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Autocorrelation function: investeringsgoederen

*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, 12 Dec 2008 03:26:30 -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/12/t1229077825ugr5dvajtjaf671.htm/, Retrieved Fri, 12 Dec 2008 11:30:25 +0100

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/12/t1229077825ugr5dvajtjaf671.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

97,7 101,5 119,6 108,1 117,8 125,5 89,2 92,3 104,6 122,8 96,0 94,6 93,3 101,1 114,2 104,7 113,3 118,2 83,6 73,9 99,5 97,7 103,0 106,3 92,2 101,8 122,8 111,8 106,3 121,5 81,9 85,4 110,9 117,3 106,3 105,5 101,3 105,9 126,3 111,9 108,9 127,2 94,2 85,7 116,2 107,2 110,6 112,0 104,5 112,0 132,8 110,8 128,7 136,8 94,9 88,8 123,2 125,3 122,7 125,7 116,3 118,7 142,0 127,9 131,9 152,3 110,8 99,1 135,0 133,2 131,0 133,9 119,9 136,9 148,9 145,1 142,4 159,6 120,7 109,0 142,0

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	6 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.477806	4.3003	2.4e-05
2	0.221813	1.9963	0.024629
3	0.435029	3.9153	9.4e-05
4	0.277146	2.4943	0.007327
5	0.29923	2.6931	0.004301
6	0.493688	4.4432	1.4e-05
7	0.271227	2.441	0.008412
8	0.192042	1.7284	0.043865
9	0.305348	2.7481	0.003693
10	0.105739	0.9516	0.172054
11	0.308571	2.7771	0.003406
12	0.660761	5.9468	0
13	0.261207	2.3509	0.010581
14	0.029339	0.264	0.396206
15	0.226683	2.0402	0.022297
16	0.062392	0.5615	0.287993
17	0.083386	0.7505	0.227571
18	0.272889	2.456	0.008094
19	0.06314	0.5683	0.285716
20	0.003734	0.0336	0.486637
21	0.088855	0.7997	0.213114
22	-0.099442	-0.895	0.186725
23	0.062903	0.5661	0.286436
24	0.381699	3.4353	0.000468
25	0.050256	0.4523	0.326129
26	-0.142632	-1.2837	0.101456
27	0.036974	0.3328	0.370085
28	-0.099955	-0.8996	0.185502
29	-0.096408	-0.8677	0.194069
30	0.062416	0.5617	0.287921
31	-0.094277	-0.8485	0.199331
32	-0.134526	-1.2107	0.11476
33	-0.076891	-0.692	0.245452
34	-0.209432	-1.8849	0.031516
35	-0.078436	-0.7059	0.24113
36	0.168699	1.5183	0.066417

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.477806	4.3003	2.4e-05
2	-0.008404	-0.0756	0.469948
3	0.43047	3.8742	0.000108
4	-0.146097	-1.3149	0.096132
5	0.346947	3.1225	0.001243
6	0.156296	1.4067	0.081676
7	-0.071782	-0.646	0.26004
8	0.055663	0.501	0.308875
9	-0.037018	-0.3332	0.369935
10	-0.168836	-1.5195	0.066262
11	0.433529	3.9018	9.8e-05
12	0.35201	3.1681	0.001082
13	-0.278446	-2.506	0.007106
14	-0.251056	-2.2595	0.013269
15	-0.091868	-0.8268	0.205387
16	-0.181263	-1.6314	0.053347
17	0.032187	0.2897	0.3864
18	-0.057075	-0.5137	0.304439
19	0.03212	0.2891	0.386628
20	0.067215	0.6049	0.273455
21	-0.027408	-0.2467	0.402892
22	-0.090562	-0.8151	0.208716
23	-0.035423	-0.3188	0.375346
24	0.093886	0.845	0.200307
25	-0.011766	-0.1059	0.457965
26	-0.033224	-0.299	0.382846
27	-0.008846	-0.0796	0.468372
28	-0.01244	-0.112	0.455566
29	-0.050064	-0.4506	0.32675
30	-0.137712	-1.2394	0.109387
31	0.03297	0.2967	0.383717
32	0.018896	0.1701	0.432691
33	-0.011206	-0.1009	0.459957
34	0.12055	1.0849	0.140582
35	-0.073873	-0.6649	0.254015
36	-0.028883	-0.26	0.397781

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229077825ugr5dvajtjaf671/1w69s1229077579.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229077825ugr5dvajtjaf671/1w69s1229077579.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229077825ugr5dvajtjaf671/20vry1229077579.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229077825ugr5dvajtjaf671/20vry1229077579.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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')

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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