R動作テスト結果

計量経済学のためのR環境

> x1 <- c( 1.5, 2.3, 3.8,   4.2,  5.6,   6.3)
> x2 <- c( 1.0, 3.9, 8.6, 15.25, 28.6, 32.68)
> y  <- c(-3.2, 2.0, 2.2,   6.3,  5.8,  12.5)
> eq1 <- lm(y ~ x1 + x2)
> summary (eq1)

Call:
lm(formula = y ~ x1 + x2)

Residuals:
     1      2      3      4      5      6 
-1.125  2.053 -1.517  1.421 -2.858  2.027 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept) -5.73749    5.62573  -1.020    0.383
x1           2.42235    2.82058   0.859    0.454
x2           0.02905    0.39772   0.073    0.946

Residual standard error: 2.713 on 3 degrees of freedom
Multiple R-Squared: 0.8416,     Adjusted R-squared: 0.7361 
F-statistic: 7.972 on 2 and 3 DF,  p-value: 0.06302 

> eq2 <- dwtest(eq1)
> summary (eq2)
            Length Class  Mode     
statistic   1      -none- numeric  
method      1      -none- character
alternative 1      -none- character
p.value     1      -none- numeric  
data.name   1      -none- character
> eq3 <- arma (x1, c(1,0))
> summary (eq3)


Call:
arma(x = x1, order = c(1, 0))

Model:
ARMA(1,0)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.5374 -0.2993 -0.1108  0.4570  0.4907 

Coefficient(s):
           Estimate  Std. Error  t value Pr(>|t|)    
ar1          0.9296      0.1159    8.022 1.11e-15 ***
intercept    1.2049      0.4366    2.759  0.00579 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 

Fit:
sigma^2 estimated as 0.2101,  Conditional Sum-of-Squares = 0.84,  AIC = 11.67

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