Paper Hoofdstuk 4.3 (P)ACF werkloosheid

*The author of this computation has been verified*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 05 Dec 2008 04:00:50 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/05/t1228474919f3s9szy8jr4ixh4.htm/, Retrieved Fri, 05 Dec 2008 11:02:01 +0000

BibTeX entries for LaTeX users:

@Manual{KEY, author = {{YOUR NAME}}, publisher = {Office for Research Development and Education}, title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/05/t1228474919f3s9szy8jr4ixh4.htm/}, year = {2008}, } @Manual{R, title = {R: A Language and Environment for Statistical Computing}, author = {{R Development Core Team}}, organization = {R Foundation for Statistical Computing}, address = {Vienna, Austria}, year = {2008}, note = {{ISBN} 3-900051-07-0}, url = {http://www.R-project.org}, }

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc]  [reply]  test Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

493.000 481.000 462.000 457.000 442.000 439.000 488.000 521.000 501.000 485.000 464.000 460.000 467.000 460.000 448.000 443.000 436.000 431.000 484.000 510.000 513.000 503.000 471.000 471.000 476.000 475.000 470.000 461.000 455.000 456.000 517.000 525.000 523.000 519.000 509.000 512.000 519.000 517.000 510.000 509.000 501.000 507.000 569.000 580.000 578.000 565.000 547.000 555.000 562.000 561.000 555.000 544.000 537.000 543.000 594.000 611.000 613.000 611.000 594.000 595.000

Output produced by software:

Summary of computational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 1 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.896249 6.9423 0 2 0.745053 5.7712 0 3 0.610362 4.7278 7e-06 4 0.522314 4.0458 7.6e-05 5 0.487571 3.7767 0.000184 6 0.460305 3.5655 0.00036 7 0.436165 3.3785 0.000643 8 0.411338 3.1862 0.001144 9 0.417801 3.2363 0.000987 10 0.451355 3.4962 0.000447 11 0.505884 3.9186 0.000115 12 0.52306 4.0516 7.4e-05 13 0.429356 3.3258 0.000754 14 0.305774 2.3685 0.010549 15 0.184227 1.427 0.07938 16 0.09002 0.6973 0.244157 17 0.038984 0.302 0.381861 18 -0.006433 -0.0498 0.48021 19 -0.032291 -0.2501 0.401673 20 -0.053094 -0.4113 0.341172 21 -0.048677 -0.3771 0.353733 22 -0.019534 -0.1513 0.44012 23 0.019474 0.1508 0.440302 24 0.019209 0.1488 0.441109 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.896249 6.9423 0 2 -0.295874 -2.2918 0.01272 3 0.056902 0.4408 0.330486 4 0.122004 0.945 0.174215 5 0.142453 1.1034 0.137123 6 -0.067573 -0.5234 0.301305 7 0.06083 0.4712 0.319608 8 0.030721 0.238 0.406359 9 0.205423 1.5912 0.05841 10 0.090094 0.6979 0.24398 11 0.160515 1.2433 0.109289 12 -0.146715 -1.1364 0.130144 13 -0.431895 -3.3454 0.000711 14 0.049457 0.3831 0.351504 15 -0.087351 -0.6766 0.250625 16 -0.140427 -1.0877 0.14053 17 -0.026518 -0.2054 0.418976 18 -0.103341 -0.8005 0.213297 19 0.076122 0.5896 0.278825 20 -0.045472 -0.3522 0.362952 21 0.042495 0.3292 0.37159 22 0.034988 0.271 0.393654 23 -0.020652 -0.16 0.436721 24 -0.091947 -0.7122 0.239544

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228474919f3s9szy8jr4ixh4/181ab1228474849.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228474919f3s9szy8jr4ixh4/181ab1228474849.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228474919f3s9szy8jr4ixh4/2liyo1228474849.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228474919f3s9szy8jr4ixh4/2liyo1228474849.ps (open in new window)

Parameters (Session):

par1 = 24 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 24 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 2:(par1+1)) { 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(abs(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,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(abs(mytstat),lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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