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Paper - werkloosheid Brussel - P(ACF)

*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 05:18:45 -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/t12290843774elzqel61tb2y3z.htm/, Retrieved Fri, 12 Dec 2008 13:19:42 +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/t12290843774elzqel61tb2y3z.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 «

51.220 50.487 49.415 49.398 48.196 47.348 49.331 49.644 49.588 49.567 49.010 49.563 49.741 49.487 48.278 47.478 46.985 45.216 46.581 49.266 48.121 46.412 46.285 46.824 46.949 45.355 44.924 45.059 44.202 44.149 46.151 47.703 48.436 47.089 47.492 49.295 49.127 50.041 48.857 48.428 48.788 48.820 50.743 52.590 51.959 53.451 55.674 56.120 55.685 56.714 54.882 55.173 53.574 53.954 58.055 61.062 58.353 59.693 58.833 60.417 61.696 62.515 62.687 61.794 63.014 63.134 68.057 67.327 68.310 69.780 69.944 69.881 71.397 70.631 70.452 69.862 69.114 69.358 71.133 73.128 73.528 73.677 72.273 71.962 73.654 73.305 73.355 73.346 72.881 72.424 74.540 74.847 75.904 76.870 76.370 77.631 78.335 77.926 77.236 76.755 74.710 73.486 76.034 76.389 77.767 78.124 76.696 77.375 77.431 77.347 77.013 76.666 75.225 75.579 77.100 78.592 79.502 78.528 77.775 77.271 78.738 77.885 76.896 75.813 74.958 75.340 77.187 78.602 81.653 78.125 76.092 74.870 75.615 74.776 72.528 71.894 71.641 71.145 73.320 72.186 72.854 74.243 74.628 72.368 75.361 72.746 70.536 69.410 66.219 66.739 67.626 70.602 71.758 71.786 69.641 68.055 70.148 69.390 68.562 68.622 68.120 68.308 70.421 69.766 72.157 72.928 75.340 74.812 74.593 76.003 75.112 75.452 75.634 75.653 78.645 73.100 79.699 82.848 81.834 81.736 82.267 84.120 83.819 82.734 81.842 81.735 83.227 81.934 89.521 88.827 85.874 85.211 87.130 88.620 89.563 89.056 88.542 89.504 89.428 86.040 96.240 94.423 93.028 92.285 91.685 94.260 93.858 92.437 92.980 92.099 92.803 88.551 98.334 98.329 96.455 97.109 97.687 98.512 98.673 96.028 98.014 95.580 97.838 97.760 99.913 97.588 93.942 93.656 93.365 92.881 93.120 91.063 90.930 91.946 94.624 95.484 95.862 95.530 94.574 94.677 93.845 91.533 91.214 90.922 89.563 89.945 91.850 92.505 92.437 93.876

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	0.985613	15.5839	0
2	0.973481	15.3921	0
3	0.961743	15.2065	0
4	0.950603	15.0304	0
5	0.940389	14.8688	0
6	0.929164	14.6914	0
7	0.918318	14.5199	0
8	0.907423	14.3476	0
9	0.895933	14.1659	0
10	0.885133	13.9952	0
11	0.874036	13.8197	0
12	0.863755	13.6572	0
13	0.844998	13.3606	0
14	0.827693	13.087	0
15	0.810909	12.8216	0
16	0.793237	12.5422	0
17	0.777062	12.2864	0
18	0.760276	12.021	0
19	0.743407	11.7543	0
20	0.727631	11.5049	0
21	0.710766	11.2382	0
22	0.694612	10.9828	0
23	0.678802	10.7328	0
24	0.662625	10.477	0
25	0.639404	10.1099	0
26	0.615899	9.7382	0
27	0.593171	9.3789	0
28	0.570557	9.0213	0
29	0.549712	8.6917	0
30	0.527901	8.3468	0
31	0.50732	8.0214	0
32	0.487084	7.7015	0
33	0.467117	7.3858	0
34	0.448489	7.0912	0
35	0.430178	6.8017	0
36	0.4123	6.519	0
37	0.388989	6.1504	0
38	0.367133	5.8049	0
39	0.348206	5.5056	0
40	0.327815	5.1832	0
41	0.309666	4.8962	1e-06
42	0.291052	4.6019	3e-06
43	0.273192	4.3195	1.1e-05
44	0.256682	4.0585	3.3e-05
45	0.239383	3.785	9.6e-05
46	0.225412	3.5641	0.000219
47	0.211465	3.3436	0.000477
48	0.197655	3.1252	0.000993
49	0.180765	2.8581	0.00231
50	0.163015	2.5775	0.005263
51	0.148032	2.3406	0.01002
52	0.132067	2.0882	0.018898
53	0.117648	1.8602	0.032018
54	0.10404	1.645	0.050612
55	0.091308	1.4437	0.075038
56	0.081342	1.2861	0.099794
57	0.069227	1.0946	0.137377
58	0.059326	0.938	0.174569
59	0.050124	0.7925	0.214403
60	0.041622	0.6581	0.255542

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.985613	15.5839	0
2	0.0717	1.1337	0.129009
3	0.013827	0.2186	0.413562
4	0.017741	0.2805	0.389658
5	0.030668	0.4849	0.314087
6	-0.034609	-0.5472	0.292357
7	0.004127	0.0653	0.474009
8	-0.005163	-0.0816	0.4675
9	-0.026768	-0.4232	0.336241
10	0.0134	0.2119	0.416189
11	-0.011835	-0.1871	0.425858
12	0.020619	0.326	0.372345
13	-0.301094	-4.7607	2e-06
14	0.000355	0.0056	0.497762
15	0.000529	0.0084	0.496667
16	-0.052408	-0.8286	0.20405
17	0.020351	0.3218	0.373942
18	-0.006624	-0.1047	0.458337
19	-0.021653	-0.3424	0.366179
20	0.025987	0.4109	0.340755
21	-0.025112	-0.3971	0.345833
22	-0.003859	-0.061	0.475695
23	0.013649	0.2158	0.414655
24	-0.028347	-0.4482	0.327195
25	-0.197679	-3.1256	0.000992
26	-0.073646	-1.1644	0.122677
27	-0.011832	-0.1871	0.425874
28	-0.00621	-0.0982	0.460928
29	0.014762	0.2334	0.407819
30	-0.029644	-0.4687	0.31984
31	0.036798	0.5818	0.280604
32	-0.020712	-0.3275	0.371786
33	0.032166	0.5086	0.305746
34	0.027839	0.4402	0.330098
35	0.001281	0.0203	0.491928
36	0.021475	0.3395	0.367241
37	-0.10432	-1.6494	0.050156
38	0.026375	0.417	0.338511
39	0.087973	1.391	0.082735
40	-0.053241	-0.8418	0.200348
41	0.022788	0.3603	0.359459
42	0.009585	0.1516	0.439831
43	-0.007398	-0.117	0.453491
44	0.020743	0.328	0.371601
45	-0.017522	-0.2771	0.390985
46	0.084631	1.3381	0.091034
47	0.002482	0.0392	0.484361
48	0.003946	0.0624	0.475152
49	-0.012418	-0.1963	0.422248
50	-0.053958	-0.8531	0.197198
51	0.024877	0.3933	0.347204
52	-0.008923	-0.1411	0.44396
53	-0.020151	-0.3186	0.375141
54	0.026091	0.4125	0.340149
55	0.030095	0.4758	0.317303
56	0.053422	0.8447	0.199552
57	-0.058867	-0.9308	0.176434
58	0.00689	0.1089	0.45667
59	0.007869	0.1244	0.450545
60	0.03644	0.5762	0.282508

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290843774elzqel61tb2y3z/1lsg11229084323.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290843774elzqel61tb2y3z/1lsg11229084323.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290843774elzqel61tb2y3z/2vpsk1229084323.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290843774elzqel61tb2y3z/2vpsk1229084323.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = Include Monthly Dummies ; par3 = Linear Trend ;

Parameters (R input):

par1 = 60 ; 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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