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Autocorrelation function: duurzame 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 04:27:32 -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/t1229081379wkrtjxilj3xexjs.htm/, Retrieved Fri, 12 Dec 2008 12:29:44 +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/t1229081379wkrtjxilj3xexjs.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 «

85,0 95,9 108,9 96,2 100,1 105,7 64,5 66,8 110,3 96,1 102,5 97,6 83,6 86,5 96,0 91,1 87,2 84,5 59,2 61,5 98,8 97,9 92,7 84,2 74,5 79,7 86,8 79,8 87,0 91,4 58,7 62,8 87,9 90,4 80,6 73,5 71,4 70,6 78,3 76,0 77,4 80,9 63,4 58,1 88,2 81,2 84,9 76,4 71,5 76,1 82,9 78,0 82,0 84,7 55,7 59,5 83,2 87,6 76,2 76,4 68,3 70,0 76,3 70,9 72,4 80,1 57,4 62,7 82,6 88,9 80,4 72,0 69,4 69,2 77,3 79,4 78,6 76,1 61,8 59,4 78,1

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.371114	3.0827	0.001474
2	0.358238	2.9757	0.002013
3	0.347368	2.8855	0.002606
4	0.1765	1.4661	0.073579
5	0.076021	0.6315	0.264907
6	0.16952	1.4081	0.08179
7	0.140173	1.1644	0.124144
8	0.124363	1.033	0.152596
9	0.105045	0.8726	0.192962
10	0.115152	0.9565	0.171074
11	-0.005095	-0.0423	0.483182
12	-0.240681	-1.9992	0.024761
13	0.015651	0.13	0.448469
14	-0.143772	-1.1943	0.118233
15	-0.00889	-0.0738	0.470673
16	-0.048222	-0.4006	0.344991
17	0.11637	0.9666	0.168549
18	0.195931	1.6275	0.054092
19	0.129773	1.078	0.1424
20	0.12152	1.0094	0.158149
21	0.250302	2.0792	0.020661
22	0.060295	0.5008	0.309036
23	0.165789	1.3772	0.086459
24	0.140676	1.1685	0.123305
25	-0.003446	-0.0286	0.488625
26	0.061941	0.5145	0.304265
27	0.001518	0.0126	0.494987
28	0.063781	0.5298	0.298973
29	-0.076851	-0.6384	0.262673
30	-0.127547	-1.0595	0.146537
31	-0.070566	-0.5862	0.279839
32	-0.15494	-1.287	0.101193
33	-0.28216	-2.3438	0.010988
34	-0.181114	-1.5044	0.068515
35	-0.278088	-2.31	0.011944
36	-0.126761	-1.053	0.148018

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.371114	3.0827	0.001474
2	0.255734	2.1243	0.018616
3	0.190492	1.5823	0.059072
4	-0.059207	-0.4918	0.312206
5	-0.118812	-0.9869	0.163564
6	0.111488	0.9261	0.178814
7	0.099025	0.8226	0.206795
8	0.048735	0.4048	0.343429
9	-0.045749	-0.38	0.35255
10	0.002731	0.0227	0.490982
11	-0.097498	-0.8099	0.210396
12	-0.349118	-2.9	0.002501
13	0.194506	1.6157	0.055363
14	-0.023392	-0.1943	0.423254
15	0.212546	1.7655	0.040949
16	-0.158479	-1.3164	0.096193
17	0.17405	1.4458	0.076384
18	0.290518	2.4132	0.009236
19	-0.01936	-0.1608	0.436355
20	-0.023514	-0.1953	0.422857
21	0.147615	1.2262	0.112149
22	-0.01029	-0.0855	0.466067
23	0.021085	0.1751	0.430739
24	-0.274827	-2.2829	0.012761
25	-0.0715	-0.5939	0.277252
26	-0.082264	-0.6833	0.248342
27	-0.05542	-0.4604	0.323355
28	-0.046606	-0.3871	0.349922
29	-0.005053	-0.042	0.483319
30	-0.055794	-0.4635	0.322246
31	0.028725	0.2386	0.406058
32	-0.035221	-0.2926	0.385366
33	-0.025814	-0.2144	0.415425
34	-0.046293	-0.3845	0.350882
35	-0.010262	-0.0852	0.466156
36	0.054705	0.4544	0.32548

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229081379wkrtjxilj3xexjs/1j64f1229081251.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229081379wkrtjxilj3xexjs/1j64f1229081251.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229081379wkrtjxilj3xexjs/26l4y1229081251.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229081379wkrtjxilj3xexjs/26l4y1229081251.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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