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Autocorrelatie - Investeringsgoederen

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Fri, 30 Nov 2007 09:01:54 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Nov/30/t1196437935mirh28n6qznqzct.htm/, Retrieved Fri, 30 Nov 2007 16:52:15 +0100
 
User-defined keywords:
wim, dhondt, paper
 
Dataseries X:
» Textbox « » Textfile « » CSV «
101,5 126,6 93,9 89,8 93,4 101,5 110,4 105,9 108,4 113,9 86,1 69,4 101,2 100,5 98 106,6 90,1 96,9 125,9 112 100 123,9 79,8 83,4 113,6 112,9 104 109,9 99 106,3 128,9 111,1 102,9 130 87 87,5 117,6 103,4 110,8 112,6 102,5 112,4 135,6 105,1 127,7 137 91 90,5 122,4 123,3 124,3 120 118,1 119 142,7 123,6 129,6 146,9 108,7 99,4
 
Text written by user:
 
Output produced by software:


Summary of compuational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
016.92820
10.0057950.04020.48407
2-0.119795-0.830.794667
30.2020471.39980.083998
40.1069680.74110.231123
50.0389450.26980.394229
60.1514481.04930.149656
7-0.029756-0.20620.581229
80.0324160.22460.411628
90.0980710.67950.250056
100.0224070.15520.438641
110.0070360.04870.480661
12-0.262112-1.8160.962188
13-0.080472-0.55750.710119
140.0167630.11610.454014
15-0.017979-0.12460.549306
16-0.058715-0.40680.657015
170.0476390.33010.371398
18-0.057323-0.39710.653489
190.0041350.02860.488632
200.0425280.29460.384769
210.0472510.32740.372407
22-0.155396-1.07660.856484
230.0866970.60070.275448
240.0768270.53230.298497
250.0099010.06860.472798
260.169591.1750.122905
27-0.014561-0.10090.539967
28-0.09847-0.68220.750811
290.0410560.28440.388647
300.0866020.60.275665
31-0.090729-0.62860.733701
32-0.083037-0.57530.716112
33-0.065034-0.45060.672835
340.1354420.93840.176376
35-0.035646-0.2470.597006


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.0057950.04020.48407
1-0.119833-0.83020.79474
20.2064911.43060.079509
30.0900230.62370.267888
40.0894820.61990.269112
50.1421710.9850.164784
6-0.059864-0.41480.659915
70.0375710.26030.397873
80.0179160.12410.450866
90.0144460.10010.460347
100.0026680.01850.492664
11-0.335867-2.3270.987883
12-0.109932-0.76160.774998
13-0.113381-0.78550.781997
140.0526970.36510.358323
150.0474390.32870.371919
160.1393460.96540.169588
170.0680880.47170.319629
180.0604640.41890.338577
190.0753480.5220.302027
200.1368650.94820.173882
21-0.153047-1.06030.852852
220.070990.49180.31254
23-0.153995-1.06690.854325
24-0.036215-0.25090.598521
250.1132090.78430.218349
26-0.061314-0.42480.663558
27-0.034773-0.24090.594676
28-0.056368-0.39050.651063
290.0653920.45310.326277
30-0.019112-0.13240.552395
31-0.116769-0.8090.788746
32-0.017008-0.11780.546656
330.0443760.30740.379917
340.0065760.04560.481925
35-0.092478-0.64070.73762
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196437935mirh28n6qznqzct/1qry41196438508.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196437935mirh28n6qznqzct/1qry41196438508.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196437935mirh28n6qznqzct/2v6z71196438508.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196437935mirh28n6qznqzct/2v6z71196438508.ps (open in new window)


 
Parameters:
par1 = FALSE ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = 3 ; par7 = 1 ; par8 = 2 ; par9 = 1 ;
 
R code (references can be found in the software module):
if (par1 == 'Default') {
par1 = 10*log10(length(x))
} else {
par1 <- as.numeric(par1)
}
par2 <- as.numeric(par2)
par3 <- as.numeric(par3)
par4 <- as.numeric(par4)
par5 <- as.numeric(par5)
if (par2 == 0) {
x <- log(x)
} else {
x <- (x ^ par2 - 1) / par2
}
if (par3 > 0) x <- diff(x,lag=1,difference=par3)
if (par4 > 0) x <- diff(x,lag=par5,difference=par4)
bitmap(file='pic1.png')
racf <- acf(x,par1,main='Autocorrelation',xlab='lags',ylab='ACF')
dev.off()
bitmap(file='pic2.png')
rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')
dev.off()
(myacf <- c(racf$acf))
(mypacf <- c(rpacf$acf))
lengthx <- length(x)
sqrtn <- sqrt(lengthx)
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Autocorrelation Function',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Time lag k',header=TRUE)
a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)
a<-table.element(a,'T-STAT',header=TRUE)
a<-table.element(a,'P-value',header=TRUE)
a<-table.row.end(a)
for (i in 1:par1) {
a<-table.row.start(a)
a<-table.element(a,i-1,header=TRUE)
a<-table.element(a,round(myacf[i],6))
mytstat <- myacf[i]*sqrtn
a<-table.element(a,round(mytstat,4))
a<-table.element(a,round(1-pt(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Time lag k',header=TRUE)
a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)
a<-table.element(a,'T-STAT',header=TRUE)
a<-table.element(a,'P-value',header=TRUE)
a<-table.row.end(a)
for (i in 1:par1) {
a<-table.row.start(a)
a<-table.element(a,i-1,header=TRUE)
a<-table.element(a,round(mypacf[i],6))
mytstat <- mypacf[i]*sqrtn
a<-table.element(a,round(mytstat,4))
a<-table.element(a,round(1-pt(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
 





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