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paper: autocorrelation Investeringen seizoenaal gedifferentieerd (zonder seizoenale piek)

*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 22:44:14 -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/18/t1229579173giwo0b87utnw9in.htm/, Retrieved Thu, 18 Dec 2008 06:46:13 +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/18/t1229579173giwo0b87utnw9in.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 «

101,3 91,5 152,6 86,6 86,6 98,5 86,7 89,1 111 92,6 85,1 116,1 98,3 97,7 177,9 94,2 83,8 109,5 102,3 102,5 116,4 85,3 88,2 104,7 99,4 113,8 166,6 89,2 93,2 115 97,2 112,5 121,8 100,2 93,8 113,6 110,7 127,6 185,9 105,9 108 125,2 106,2 123,3 145,2 114,3 108,4 120,9 126,3 141,3 208,2 131,6 119,8 122,5 137,6 141 154,1 127 106,1 129,9

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	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.23587	1.6342	0.054384
2	0.020113	0.1393	0.444879
3	0.286938	1.988	0.026268
4	0.254894	1.766	0.041881
5	0.259663	1.799	0.039154
6	0.256276	1.7755	0.041075
7	0.076231	0.5281	0.299916
8	0.037357	0.2588	0.398442
9	-0.041302	-0.2862	0.387997
10	0.086606	0.6	0.275656
11	0.205589	1.4244	0.080405
12	-0.110489	-0.7655	0.223864
13	-0.0572	-0.3963	0.346821
14	-0.004649	-0.0322	0.487219
15	-0.034676	-0.2402	0.405584
16	-0.107074	-0.7418	0.230903
17	-0.088077	-0.6102	0.272298
18	-0.091541	-0.6342	0.264476
19	-0.039201	-0.2716	0.393549
20	-0.151036	-1.0464	0.150307
21	-0.137213	-0.9506	0.173275
22	-0.148638	-1.0298	0.154134
23	-0.113998	-0.7898	0.216763
24	-0.190423	-1.3193	0.096665
25	-0.177639	-1.2307	0.112213
26	0.020029	0.1388	0.445109
27	-0.158004	-1.0947	0.139559
28	-0.297069	-2.0582	0.022513
29	-0.071326	-0.4942	0.311724
30	-0.011236	-0.0778	0.469137
31	-0.081024	-0.5614	0.288585
32	0.030463	0.2111	0.41687
33	-0.118257	-0.8193	0.20833
34	-0.077859	-0.5394	0.296043
35	0.016501	0.1143	0.454729
36	0.055632	0.3854	0.350812
37	0.13684	0.9481	0.173925
38	-0.080989	-0.5611	0.288667
39	-0.13412	-0.9292	0.178715
40	0.06666	0.4618	0.323144
41	0.035793	0.248	0.402603
42	-0.040326	-0.2794	0.390574
43	-0.005667	-0.0393	0.484422
44	-0.04505	-0.3121	0.378153
45	-0.002471	-0.0171	0.493207
46	0.034148	0.2366	0.406994
47	0.000954	0.0066	0.497377
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.23587	1.6342	0.054384
2	-0.037614	-0.2606	0.397759
3	0.30846	2.1371	0.018858
4	0.129916	0.9001	0.186285
5	0.234351	1.6236	0.055502
6	0.135092	0.9359	0.176993
7	-0.06304	-0.4368	0.332124
8	-0.099917	-0.6922	0.246059
9	-0.276363	-1.9147	0.030751
10	-0.006617	-0.0458	0.481812
11	0.120476	0.8347	0.204016
12	-0.12193	-0.8448	0.201219
13	0.108495	0.7517	0.227957
14	-0.064977	-0.4502	0.327307
15	0.04619	0.32	0.375174
16	-0.204	-1.4134	0.082002
17	-0.076842	-0.5324	0.298461
18	-0.053976	-0.374	0.355042
19	0.087083	0.6033	0.274565
20	-0.015185	-0.1052	0.458327
21	-0.03308	-0.2292	0.409848
22	-0.107135	-0.7423	0.230775
23	0.031255	0.2165	0.414742
24	-0.243549	-1.6874	0.049012
25	-0.055154	-0.3821	0.35203
26	0.189666	1.314	0.097539
27	0.028446	0.1971	0.4223
28	-0.119245	-0.8262	0.206401
29	0.005116	0.0354	0.485937
30	-0.009558	-0.0662	0.47374
31	0.062018	0.4297	0.334679
32	0.093268	0.6462	0.260621
33	-0.064162	-0.4445	0.329329
34	0.013773	0.0954	0.462188
35	0.07625	0.5283	0.299871
36	-0.048792	-0.338	0.368404
37	0.01918	0.1329	0.44742
38	-0.150696	-1.0441	0.150846
39	-0.022434	-0.1554	0.438569
40	-0.114246	-0.7915	0.216268
41	-0.025511	-0.1767	0.430226
42	-0.076575	-0.5305	0.299095
43	-0.00434	-0.0301	0.488068
44	0.065194	0.4517	0.326768
45	-0.010736	-0.0744	0.470508
46	0.062879	0.4356	0.332525
47	0.004146	0.0287	0.488602
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229579173giwo0b87utnw9in/1uydc1229579049.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229579173giwo0b87utnw9in/1uydc1229579049.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229579173giwo0b87utnw9in/27mie1229579049.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229579173giwo0b87utnw9in/27mie1229579049.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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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