Autocorrelation Function Werkloosheid 1 Paper

*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: Thu, 18 Dec 2008 03:39:30 -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/t1229596906r37bi6h47jtmm7p.htm/, Retrieved Thu, 18 Dec 2008 11:41:50 +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/t1229596906r37bi6h47jtmm7p.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:

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492865 480961 461935 456608 441977 439148 488180 520564 501492 485025 464196 460170 467037 460070 447988 442867 436087 431328 484015 509673 512927 502831 470984 471067 476049 474605 470439 461251 454724 455626 516847 525192 522975 518585 509239 512238 519164 517009 509933 509127 500857 506971 569323 579714 577992 565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799

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 0.936336 8.1089 0 2 0.83621 7.2418 0 3 0.751024 6.5041 0 4 0.699902 6.0613 0 5 0.683797 5.9219 0 6 0.661252 5.7266 0 7 0.623659 5.401 0 8 0.586683 5.0808 1e-06 9 0.578972 5.014 2e-06 10 0.605412 5.243 1e-06 11 0.645517 5.5903 0 12 0.655227 5.6744 0 13 0.57849 5.0099 2e-06 14 0.475585 4.1187 4.9e-05 15 0.38128 3.302 0.000736 16 0.314134 2.7205 0.004049 17 0.278617 2.4129 0.009135 18 0.238151 2.0624 0.021314 19 0.189286 1.6393 0.052674 20 0.142627 1.2352 0.110309 21 0.125282 1.085 0.140705 22 0.141571 1.226 0.11201 23 0.168111 1.4559 0.074799 24 0.16548 1.4331 0.077993 25 0.094101 0.8149 0.208844 26 0.008536 0.0739 0.470634 27 -0.065504 -0.5673 0.28611 28 -0.119192 -1.0322 0.15264 29 -0.148479 -1.2859 0.101223 30 -0.184042 -1.5939 0.057587 31 -0.22328 -1.9337 0.028464 32 -0.259688 -2.249 0.013725 33 -0.27358 -2.3693 0.010199 34 -0.25478 -2.2065 0.015206 35 -0.22523 -1.9505 0.027424 36 -0.218951 -1.8962 0.030894 37 -0.261758 -2.2669 0.01314 38 -0.316596 -2.7418 0.003818 39 -0.364758 -3.1589 0.001142 40 -0.392421 -3.3985 0.000544 41 -0.401195 -3.4745 0.000427 42 -0.412624 -3.5734 0.00031 43 -0.422611 -3.6599 0.000233 44 -0.431298 -3.7351 0.000182 45 -0.421869 -3.6535 0.000238 46 -0.386081 -3.3436 0.000647 47 -0.34577 -2.9945 0.001861 48 -0.323187 -2.7989 0.003258 49 -0.333022 -2.8841 0.002561 50 -0.351196 -3.0414 0.001621 51 -0.366967 -3.178 0.001077 52 -0.372407 -3.2251 0.000933 53 -0.366926 -3.1777 0.001078 54 -0.364471 -3.1564 0.00115 55 -0.358252 -3.1025 0.001352 56 -0.348102 -3.0147 0.001755 57 -0.325909 -2.8225 0.003049 58 -0.28592 -2.4761 0.007768 59 -0.24491 -2.121 0.018614 60 -0.215508 -1.8664 0.03295 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.936336 8.1089 0 2 -0.328662 -2.8463 0.002851 3 0.16783 1.4534 0.075135 4 0.153717 1.3312 0.093573 5 0.161431 1.398 0.083111 6 -0.165337 -1.4319 0.07817 7 0.018314 0.1586 0.437203 8 0.093537 0.8101 0.210236 9 0.241081 2.0878 0.020105 10 0.119561 1.0354 0.151898 11 0.090207 0.7812 0.218568 12 -0.171042 -1.4813 0.071362 13 -0.575023 -4.9798 2e-06 14 0.105669 0.9151 0.18153 15 -0.148375 -1.285 0.10138 16 -0.051185 -0.4433 0.329423 17 -0.02912 -0.2522 0.400792 18 0.022482 0.1947 0.423077 19 0.008163 0.0707 0.471914 20 -0.053397 -0.4624 0.322555 21 0.111653 0.9669 0.168339 22 -0.029039 -0.2515 0.401063 23 -0.016552 -0.1433 0.443201 24 -0.093623 -0.8108 0.210024 25 -0.113894 -0.9864 0.163566 26 0.110454 0.9566 0.170931 27 -0.028644 -0.2481 0.402382 28 -0.066438 -0.5754 0.283382 29 -0.023942 -0.2073 0.41815 30 0.02097 0.1816 0.42819 31 -0.006571 -0.0569 0.477387 32 -0.095935 -0.8308 0.204356 33 -0.048941 -0.4238 0.336448 34 0.036945 0.32 0.374945 35 0.004734 0.041 0.483702 36 -0.013555 -0.1174 0.453433 37 0.049751 0.4309 0.333904 38 -0.042965 -0.3721 0.355437 39 -0.037512 -0.3249 0.373095 40 0.062083 0.5377 0.296204 41 -0.055819 -0.4834 0.315108 42 0.079658 0.6899 0.246205 43 0.019535 0.1692 0.433056 44 0.001219 0.0106 0.495802 45 -0.015872 -0.1375 0.445521 46 -0.001083 -0.0094 0.496269 47 -0.020422 -0.1769 0.430047 48 -0.010179 -0.0882 0.464996 49 0.064535 0.5589 0.288951 50 -0.019371 -0.1678 0.433614 51 -0.015044 -0.1303 0.448344 52 -0.04609 -0.3992 0.345458 53 -0.008786 -0.0761 0.469775 54 -0.052244 -0.4524 0.326128 55 0.009173 0.0794 0.468446 56 0.051593 0.4468 0.328151 57 -0.080312 -0.6955 0.244438 58 -0.017641 -0.1528 0.439493 59 0.016676 0.1444 0.44278 60 0.058465 0.5063 0.307059

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229596906r37bi6h47jtmm7p/1zhmt1229596768.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229596906r37bi6h47jtmm7p/1zhmt1229596768.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229596906r37bi6h47jtmm7p/2ny131229596768.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229596906r37bi6h47jtmm7p/2ny131229596768.ps (open in new window)

Parameters (Session):

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

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')

Copyright

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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