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Duurzame consumptiegoederen ACF b)

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 13 Dec 2008 03:21:28 -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/13/t1229163746p1glaay6cbpye9v.htm/, Retrieved Sat, 13 Dec 2008 11:22:26 +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/13/t1229163746p1glaay6cbpye9v.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 «

98.1 101.1 111.1 93.3 100 108 70.4 75.4 105.5 112.3 102.5 93.5 86.7 95.2 103.8 97 95.5 101 67.5 64 106.7 100.6 101.2 93.1 84.2 85.8 91.8 92.4 80.3 79.7 62.5 57.1 100.8 100.7 86.2 83.2 71.7 77.5 89.8 80.3 78.7 93.8 57.6 60.6 91 85.3 77.4 77.3 68.3 69.9 81.7 75.1 69.9 84 54.3 60 89.9 77 85.3 77.6 69.2 75.5 85.7 72.2 79.9 85.3 52.2 61.2 82.4 85.4 78.2 70.2 70.2 69.3 77.5 66.1 69 79.2 56.2 63.3 77.8 92 78.1 65.1 71.1 70.9 72 81.9 70.6 72.5 65.1 54.9 80

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	3 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.155093	1.3958	0.083289
2	0.225963	2.0337	0.022629
3	0.327695	2.9493	0.002081
4	-0.041102	-0.3699	0.356206
5	0.162911	1.4662	0.073233
6	0.121502	1.0935	0.138704
7	0.059879	0.5389	0.295714
8	0.156117	1.4051	0.081914
9	0.098536	0.8868	0.188899
10	0.040619	0.3656	0.357817
11	-0.022497	-0.2025	0.420028
12	-0.174494	-1.5704	0.060105
13	-0.074689	-0.6722	0.251683
14	-0.073766	-0.6639	0.254321
15	0.052752	0.4748	0.318114
16	-0.002726	-0.0245	0.490244
17	0.142953	1.2866	0.100953
18	0.240703	2.1663	0.016613
19	-0.012338	-0.111	0.455928
20	0.114732	1.0326	0.152435
21	0.194865	1.7538	0.041625
22	-0.051283	-0.4615	0.322821
23	0.308104	2.7729	0.003446
24	0.041256	0.3713	0.355692
25	0.036945	0.3325	0.370183
26	0.176648	1.5898	0.057884
27	-0.061924	-0.5573	0.289423
28	0.055199	0.4968	0.310342
29	-0.04563	-0.4107	0.341198
30	-0.188808	-1.6993	0.046553
31	0.00556	0.05	0.480107
32	-0.032385	-0.2915	0.38572
33	-0.204663	-1.842	0.03457
34	-0.08339	-0.7505	0.227561
35	-0.207301	-1.8657	0.032851
36	-0.10107	-0.9096	0.182859
37	-0.074571	-0.6711	0.25202
38	-0.029177	-0.2626	0.396765
39	-0.044208	-0.3979	0.345884
40	-0.022962	-0.2067	0.418399
41	-0.023939	-0.2154	0.414979
42	-0.074234	-0.6681	0.252984
43	-0.118857	-1.0697	0.143962
44	0.002957	0.0266	0.489418
45	-0.054441	-0.49	0.312742
46	0.043463	0.3912	0.34835
47	0.04765	0.4289	0.334584
48	-0.127746	-1.1497	0.126822

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.155093	1.3958	0.083289
2	0.206886	1.862	0.033117
3	0.286684	2.5802	0.00584
4	-0.16937	-1.5243	0.06566
5	0.073018	0.6572	0.256469
6	0.053935	0.4854	0.314348
7	0.076884	0.692	0.245472
8	0.040661	0.366	0.357677
9	0.043049	0.3874	0.349723
10	-0.040651	-0.3659	0.357713
11	-0.12377	-1.1139	0.134302
12	-0.23226	-2.0903	0.019862
13	-0.024339	-0.2191	0.41358
14	0.030591	0.2753	0.391888
15	0.208189	1.8737	0.032289
16	-0.033439	-0.301	0.38211
17	0.189404	1.7046	0.046047
18	0.239871	2.1588	0.016911
19	-0.026967	-0.2427	0.404424
20	-0.040076	-0.3607	0.359637
21	0.203027	1.8272	0.035673
22	-0.071206	-0.6409	0.261714
23	0.167686	1.5092	0.067572
24	-0.289206	-2.6029	0.005496
25	-0.054712	-0.4924	0.311882
26	-0.143966	-1.2957	0.099381
27	-0.01562	-0.1406	0.444274
28	-0.071004	-0.639	0.262301
29	0.038735	0.3486	0.36414
30	-0.149909	-1.3492	0.090519
31	0.142508	1.2826	0.10165
32	0.022412	0.2017	0.420327
33	-0.018828	-0.1695	0.43293
34	-0.140844	-1.2676	0.104288
35	-0.051915	-0.4672	0.320794
36	-0.037522	-0.3377	0.368232
37	0.114225	1.028	0.153498
38	-0.05682	-0.5114	0.305239
39	-0.000382	-0.0034	0.498632
40	-0.065732	-0.5916	0.277886
41	-0.124753	-1.1228	0.132424
42	-0.075845	-0.6826	0.248401
43	-0.099593	-0.8963	0.186363
44	0.056423	0.5078	0.306484
45	0.05571	0.5014	0.308728
46	-0.013712	-0.1234	0.451045
47	0.065843	0.5926	0.277556
48	-0.090097	-0.8109	0.209907

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229163746p1glaay6cbpye9v/1jsn81229163683.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229163746p1glaay6cbpye9v/1jsn81229163683.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229163746p1glaay6cbpye9v/2i8xt1229163683.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229163746p1glaay6cbpye9v/2i8xt1229163683.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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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