:[1] 1.114962 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.05886275 -0.02790609 Output:regressor -0.02790609 0.02482503 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.5220 4.1286 0.6109 0.5422 Output:regressor 1.9237 1.4708 1.3080 0.1929 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.1834 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-6.0111 -2.1147 0.0172 2.4415 4.7294 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.1905 0.3318 9.616 < 2e-16 *** Output:regressor -0.8274 0.1414 -5.851 3.05e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.587 on 147 degrees of freedom Output:Multiple R-squared: 0.1889, Adjusted R-squared: 0.1834 Output:F-statistic: 34.24 on 1 and 147 DF, p-value: 3.047e-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 1 229.13 229.133 34.24 3.047e-08 *** Output:Residuals 147 983.72 6.692 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 8.194946 Output:[1] 2.261671 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.11009687 0.03609965 Output:regressor 0.03609965 0.01999230 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 3.19051 1.39860 2.2812 0.02397 * Output:regressor -0.82737 0.57851 -1.4302 0.15479 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.0040 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-4.5815 -2.7537 -0.0974 2.7904 4.7515 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.5282 0.2647 17.104 <2e-16 *** Output:regressor -0.3823 0.3028 -1.263 0.209 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.857 on 147 degrees of freedom Output:Multiple R-squared: 0.01073, Adjusted R-squared: 0.004002 Output:F-statistic: 1.595 on 1 and 147 DF, p-value: 0.2087 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 13.02 13.0162 1.5947 0.2087 Output:Residuals 147 1199.84 8.1621 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 8.194946 Output:[1] 0.6016621 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.07008958 0.03746136 Output:regressor 0.03746136 0.09166216 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 4.52822 4.43877 1.0202 0.3093 Output:regressor -0.38233 1.82556 -0.2094 0.8344 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:-3.486e-15 1.350e-17 2.360e-17 3.580e-17 3.208e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.729e-17 2.396e-17 -1.139e+00 0.257 Output:regressor 1.000e+00 5.647e-17 1.771e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 2.911e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.135e+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 26.571 26.571 3.1354e+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] 0.1795363 Output:[1] 0.1795363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.742631e-34 1.324591e-34 Output:regressor 1.324591e-34 3.189355e-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 2.2763e-17 -1.1987e+00 0.2326 Output:regressor 1.0000e+00 8.8493e-18 1.1300e+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] "-------------------------------------------------------------------------------------------" | |
| CH | FR | 0.0933 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.98174 -0.31164 0.06019 0.29311 0.88604 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.20995 0.05330 -3.939 0.000126 *** Output:regressor -0.34680 0.08611 -4.028 9e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4035 on 147 degrees of freedom Output:Multiple R-squared: 0.09938, Adjusted R-squared: 0.09325 Output:F-statistic: 16.22 on 1 and 147 DF, p-value: 9.004e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.6406 2.64065 16.221 9.004e-05 *** Output:Residuals 147 23.9307 0.16279 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1795363 Output:[1] 0.1483486 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002841234 0.003600799 Output:regressor 0.003600799 0.007414693 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.20995 0.16594 -1.2652 0.2078 Output:regressor -0.34680 0.43729 -0.7931 0.4290 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | IT | 0.0630 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.99301 -0.32138 0.05114 0.31073 0.86952 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.09893 0.05415 1.827 0.06972 . Output:regressor -0.15756 0.04763 -3.308 0.00118 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4102 on 147 degrees of freedom Output:Multiple R-squared: 0.06929, Adjusted R-squared: 0.06295 Output:F-statistic: 10.94 on 1 and 147 DF, p-value: 0.001181 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.841 1.84103 10.943 0.001181 ** Output:Residuals 147 24.730 0.16823 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1795363 Output:[1] 0.5011006 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002931997 -0.002022322 Output:regressor -0.002022322 0.002268434 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.098931 0.286462 0.3454 0.7303 Output:regressor -0.157557 0.176489 -0.8927 0.3735 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | RO | 0.0033 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.94219 -0.32208 0.03838 0.32020 0.87745 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.04341 0.03469 -1.252 0.213 Output:regressor -0.06050 0.04950 -1.222 0.224 Output: Output:Residual standard error: 0.423 on 147 degrees of freedom Output:Multiple R-squared: 0.01006, Adjusted R-squared: 0.003324 Output:F-statistic: 1.494 on 1 and 147 DF, p-value: 0.2236 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2673 0.26726 1.4936 0.2236 Output:Residuals 147 26.3041 0.17894 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1795363 Output:[1] 0.4933411 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0012033064 7.62082e-05 Output:regressor 0.0000762082 2.45074e-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) -0.043413 0.214058 -0.2028 0.8396 Output:regressor -0.060501 0.374614 -0.1615 0.8719 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | GB | 0.0014 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.02015 -0.31855 -0.00524 0.31906 0.97867 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.01886 0.04035 -0.467 0.641 Output:regressor -0.35013 0.31829 -1.100 0.273 Output: Output:Residual standard error: 0.4234 on 147 degrees of freedom Output:Multiple R-squared: 0.008164, Adjusted R-squared: 0.001417 Output:F-statistic: 1.21 on 1 and 147 DF, p-value: 0.2731 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.2169 0.21694 1.21 0.2731 Output:Residuals 147 26.3544 0.17928 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1795363 Output:[1] 0.01195692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001628114 -0.006560862 Output:regressor -0.006560862 0.101310747 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.018857 0.133198 -0.1416 0.8876 Output:regressor -0.350127 2.219342 -0.1578 0.8749 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | DE | -0.0031 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.01888 -0.33617 0.00533 0.30502 0.96265 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.01774 0.04741 -0.374 0.709 Output:regressor 0.02953 0.04001 0.738 0.462 Output: Output:Residual standard error: 0.4244 on 147 degrees of freedom Output:Multiple R-squared: 0.003691, Adjusted R-squared: -0.003086 Output:F-statistic: 0.5446 on 1 and 147 DF, p-value: 0.4617 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0981 0.098078 0.5446 0.4617 Output:Residuals 147 26.4733 0.180090 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1795363 Output:[1] 0.7601559 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002248017 0.001289868 Output:regressor 0.001289868 0.001600760 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.017740 0.157966 -0.1123 0.9107 Output:regressor 0.029526 0.239845 0.1231 0.9022 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| CH | ES | -0.0039 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.97314 -0.34187 0.02984 0.30137 0.93124 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.09185 0.08465 -1.085 0.280 Output:regressor -0.08788 0.13479 -0.652 0.515 Output: Output:Residual standard error: 0.4245 on 147 degrees of freedom Output:Multiple R-squared: 0.002883, Adjusted R-squared: -0.0039 Output:F-statistic: 0.4251 on 1 and 147 DF, p-value: 0.5154 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0766 0.076617 0.4251 0.5154 Output:Residuals 147 26.4948 0.180236 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1795363 Output:[1] 0.06703391 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007166302 0.01040267 Output:regressor 0.010402665 0.01816713 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.091852 0.219966 -0.4176 0.6769 Output:regressor -0.087879 0.465633 -0.1887 0.8506 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:-6.952e-16 -1.010e-16 -5.390e-17 1.100e-18 8.091e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 7.276e-16 7.560e-17 9.625e+00 <2e-16 *** Output:regressor 1.000e+00 6.379e-17 1.568e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 6.766e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.457e+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 1 112.5 112.5 2.4573e+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] 0.7601559 Output:[1] 0.7601559 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 5.714979e-33 3.279143e-33 Output:regressor 3.279143e-33 4.069503e-33 Error:Warning message: Error:In summary.lm(object) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 7.2762e-16 1.0009e-16 7.2697e+00 1.972e-11 *** Output:regressor 1.0000e+00 6.2152e-17 1.6090e+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 | 0.5865 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.38706 -0.38533 0.00953 0.49320 0.98062 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.77615 0.04598 -16.88 <2e-16 *** Output:regressor 0.95286 0.06561 14.52 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5607 on 147 degrees of freedom Output:Multiple R-squared: 0.5893, Adjusted R-squared: 0.5865 Output:F-statistic: 210.9 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 66.293 66.293 210.89 < 2.2e-16 *** Output:Residuals 147 46.210 0.314 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7601559 Output:[1] 0.4933411 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0021139028 0.0001338784 Output:regressor 0.0001338784 0.0043053266 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.77615 0.36970 -2.0994 0.037488 * Output:regressor 0.95286 0.33949 2.8068 0.005683 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | GB | 0.5581 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.26505 -0.35529 -0.00263 0.29655 1.59327 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.41902 0.05523 -7.586 3.46e-12 *** Output:regressor -5.97234 0.43570 -13.707 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5796 on 147 degrees of freedom Output:Multiple R-squared: 0.5611, Adjusted R-squared: 0.5581 Output:F-statistic: 187.9 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 63.120 63.120 187.89 < 2.2e-16 *** Output:Residuals 147 49.383 0.336 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7601559 Output:[1] 0.01195692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.003050742 -0.01229367 Output:regressor -0.012293670 0.18983493 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.41902 0.59670 -0.7022 0.4836491 Output:regressor -5.97234 1.77625 -3.3623 0.0009854 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | ES | 0.5038 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.38629 -0.53912 0.01196 0.47834 1.25229 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.5674 0.1225 4.634 7.85e-06 *** Output:regressor 2.3982 0.1950 12.300 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6141 on 147 degrees of freedom Output:Multiple R-squared: 0.5072, Adjusted R-squared: 0.5038 Output:F-statistic: 151.3 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 57.059 57.059 151.28 < 2.2e-16 *** Output:Residuals 147 55.444 0.377 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7601559 Output:[1] 0.06703391 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01499655 0.02176912 Output:regressor 0.02176912 0.03801742 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.56744 0.42256 1.3429 0.1814 Output:regressor 2.39819 0.42029 5.7060 6.161e-08 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | FR | 0.0405 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.4134 -0.8337 0.2123 0.7703 1.3173 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.5674 0.1128 -5.029 1.42e-06 *** Output:regressor 0.4909 0.1823 2.693 0.00789 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.854 on 147 degrees of freedom Output:Multiple R-squared: 0.04703, Adjusted R-squared: 0.04055 Output:F-statistic: 7.255 on 1 and 147 DF, p-value: 0.007894 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 5.291 5.2911 7.2547 0.007894 ** Output:Residuals 147 107.212 0.7293 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7601559 Output:[1] 0.1483486 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01272901 0.01613193 Output:regressor 0.01613193 0.03321855 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.56738 1.18297 -0.4796 0.6322 Output:regressor 0.49091 1.49457 0.3285 0.7430 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | CH | -0.0031 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.4549 -0.7497 0.1957 0.8226 1.2682 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.80059 0.07188 -11.138 <2e-16 *** Output:regressor 0.12501 0.16940 0.738 0.462 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8732 on 147 degrees of freedom Output:Multiple R-squared: 0.003691, Adjusted R-squared: -0.003086 Output:F-statistic: 0.5446 on 1 and 147 DF, p-value: 0.4617 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.415 0.41526 0.5446 0.4617 Output:Residuals 147 112.088 0.76250 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7601559 Output:[1] 0.1795363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005166961 0.001191807 Output:regressor 0.001191807 0.028696377 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.80059 2.26478 -0.3535 0.7242 Output:regressor 0.12501 0.98765 0.1266 0.8994 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| DE | IT | -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:-1.5189 -0.7844 0.2146 0.8242 1.2102 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.78363 0.11547 -6.787 2.63e-10 *** Output:regressor -0.02485 0.10156 -0.245 0.807 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.8747 on 147 degrees of freedom Output:Multiple R-squared: 0.000407, Adjusted R-squared: -0.006393 Output:F-statistic: 0.05986 on 1 and 147 DF, p-value: 0.8071 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.046 0.04579 0.0599 0.8071 Output:Residuals 147 112.457 0.76502 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.7601559 Output:[1] 0.5011006 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.013332791 -0.009196189 Output:regressor -0.009196189 0.010315340 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.783632 5.764179 -0.1359 0.8920 Output:regressor -0.024848 2.950231 -0.0084 0.9933 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:-1.037e-16 -1.500e-17 -7.330e-18 3.230e-18 9.038e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.183e-16 1.577e-17 1.384e+01 <2e-16 *** Output:regressor 1.000e+00 2.511e-17 3.983e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 7.908e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 1.587e+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 9.921 9.921 1.5866e+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] 0.06703391 Output:[1] 0.06703391 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.486268e-34 3.609088e-34 Output:regressor 3.609088e-34 6.302881e-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) 2.1829e-16 4.0546e-17 5.3837e+00 2.825e-07 *** Output:regressor 1.0000e+00 6.1158e-17 1.6351e+16 < 2.2e-16 *** Error:Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Warning message:Output: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | DE | 0.5038 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.50012 -0.13019 -0.01134 0.10712 0.48881 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.40220 0.02038 -19.74 <2e-16 *** Output:regressor 0.21148 0.01719 12.30 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1824 on 147 degrees of freedom Output:Multiple R-squared: 0.5072, Adjusted R-squared: 0.5038 Output:F-statistic: 151.3 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 5.0317 5.0317 151.28 < 2.2e-16 *** Output:Residuals 147 4.8893 0.0333 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06703391 Output:[1] 0.7601559 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004151831 0.0002382240 Output:regressor 0.0002382240 0.0002956422 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.402199 0.076315 -5.2703 4.766e-07 *** Output:regressor 0.211483 0.069310 3.0513 0.002705 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | RO | 0.4227 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.44673 -0.13239 -0.02204 0.10905 0.64507 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.56512 0.01613 -35.03 <2e-16 *** Output:regressor 0.24075 0.02302 10.46 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1967 on 147 degrees of freedom Output:Multiple R-squared: 0.4266, Adjusted R-squared: 0.4227 Output:F-statistic: 109.3 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 4.2318 4.2318 109.34 < 2.2e-16 *** Output:Residuals 147 5.6892 0.0387 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06703391 Output:[1] 0.4933411 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.602569e-04 1.648267e-05 Output:regressor 1.648267e-05 5.300578e-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) -0.565123 0.057026 -9.9100 < 2.2e-16 *** Output:regressor 0.240747 0.075980 3.1686 0.001864 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | GB | 0.3214 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.60283 -0.10486 -0.01753 0.09323 0.62953 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.48506 0.02032 -23.865 < 2e-16 *** Output:regressor -1.35188 0.16033 -8.432 2.9e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2133 on 147 degrees of freedom Output:Multiple R-squared: 0.326, Adjusted R-squared: 0.3214 Output:F-statistic: 71.1 on 1 and 147 DF, p-value: 2.898e-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 3.2341 3.2341 71.097 2.898e-14 *** Output:Residuals 147 6.6869 0.0455 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06703391 Output:[1] 0.01195692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004130994 -0.001664679 Output:regressor -0.0016646794 0.025705450 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.485062 0.068402 -7.0914 5.178e-11 *** Output:regressor -1.351883 0.603174 -2.2413 0.02651 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | FR | 0.1103 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.71563 -0.19490 0.01468 0.15912 0.59255 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.46127 0.03226 -14.297 < 2e-16 *** Output:regressor 0.22926 0.05212 4.399 2.08e-05 *** 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: 0.1163, Adjusted R-squared: 0.1103 Output:F-statistic: 19.35 on 1 and 147 DF, p-value: 2.077e-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 1.154 1.15403 19.35 2.077e-05 *** Output:Residuals 147 8.767 0.05964 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06703391 Output:[1] 0.1483486 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001040882 0.001319147 Output:regressor 0.001319147 0.002716362 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.46127 0.12175 -3.7886 0.0002204 *** Output:regressor 0.22926 0.18488 1.2401 0.2169194 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| ES | CH | -0.0039 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.76520 -0.15252 0.01929 0.13185 0.67340 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.57397 0.02135 -26.878 <2e-16 *** Output:regressor -0.03281 0.05033 -0.652 0.515 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2594 on 147 degrees of freedom Output:Multiple R-squared: 0.002883, Adjusted R-squared: -0.0039 Output:F-statistic: 0.4251 on 1 and 147 DF, p-value: 0.5154 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.0286 0.028607 0.4251 0.5154 Output:Residuals 147 9.8924 0.067295 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06703391 Output:[1] 0.1795363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0004560149 0.000105184 Output:regressor 0.0001051840 0.002532625 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.573972 0.099330 -5.7784 4.345e-08 *** Output:regressor -0.032811 0.159794 -0.2053 0.8376 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:-0.77999 -0.13537 0.01821 0.13941 0.67891 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.56846 0.03429 -16.576 <2e-16 *** Output:regressor -0.00466 0.03016 -0.154 0.877 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.2598 on 147 degrees of freedom Output:Multiple R-squared: 0.0001623, Adjusted R-squared: -0.006639 Output:F-statistic: 0.02387 on 1 and 147 DF, p-value: 0.8774 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova 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 0.001610 0.0239 0.8774 Output:Residuals 147 9.9194 0.067479 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.06703391 Output:[1] 0.5011006 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0011760323 -0.0008111591 Output:regressor -0.0008111591 0.0009098750 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.5684549 0.2326264 -2.4436 0.01572 * Output:regressor -0.0046599 0.1387010 -0.0336 0.97324 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:-3.784e-16 -3.860e-17 -2.850e-17 -9.100e-18 3.735e-15 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 2.911e-16 4.131e-17 7.046e+00 6.62e-11 *** Output:regressor 1.000e+00 6.673e-17 1.499e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 3.127e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.246e+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 21.956 21.956 2.2456e+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] 0.1483486 Output:[1] 0.1483486 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 1.706424e-33 2.162613e-33 Output:regressor 2.162613e-33 4.453210e-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 6.4373e-17 4.5213e+00 1.256e-05 *** Output:regressor 1.0000e+00 8.2807e-17 1.2076e+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 | 0.3402 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.70748 -0.22404 0.00185 0.23941 0.77114 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.77042 0.04130 -18.654 < 2e-16 *** Output:regressor 0.31945 0.03633 8.793 3.56e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3128 on 147 degrees of freedom Output:Multiple R-squared: 0.3447, Adjusted R-squared: 0.3402 Output:F-statistic: 77.32 on 1 and 147 DF, p-value: 3.565e-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 7.568 7.5680 77.323 3.565e-15 *** Output:Residuals 147 14.388 0.0979 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1483486 Output:[1] 0.5011006 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001705775 -0.001176545 Output:regressor -0.001176545 0.001319728 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.77042 0.17353 -4.4396 1.759e-05 *** Output:regressor 0.31945 0.12765 2.5025 0.01343 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | RO | 0.3002 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.65194 -0.23000 -0.03543 0.15729 0.71849 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.47621 0.02642 -18.02 < 2e-16 *** Output:regressor 0.30279 0.03771 8.03 2.89e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3222 on 147 degrees of freedom Output:Multiple R-squared: 0.3049, Adjusted R-squared: 0.3002 Output:F-statistic: 64.48 on 1 and 147 DF, p-value: 2.886e-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 6.6939 6.6939 64.475 2.886e-13 *** Output:Residuals 147 15.2617 0.1038 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1483486 Output:[1] 0.4933411 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.981616e-04 4.421621e-05 Output:regressor 4.421621e-05 1.421926e-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) -0.47621 0.17595 -2.7066 0.007603 ** Output:regressor 0.30279 0.23099 1.3108 0.191972 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | ES | 0.1103 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.85450 -0.21225 -0.02092 0.18997 0.81189 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.19510 0.07244 -2.693 0.0079 ** Output:regressor 0.50737 0.11534 4.399 2.08e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3633 on 147 degrees of freedom Output:Multiple R-squared: 0.1163, Adjusted R-squared: 0.1103 Output:F-statistic: 19.35 on 1 and 147 DF, p-value: 2.077e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.5539 2.55392 19.35 2.077e-05 *** Output:Residuals 147 19.4017 0.13198 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1483486 Output:[1] 0.06703391 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005247766 0.007617702 Output:regressor 0.007617702 0.013303493 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.19510 0.10926 -1.7857 0.07622 . Output:regressor 0.50737 0.46785 1.0845 0.27993 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | CH | 0.0933 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.71756 -0.31557 0.03792 0.29266 0.73740 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.49753 0.03019 -16.479 <2e-16 *** Output:regressor -0.28656 0.07115 -4.028 9e-05 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3668 on 147 degrees of freedom Output:Multiple R-squared: 0.09938, Adjusted R-squared: 0.09325 Output:F-statistic: 16.22 on 1 and 147 DF, p-value: 9.004e-05 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 2.1819 2.18194 16.221 9.004e-05 *** Output:Residuals 147 19.7737 0.13451 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1483486 Output:[1] 0.1795363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0009115154 0.0002102494 Output:regressor 0.0002102494 0.0050623930 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.49753 0.20213 -2.4614 0.0150 * Output:regressor -0.28656 0.31507 -0.9095 0.3646 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | GB | 0.0407 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.79134 -0.22537 -0.01577 0.19214 0.77808 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.43608 0.03595 -12.130 < 2e-16 *** Output:regressor -0.76509 0.28358 -2.698 0.00779 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3772 on 147 degrees of freedom Output:Multiple R-squared: 0.04718, Adjusted R-squared: 0.0407 Output:F-statistic: 7.279 on 1 and 147 DF, p-value: 0.007793 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.0359 1.03586 7.2789 0.007793 ** Output:Residuals 147 20.9197 0.14231 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1483486 Output:[1] 0.01195692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001292371 -0.005207909 Output:regressor -0.005207909 0.080418879 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.43608 0.19698 -2.2139 0.02838 * Output:regressor -0.76509 2.46949 -0.3098 0.75714 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| FR | DE | 0.0405 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.82466 -0.23514 -0.00746 0.18503 0.83519 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.40843 0.04215 -9.690 < 2e-16 *** Output:regressor 0.09580 0.03557 2.693 0.00789 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.3773 on 147 degrees of freedom Output:Multiple R-squared: 0.04703, Adjusted R-squared: 0.04055 Output:F-statistic: 7.255 on 1 and 147 DF, p-value: 0.007894 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 1.0326 1.03259 7.2547 0.007894 ** Output:Residuals 147 20.9230 0.14233 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.1483486 Output:[1] 0.7601559 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001776707 0.001019440 Output:regressor 0.001019440 0.001265151 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.408433 0.144099 -2.8344 0.005238 ** Output:regressor 0.095803 0.437169 0.2191 0.826841 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:-1.715e-16 -4.589e-18 1.085e-18 5.131e-18 2.561e-17 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.819e-17 1.591e-18 -1.144e+01 <2e-16 *** Output:regressor 1.000e+00 1.255e-17 7.969e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.669e-17 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 6.351e+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 1.7696 1.7696 6.3513e+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] 0.01195692 Output:[1] 0.01195692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 2.530275e-36 -1.019633e-35 Output:regressor -1.019633e-35 1.574485e-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) -1.8191e-17 1.7151e-18 -1.0606e+01 < 2.2e-16 *** Output:regressor 1.0000e+00 9.7521e-18 1.0254e+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] "-------------------------------------------------------------------------------------------" | |
| GB | RO | 0.5611 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.16541 -0.05145 -0.01195 0.04939 0.19201 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.061124 0.005940 10.29 <2e-16 *** Output:regressor -0.116926 0.008478 -13.79 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.07244 on 147 degrees of freedom Output:Multiple R-squared: 0.5641, Adjusted R-squared: 0.5611 Output:F-statistic: 190.2 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 0.99823 0.99823 190.22 < 2.2e-16 *** Output:Residuals 147 0.77140 0.00525 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01195692 Output:[1] 0.4933411 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 3.528834e-05 2.234893e-06 Output:regressor 2.234893e-06 7.187077e-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) 0.061124 0.032803 1.8633 0.06441 . Output:regressor -0.116926 0.057505 -2.0333 0.04382 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | DE | 0.5581 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.144725 -0.045249 -0.005251 0.048190 0.180963 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.010937 0.008122 -1.347 0.18 Output:regressor -0.093942 0.006853 -13.707 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.07269 on 147 degrees of freedom Output:Multiple R-squared: 0.5611, Adjusted R-squared: 0.5581 Output:F-statistic: 187.9 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 0.99286 0.99286 187.89 < 2.2e-16 *** Output:Residuals 147 0.77677 0.00528 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01195692 Output:[1] 0.7601559 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.596027e-05 3.784671e-05 Output:regressor 3.784671e-05 4.696876e-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) -0.010937 0.103269 -0.1059 0.9158 Output:regressor -0.093942 0.063159 -1.4874 0.1391 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | ES | 0.3214 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.18137 -0.06744 -0.01704 0.08897 0.19399 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.07332 0.01796 -4.082 7.3e-05 *** Output:regressor -0.24114 0.02860 -8.432 2.9e-14 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.09008 on 147 degrees of freedom Output:Multiple R-squared: 0.326, Adjusted R-squared: 0.3214 Output:F-statistic: 71.1 on 1 and 147 DF, p-value: 2.898e-14 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.57688 0.57688 71.097 2.898e-14 *** Output:Residuals 147 1.19275 0.00811 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01195692 Output:[1] 0.06703391 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0003226140 0.0004683092 Output:regressor 0.0004683092 0.0008178514 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.073317 0.083713 -0.8758 0.38256 Output:regressor -0.241137 0.105198 -2.2922 0.02331 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | IT | 0.0583 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.18648 -0.08552 -0.01762 0.07072 0.24423 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.09978 0.01401 7.122 4.38e-11 *** Output:regressor -0.03928 0.01232 -3.188 0.00175 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1061 on 147 degrees of freedom Output:Multiple R-squared: 0.06465, Adjusted R-squared: 0.05829 Output:F-statistic: 10.16 on 1 and 147 DF, p-value: 0.001753 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.11441 0.11441 10.161 0.001753 ** Output:Residuals 147 1.65521 0.01126 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01195692 Output:[1] 0.5011006 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0001962401 -0.0001353551 Output:regressor -0.0001353551 0.0001518274 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.099775 0.100357 0.9942 0.3218 Output:regressor -0.039277 0.042639 -0.9211 0.3585 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | FR | 0.0407 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.17069 -0.08589 -0.01440 0.07383 0.25571 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.03481 0.01415 2.460 0.01503 * Output:regressor -0.06167 0.02286 -2.698 0.00779 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1071 on 147 degrees of freedom Output:Multiple R-squared: 0.04718, Adjusted R-squared: 0.0407 Output:F-statistic: 7.279 on 1 and 147 DF, p-value: 0.007793 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.08349 0.083491 7.2789 0.007793 ** Output:Residuals 147 1.68613 0.011470 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01195692 Output:[1] 0.1483486 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0002001903 0.0002537084 Output:regressor 0.0002537084 0.0005224312 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.034813 0.143111 0.2433 0.8081 Output:regressor -0.061666 0.106272 -0.5803 0.5626 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| GB | CH | 0.0014 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.17676 -0.09788 -0.03389 0.10605 0.21051 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.063791 0.008995 7.092 5.16e-11 *** Output:regressor -0.023318 0.021198 -1.100 0.273 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.1093 on 147 degrees of freedom Output:Multiple R-squared: 0.008164, Adjusted R-squared: 0.001417 Output:F-statistic: 1.21 on 1 and 147 DF, p-value: 0.2731 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.01445 0.014448 1.21 0.2731 Output:Residuals 147 1.75518 0.011940 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.01195692 Output:[1] 0.1795363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 8.090911e-05 1.866243e-05 Output:regressor 1.866243e-05 4.493547e-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) 0.063791 0.134647 0.4738 0.6364 Output:regressor -0.023318 0.149948 -0.1555 0.8766 Output: Output:[1] "-------------------------------------------------------------------------------------------" |
Correlations for IT
| Regressand | Regressor | R | R-Analysis Output | |
|---|---|---|---|---|
| IT | IT | 1.0000 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Error:Warning message: Error:In summary.lm(ols) : essentially perfect fit: summary may be unreliable Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-2.157e-15 -4.600e-19 2.031e-17 4.076e-17 3.066e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -1.455e-16 2.452e-17 -5.936e+00 2.02e-08 *** Output:regressor 1.000e+00 2.156e-17 4.637e+16 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 1.857e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 2.15e+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 74.163 74.163 2.1504e+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] 0.5011006 Output:[1] 0.5011006 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 6.010540e-34 -4.145723e-34 Output:regressor -4.145723e-34 4.650247e-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 3.5338e-17 -4.1180e+00 6.35e-05 *** Output:regressor 1.0000e+00 2.5709e-17 3.8897e+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 | 0.3402 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.41630 -0.39020 0.06384 0.41920 0.97609 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.41552 0.07596 18.635 < 2e-16 *** Output:regressor 1.07904 0.12271 8.793 3.56e-15 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.575 on 147 degrees of freedom Output:Multiple R-squared: 0.3447, Adjusted R-squared: 0.3402 Output:F-statistic: 77.32 on 1 and 147 DF, p-value: 3.565e-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 25.564 25.5636 77.323 3.565e-15 *** Output:Residuals 147 48.599 0.3306 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5011006 Output:[1] 0.1483486 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.005770068 0.007312616 Output:regressor 0.007312616 0.015057992 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 1.41552 0.24832 5.7005 6.328e-08 *** Output:regressor 1.07904 0.30799 3.5035 0.0006088 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | RO | 0.1637 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.4661 -0.4815 0.1115 0.4997 1.3246 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.90440 0.05309 17.036 < 2e-16 *** Output:regressor 0.41471 0.07576 5.474 1.85e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6474 on 147 degrees of freedom Output:Multiple R-squared: 0.1693, Adjusted R-squared: 0.1637 Output:F-statistic: 29.96 on 1 and 147 DF, p-value: 1.854e-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 12.558 12.5576 29.965 1.854e-07 *** Output:Residuals 147 61.605 0.4191 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5011006 Output:[1] 0.4933411 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0028181914 0.0001784826 Output:regressor 0.0001784826 0.0057397313 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.90440 0.37526 2.4101 0.01719 * Output:regressor 0.41471 0.41683 0.9949 0.32141 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | CH | 0.0630 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.47503 -0.52510 -0.09201 0.56181 1.34214 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.87324 0.05641 15.481 < 2e-16 *** Output:regressor -0.43975 0.13293 -3.308 0.00118 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6852 on 147 degrees of freedom Output:Multiple R-squared: 0.06929, Adjusted R-squared: 0.06295 Output:F-statistic: 10.94 on 1 and 147 DF, p-value: 0.001181 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 5.138 5.1385 10.943 0.001181 ** Output:Residuals 147 69.024 0.4696 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5011006 Output:[1] 0.1795363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0031818494 0.0007339229 Output:regressor 0.0007339229 0.0176714211 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.87324 0.38963 2.2412 0.02651 * Output:regressor -0.43975 0.34829 -1.2626 0.20873 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | GB | 0.0583 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.37374 -0.66670 -0.02775 0.53638 1.41610 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.99810 0.06546 15.247 < 2e-16 *** Output:regressor -1.64605 0.51639 -3.188 0.00175 ** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6869 on 147 degrees of freedom Output:Multiple R-squared: 0.06465, Adjusted R-squared: 0.05829 Output:F-statistic: 10.16 on 1 and 147 DF, p-value: 0.001753 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 4.795 4.7948 10.161 0.001753 ** Output:Residuals 147 69.368 0.4719 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5011006 Output:[1] 0.01195692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.004285398 -0.0172690 Output:regressor -0.017269003 0.2666624 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.99810 0.36847 2.7088 0.007555 ** Output:regressor -1.64605 2.46274 -0.6684 0.504939 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| IT | DE | -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:-1.4279 -0.5763 -0.1893 0.6177 1.4657 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.87831 0.07934 11.070 <2e-16 *** Output:regressor -0.01638 0.06695 -0.245 0.807 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7101 on 147 degrees of freedom Output:Multiple R-squared: 0.000407, Adjusted R-squared: -0.006393 Output:F-statistic: 0.05986 on 1 and 147 DF, p-value: 0.8071 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.030 0.03019 0.0599 0.8071 Output:Residuals 147 74.133 0.50430 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5011006 Output:[1] 0.7601559 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006295083 0.003611996 Output:regressor 0.003611996 0.004482581 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.87831 0.48353 1.8165 0.07134 . Output:regressor -0.01638 0.87170 -0.0188 0.98503 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:-1.4254 -0.5828 -0.1758 0.6102 1.4787 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.87156 0.14162 6.154 6.82e-09 *** Output:regressor -0.03483 0.22549 -0.154 0.877 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.7102 on 147 degrees of freedom Output:Multiple R-squared: 0.0001623, Adjusted R-squared: -0.006639 Output:F-statistic: 0.02387 on 1 and 147 DF, p-value: 0.8774 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.012 0.01204 0.0239 0.8774 Output:Residuals 147 74.151 0.50443 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.5011006 Output:[1] 0.06703391 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.02005633 0.02911393 Output:regressor 0.02911393 0.05084434 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.871560 0.568451 1.5332 0.1274 Output:regressor -0.034834 1.272498 -0.0274 0.9782 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:-5.844e-15 1.430e-17 3.770e-17 6.290e-17 5.026e-16 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -2.274e-17 3.998e-17 -5.690e-01 0.57 Output:regressor 1.000e+00 5.705e-17 1.753e+16 <2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 4.875e-16 on 147 degrees of freedom Output:Multiple R-squared: 1, Adjusted R-squared: 1 Output:F-statistic: 3.072e+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) Error:Warning message:Output:regressor 1 73.014 73.014 3.0722e+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: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] 0.4933411 Output:[1] 0.4933411 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) 1.598215e-33 1.012187e-34 Output:regressor 1.012187e-34 3.255039e-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) -2.2738e-17 3.8617e-17 -5.8880e-01 0.5569 Output:regressor 1.0000e+00 1.4422e-17 6.9341e+16 <2e-16 *** Error:Warning message: Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Error:In summary.lm(x) : essentially perfect fit: summary may be unreliable Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | DE | 0.5865 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-0.8827 -0.3310 -0.0295 0.2859 1.0423 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.46721 0.05046 9.258 2.32e-16 *** Output:regressor 0.61841 0.04258 14.522 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4517 on 147 degrees of freedom Output:Multiple R-squared: 0.5893, Adjusted R-squared: 0.5865 Output:F-statistic: 210.9 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 43.024 43.024 210.89 < 2.2e-16 *** Output:Residuals 147 29.990 0.204 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4933411 Output:[1] 0.7601559 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.002546647 0.001461216 Output:regressor 0.001461216 0.001813408 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.46721 0.30070 1.5537 0.1224 Output:regressor 0.61841 1.49078 0.4148 0.6789 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | GB | 0.5611 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.21027 -0.26930 0.05828 0.30031 0.96966 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.28133 0.04434 6.344 2.6e-09 *** Output:regressor -4.82434 0.34979 -13.792 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.4653 on 147 degrees of freedom Output:Multiple R-squared: 0.5641, Adjusted R-squared: 0.5611 Output:F-statistic: 190.2 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 41.187 41.187 190.22 < 2.2e-16 *** Output:Residuals 147 31.828 0.217 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4933411 Output:[1] 0.01195692 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.001966247 -0.007923446 Output:regressor -0.007923446 0.122351326 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.28133 0.35168 0.7999 0.4250 Output:regressor -4.82434 3.93984 -1.2245 0.2227 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | ES | 0.4227 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.26002 -0.42121 0.00176 0.46843 0.98125 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.9834 0.1064 9.241 2.57e-16 *** Output:regressor 1.7718 0.1694 10.457 < 2e-16 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5337 on 147 degrees of freedom Output:Multiple R-squared: 0.4266, Adjusted R-squared: 0.4227 Output:F-statistic: 109.3 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 31.145 31.1445 109.34 < 2.2e-16 *** Output:Residuals 147 41.870 0.2848 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4933411 Output:[1] 0.06703391 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.01132499 0.01643945 Output:regressor 0.01643945 0.02870971 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.98345 0.30734 3.1998 0.001685 ** Output:regressor 1.77179 0.82302 2.1528 0.032966 * Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | FR | 0.3002 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.15694 -0.44262 -0.03037 0.47888 1.22578 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.45790 0.07763 5.899 2.42e-08 *** Output:regressor 1.00693 0.12540 8.030 2.89e-13 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.5876 on 147 degrees of freedom Output:Multiple R-squared: 0.3049, Adjusted R-squared: 0.3002 Output:F-statistic: 64.48 on 1 and 147 DF, p-value: 2.886e-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 22.261 22.2609 64.475 2.886e-13 *** Output:Residuals 147 50.754 0.3453 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4933411 Output:[1] 0.1483486 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.006025851 0.007636779 Output:regressor 0.007636779 0.015725503 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) 0.45790 0.37699 1.2146 0.2265 Output:regressor 1.00693 1.28003 0.7866 0.4328 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | IT | 0.1637 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.26630 -0.60828 0.04194 0.66831 0.95221 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.39509 0.08480 -4.659 7.05e-06 *** Output:regressor 0.40829 0.07459 5.474 1.85e-07 *** Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output: Output:Residual standard error: 0.6423 on 147 degrees of freedom Output:Multiple R-squared: 0.1693, Adjusted R-squared: 0.1637 Output:F-statistic: 29.96 on 1 and 147 DF, p-value: 1.854e-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 12.363 12.3632 29.965 1.854e-07 *** Output:Residuals 147 60.651 0.4126 Output:--- Output:Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4933411 Output:[1] 0.5011006 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.007190744 -0.004959760 Output:regressor -0.004959760 0.005563349 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.39509 5.09708 -0.0775 0.9383 Output:regressor 0.40829 2.78727 0.1465 0.8837 Output: Output:[1] "-------------------------------------------------------------------------------------------" | |
| RO | CH | 0.0033 | +- Error:Loading required package: zoo Error: Error:Attaching package: ‘zoo’ Error: Error:The following objects are masked from ‘package:base’: Error: Error: as.Date, as.Date.numeric Error: Output:[1] "----------------- LM Summary --------------------------------------------------------------" Output: Output:Call: Output:lm(formula = regressand ~ regressor, na.action = NULL) Output: Output:Residuals: Output: Min 1Q Median 3Q Max Output:-1.5612 -0.7409 0.2819 0.5450 1.1241 Output: Output:Coefficients: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.03800 0.05772 -0.658 0.511 Output:regressor -0.16625 0.13603 -1.222 0.224 Output: Output:Residual standard error: 0.7012 on 147 degrees of freedom Output:Multiple R-squared: 0.01006, Adjusted R-squared: 0.003324 Output:F-statistic: 1.494 on 1 and 147 DF, p-value: 0.2236 Output: Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Anova Output ------------------------------------------------------------" Output:Analysis of Variance Table Output: Output:Response: regressand Output: Df Sum Sq Mean Sq F value Pr(>F) Output:regressor 1 0.734 0.73439 1.4936 0.2236 Output:Residuals 147 72.280 0.49170 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variances of Regressand and Regressor -----------------------------------" Output:[1] 0.4933411 Output:[1] 0.1795363 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Variance-Covariance Matrix ----------------------------------------------" Output: (Intercept) regressor Output:(Intercept) 0.0033319280 0.0007685399 Output:regressor 0.0007685399 0.0185049305 Output:[1] "-------------------------------------------------------------------------------------------" Output:[1] "----------------- Newey-West Coeff Test ----------------------------------------------" Output: Output:t test of coefficients: Output: Output: Estimate Std. Error t value Pr(>|t|) Output:(Intercept) -0.038001 4.423515 -0.0086 0.9932 Output:regressor -0.166248 3.735603 -0.0445 0.9646 Output: Output:[1] "-------------------------------------------------------------------------------------------" |