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Autocorrelation function: totale consumptiegoederen

*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 03:32:44 -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/t1229078149hoyi7kn9xeobxrt.htm/, Retrieved Fri, 12 Dec 2008 11:35:53 +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/t1229078149hoyi7kn9xeobxrt.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 «

98,5 97,0 103,3 99,6 100,1 102,9 95,9 94,5 107,4 116,0 102,8 99,8 109,6 103,0 111,6 106,3 97,9 108,8 103,9 101,2 122,9 123,9 111,7 120,9 99,6 103,3 119,4 106,5 101,9 124,6 106,5 107,8 127,4 120,1 118,5 127,7 107,7 104,5 118,8 110,3 109,6 119,1 96,5 106,7 126,3 116,2 118,8 115,2 110,0 111,4 129,6 108,1 117,8 122,9 100,6 111,8 127,0 128,6 124,8 118,5 114,7 112,6 128,7 111,0 115,8 126,0 111,1 113,2 120,1 130,6 124,0 119,4 116,7 116,5 119,6 126,5 111,3 123,5 114,2 103,7 129,5

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	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.301879	2.7169	0.004027
2	0.168784	1.5191	0.066321
3	0.470917	4.2383	3e-05
4	0.100868	0.9078	0.183335
5	0.230047	2.0704	0.020799
6	0.501814	4.5163	1.1e-05
7	0.106784	0.9611	0.169692
8	0.083708	0.7534	0.226704
9	0.333496	3.0015	0.001785
10	0.022761	0.2048	0.419103
11	0.203269	1.8294	0.035508
12	0.561188	5.0507	1e-06
13	0.130827	1.1774	0.121234
14	0.036333	0.327	0.372257
15	0.229754	2.0678	0.020926
16	-0.082089	-0.7388	0.231082
17	0.055043	0.4954	0.310835
18	0.283329	2.55	0.006329
19	-0.070339	-0.6331	0.264241
20	-0.049168	-0.4425	0.329648
21	0.110561	0.995	0.161339
22	-0.112134	-1.0092	0.157941
23	0.092697	0.8343	0.203289
24	0.314245	2.8282	0.002949
25	0.013195	0.1188	0.452883
26	-0.065684	-0.5912	0.278031
27	0.090533	0.8148	0.208789
28	-0.152207	-1.3699	0.087257
29	-0.068943	-0.6205	0.268338
30	0.124577	1.1212	0.132759
31	-0.095211	-0.8569	0.197014
32	-0.107677	-0.9691	0.167692
33	-0.050155	-0.4514	0.326457
34	-0.131927	-1.1873	0.119281
35	0.009909	0.0892	0.464579
36	0.221086	1.9898	0.024995

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.301879	2.7169	0.004027
2	0.085439	0.7689	0.22208
3	0.44171	3.9754	7.6e-05
4	-0.190794	-1.7171	0.044887
5	0.276303	2.4867	0.007474
6	0.250933	2.2584	0.013305
7	-0.091458	-0.8231	0.206428
8	-0.111623	-1.0046	0.159038
9	0.123389	1.1105	0.135034
10	-0.105381	-0.9484	0.172865
11	0.20223	1.8201	0.036221
12	0.346893	3.122	0.001245
13	-0.02832	-0.2549	0.399731
14	-0.257111	-2.314	0.011601
15	-0.123819	-1.1144	0.134207
16	-0.164808	-1.4833	0.070942
17	-0.049176	-0.4426	0.329624
18	-0.006907	-0.0622	0.475293
19	0.049239	0.4431	0.32942
20	-5e-05	-4e-04	0.499822
21	-0.008049	-0.0724	0.471214
22	0.027867	0.2508	0.401301
23	0.088452	0.7961	0.214159
24	0.027534	0.2478	0.402455
25	0.057993	0.5219	0.30157
26	-0.157214	-1.4149	0.080461
27	0.050158	0.4514	0.326445
28	-0.107178	-0.9646	0.168808
29	-0.067131	-0.6042	0.273708
30	-0.080931	-0.7284	0.234241
31	0.179002	1.611	0.055533
32	-0.017123	-0.1541	0.438953
33	-0.10426	-0.9383	0.17543
34	0.059758	0.5378	0.296088
35	0.041401	0.3726	0.355205
36	0.078889	0.71	0.23987

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229078149hoyi7kn9xeobxrt/1acqy1229077961.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229078149hoyi7kn9xeobxrt/1acqy1229077961.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229078149hoyi7kn9xeobxrt/2hldq1229077961.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229078149hoyi7kn9xeobxrt/2hldq1229077961.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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