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werkloosheid

*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: Sun, 14 Dec 2008 08:55:37 -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/14/t1229270240hkhyhql9k9i1zup.htm/, Retrieved Sun, 14 Dec 2008 16:57:22 +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/14/t1229270240hkhyhql9k9i1zup.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 «

180144 173666 165688 161570 156145 153730 182698 200765 176512 166618 158644 159585 163095 159044 155511 153745 150569 150605 179612 194690 189917 184128 175335 179566 181140 177876 175041 169292 166070 166972 206348 215706 202108 195411 193111 195198 198770 194163 190420 189733 186029 191531 232571 243477 227247 217859 208679 213188 216234 213586 209465 204045 200237 203666 241476 260307 243324 244460 233575 237217 235243 230354 227184 221678 217142 219452 256446 265845 248624 241114 229245 231805 219277 219313 212610 214771 211142 211457 240048 240636 230580 208795 197922 194596

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	0.085673	0.7219	0.236364
2	0.135737	1.1437	0.128286
3	0.039502	0.3328	0.370115
4	0.02304	0.1941	0.423311
5	0.203189	1.7121	0.045622
6	0.049543	0.4175	0.338801
7	0.02612	0.2201	0.413217
8	-0.033576	-0.2829	0.389033
9	0.031316	0.2639	0.396323
10	-0.065117	-0.5487	0.29247
11	-0.008475	-0.0714	0.471634
12	-0.05198	-0.438	0.33136
13	0.049589	0.4178	0.338661
14	0.112356	0.9467	0.173494
15	-0.074338	-0.6264	0.266535
16	0.102859	0.8667	0.194513
17	-0.083315	-0.702	0.24248
18	0.15433	1.3004	0.098833
19	0.117443	0.9896	0.162866
20	-0.012862	-0.1084	0.457
21	0.069273	0.5837	0.280635
22	-0.130317	-1.0981	0.137943
23	0.105824	0.8917	0.187786
24	0.004525	0.0381	0.484846
25	-0.069809	-0.5882	0.279124
26	-0.152084	-1.2815	0.102097
27	0.081663	0.6881	0.246815
28	-0.036779	-0.3099	0.378771
29	0.039758	0.335	0.369304
30	0.022372	0.1885	0.425508
31	-0.12115	-1.0208	0.155402
32	0.006328	0.0533	0.478814
33	-0.153296	-1.2917	0.100326
34	-0.015254	-0.1285	0.449046
35	0.121328	1.0223	0.155049
36	0.092301	0.7777	0.219653

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.085673	0.7219	0.236364
2	0.129347	1.0899	0.139723
3	0.018744	0.1579	0.437475
4	0.001246	0.0105	0.495825
5	0.198666	1.674	0.049267
6	0.018243	0.1537	0.439132
7	-0.032145	-0.2709	0.393644
8	-0.051308	-0.4323	0.333407
9	0.03843	0.3238	0.373514
10	-0.10506	-0.8853	0.189505
11	-0.019579	-0.165	0.434716
12	-0.031829	-0.2682	0.394663
13	0.086008	0.7247	0.235504
14	0.111966	0.9434	0.174327
15	-0.080564	-0.6788	0.249722
16	0.103565	0.8727	0.192898
17	-0.064775	-0.5458	0.293457
18	0.126448	1.0655	0.145137
19	0.067132	0.5657	0.286704
20	-0.052085	-0.4389	0.331042
21	0.023237	0.1958	0.422663
22	-0.132402	-1.1156	0.134169
23	0.079522	0.6701	0.252495
24	-0.008679	-0.0731	0.470955
25	-0.110394	-0.9302	0.177711
26	-0.137743	-1.1606	0.124838
27	0.17296	1.4574	0.074709
28	-0.026666	-0.2247	0.411433
29	0.040589	0.342	0.366678
30	0.043593	0.3673	0.357235
31	-0.037592	-0.3168	0.376178
32	-0.112871	-0.9511	0.172397
33	-0.137624	-1.1596	0.12504
34	-0.015117	-0.1274	0.449501
35	0.19925	1.6789	0.048783
36	0.12309	1.0372	0.151588

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229270240hkhyhql9k9i1zup/1vkqb1229270135.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229270240hkhyhql9k9i1zup/1vkqb1229270135.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229270240hkhyhql9k9i1zup/27f3a1229270135.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229270240hkhyhql9k9i1zup/27f3a1229270135.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = -1.4 ; par3 = 1 ; 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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