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werkloosheid/invoer

*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: Wed, 17 Dec 2008 15:27:08 -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/17/t1229552910ki3ij511e7alomw.htm/, Retrieved Wed, 17 Dec 2008 23:28:32 +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/17/t1229552910ki3ij511e7alomw.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 «

15.59 13.17 11.20 13.30 10.78 11.60 15.18 15.87 12.58 11.43 10.30 11.17 11.26 11.20 9.99 11.17 10.29 10.47 14.36 16.06 14.47 13.24 13.03 14.43 13.98 13.62 12.20 12.24 12.07 12.30 16.12 18.38 14.59 12.96 14.14 13.92 14.24 14.10 12.91 13.69 14.11 13.99 17.93 21.37 16.25 14.53 15.36 14.95 15.95 15.25 12.67 13.86 14.65 12.41 17.46 18.95 15.33 15.31 14.84 14.75 15.83 14.83 13.00 13.92 13.94 12.54 18.12 17.83 14.41 15.18 12.99 13.06 12.81 12.95 10.48 13.23 11.80 11.69 15.33 14.89 12.92 11.27 10.68 11.55

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	-0.38591	-3.2517	0.000878
2	0.037707	0.3177	0.375812
3	0.220592	1.8587	0.033604
4	-0.188009	-1.5842	0.058798
5	0.050534	0.4258	0.335767
6	0.109658	0.924	0.179309
7	-0.123483	-1.0405	0.150822
8	-0.005153	-0.0434	0.482744
9	0.271025	2.2837	0.012692
10	-0.255254	-2.1508	0.017448
11	0.062079	0.5231	0.301271
12	-0.007223	-0.0609	0.475819
13	-0.24838	-2.0929	0.019967
14	0.174817	1.473	0.072581
15	-0.000718	-0.006	0.497596
16	-0.245518	-2.0688	0.021105
17	0.213416	1.7983	0.038192
18	0.149227	1.2574	0.106363
19	-0.217497	-1.8327	0.035523
20	0.157433	1.3266	0.094454
21	0.070531	0.5943	0.277098
22	-0.25683	-2.1641	0.016912
23	0.383854	3.2344	0.000926
24	-0.223734	-1.8852	0.031747
25	-0.087877	-0.7405	0.23073
26	0.290936	2.4515	0.008345
27	-0.177256	-1.4936	0.069857
28	0.091072	0.7674	0.222697
29	0.027212	0.2293	0.409651
30	-0.150414	-1.2674	0.104574
31	-0.042874	-0.3613	0.359488
32	0.107233	0.9036	0.184642
33	-0.215895	-1.8192	0.036551
34	0.041326	0.3482	0.364352
35	0.088897	0.7491	0.228148
36	-0.110069	-0.9275	0.178416
37	0.066583	0.561	0.288268
38	0.002016	0.017	0.493246
39	-0.07117	-0.5997	0.275312
40	0.023266	0.196	0.42257
41	0.04325	0.3644	0.358311
42	-0.158355	-1.3343	0.093181
43	0.146665	1.2358	0.1103
44	0.032372	0.2728	0.392912
45	-0.109735	-0.9246	0.179143
46	0.192445	1.6216	0.054664
47	-0.091869	-0.7741	0.22072
48	-0.09705	-0.8178	0.208117
49	0.139189	1.1728	0.122393
50	-0.124837	-1.0519	0.148206
51	-0.052553	-0.4428	0.32962
52	0.040718	0.3431	0.366269
53	0.001647	0.0139	0.494483
54	-0.049213	-0.4147	0.339814
55	0.064303	0.5418	0.294818
56	-0.078171	-0.6587	0.256116
57	0.024561	0.207	0.418319
58	-0.088507	-0.7458	0.229132
59	-0.020406	-0.1719	0.431986
60	0.008961	0.0755	0.470013

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.38591	-3.2517	0.000878
2	-0.130681	-1.1011	0.137278
3	0.223078	1.8797	0.032127
4	-0.013637	-0.1149	0.45442
5	-0.039582	-0.3335	0.369861
6	0.080057	0.6746	0.251069
7	-0.004631	-0.039	0.484492
8	-0.089259	-0.7521	0.227235
9	0.254415	2.1437	0.01774
10	-0.023772	-0.2003	0.420907
11	-0.089093	-0.7507	0.227655
12	-0.148782	-1.2537	0.107039
13	-0.241592	-2.0357	0.022757
14	-0.018103	-0.1525	0.439597
15	0.104963	0.8844	0.189723
16	-0.150599	-1.269	0.104299
17	-0.000275	-0.0023	0.49908
18	0.305815	2.5768	0.006025
19	0.111012	0.9354	0.176375
20	-0.032756	-0.276	0.391671
21	0.196163	1.6529	0.051384
22	-0.065009	-0.5478	0.292783
23	0.130463	1.0993	0.137676
24	-0.134981	-1.1374	0.129603
25	-0.210253	-1.7716	0.040374
26	0.006391	0.0539	0.478602
27	-0.053759	-0.453	0.325971
28	0.066416	0.5596	0.288748
29	-0.021919	-0.1847	0.427
30	-0.019416	-0.1636	0.435254
31	-0.012112	-0.1021	0.459498
32	-0.119573	-1.0075	0.158549
33	-0.001141	-0.0096	0.496177
34	0.113331	0.9549	0.171423
35	-0.063883	-0.5383	0.296031
36	0.00266	0.0224	0.491091
37	-0.03924	-0.3306	0.370944
38	-0.048397	-0.4078	0.342322
39	0.146732	1.2364	0.110195
40	-0.021794	-0.1836	0.427411
41	-0.12728	-1.0725	0.143568
42	-0.062057	-0.5229	0.301335
43	0.014268	0.1202	0.452323
44	-0.037831	-0.3188	0.37542
45	-0.030942	-0.2607	0.397529
46	0.013273	0.1118	0.455631
47	0.077534	0.6533	0.257832
48	-0.03394	-0.286	0.387863
49	-0.058412	-0.4922	0.312052
50	0.066592	0.5611	0.288242
51	-0.03327	-0.2803	0.390018
52	-0.108913	-0.9177	0.180936
53	0.050574	0.4261	0.335647
54	-0.069236	-0.5834	0.280739
55	0.001771	0.0149	0.494068
56	-0.027625	-0.2328	0.408305
57	-0.005677	-0.0478	0.480993
58	-0.119875	-1.0101	0.157941
59	0.023481	0.1979	0.421864
60	-0.004636	-0.0391	0.484474

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229552910ki3ij511e7alomw/179zn1229552827.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229552910ki3ij511e7alomw/179zn1229552827.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229552910ki3ij511e7alomw/2kfbk1229552827.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229552910ki3ij511e7alomw/2kfbk1229552827.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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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