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Autocorrelation Function Werkloosheid 2 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 03:45:28 -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/18/t1229597185qmusvreh1ggued2.htm/, Retrieved Thu, 18 Dec 2008 11:46:29 +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/t1229597185qmusvreh1ggued2.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 «

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	0.289551	2.4908	0.007494
2	-0.173302	-1.4908	0.070132
3	-0.330197	-2.8405	0.002907
4	-0.340579	-2.9298	0.002254
5	0.012819	0.1103	0.456245
6	0.16151	1.3894	0.084444
7	0.030243	0.2602	0.39773
8	-0.279876	-2.4076	0.009276
9	-0.231013	-1.9872	0.025298
10	-0.153312	-1.3188	0.095644
11	0.253489	2.1806	0.016196
12	0.764696	6.5782	0
13	0.211813	1.8221	0.036242
14	-0.104058	-0.8951	0.186807
15	-0.270176	-2.3241	0.011433
16	-0.301303	-2.5919	0.005747
17	-0.005085	-0.0437	0.482614
18	0.135868	1.1688	0.123121
19	0.011767	0.1012	0.459823
20	-0.231565	-1.992	0.025031
21	-0.218448	-1.8792	0.03208
22	-0.126596	-1.089	0.139839
23	0.246317	2.1189	0.018728
24	0.601851	5.1773	1e-06
25	0.110463	0.9502	0.172542
26	-0.11856	-1.0199	0.15555
27	-0.187115	-1.6096	0.055869
28	-0.220584	-1.8975	0.030829
29	0.014941	0.1285	0.449039
30	0.083802	0.7209	0.236624
31	-0.022338	-0.1922	0.424073
32	-0.189978	-1.6343	0.053227
33	-0.177364	-1.5257	0.065669
34	-0.098842	-0.8503	0.198959
35	0.196674	1.6919	0.04744
36	0.451432	3.8834	0.000111
37	0.090078	0.7749	0.22044
38	-0.076654	-0.6594	0.255842
39	-0.175271	-1.5077	0.067939
40	-0.178685	-1.5371	0.064266
41	0.010467	0.09	0.464248
42	0.059554	0.5123	0.304981
43	-0.002505	-0.0215	0.491433
44	-0.149331	-1.2846	0.101471
45	-0.129044	-1.1101	0.13528
46	-0.061213	-0.5266	0.300033
47	0.159158	1.3691	0.08755
48	0.28707	2.4695	0.007919
49	0.066601	0.5729	0.284217
50	-0.03103	-0.2669	0.395133
51	-0.098475	-0.8471	0.199832
52	-0.107817	-0.9275	0.178348
53	-0.030143	-0.2593	0.398061
54	0.012708	0.1093	0.456623
55	-0.004865	-0.0419	0.483365
56	-0.052064	-0.4479	0.327777
57	-0.051364	-0.4419	0.329942
58	-0.037324	-0.3211	0.374532
59	0.09706	0.8349	0.20322
60	0.148698	1.2792	0.10242

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.289551	2.4908	0.007494
2	-0.280674	-2.4144	0.009116
3	-0.218799	-1.8822	0.031872
4	-0.260881	-2.2442	0.013905
5	0.089853	0.7729	0.221007
6	-0.049503	-0.4258	0.335729
7	-0.159657	-1.3734	0.086884
8	-0.39977	-3.4389	0.000481
9	-0.105461	-0.9072	0.18362
10	-0.34276	-2.9485	0.002135
11	0.114283	0.9831	0.16438
12	0.578575	4.9771	2e-06
13	-0.195872	-1.685	0.048105
14	0.198821	1.7103	0.045698
15	0.137942	1.1866	0.119587
16	0.051973	0.4471	0.328058
17	0.040783	0.3508	0.363355
18	0.051318	0.4415	0.330085
19	-0.011797	-0.1015	0.459721
20	-0.000409	-0.0035	0.498602
21	-0.179361	-1.5429	0.063558
22	0.084466	0.7266	0.234881
23	-0.058127	-0.5	0.309269
24	-0.047354	-0.4074	0.342463
25	-0.205841	-1.7707	0.040364
26	-0.098635	-0.8485	0.199452
27	0.085188	0.7328	0.232992
28	-0.089346	-0.7686	0.222294
29	-0.068842	-0.5922	0.277759
30	-0.051252	-0.4409	0.330291
31	-0.003093	-0.0266	0.489422
32	-0.005888	-0.0507	0.47987
33	-0.01943	-0.1671	0.433858
34	-0.032258	-0.2775	0.391089
35	-0.041843	-0.3599	0.359957
36	-0.095252	-0.8194	0.207597
37	0.133389	1.1475	0.127444
38	-0.051541	-0.4434	0.329395
39	-0.147301	-1.2671	0.104541
40	0.04777	0.4109	0.341154
41	-0.129736	-1.116	0.13401
42	-0.033143	-0.2851	0.38818
43	0.016522	0.1421	0.443683
44	-0.076559	-0.6586	0.256103
45	0.068699	0.591	0.278171
46	-0.052604	-0.4525	0.32611
47	-0.025673	-0.2208	0.412911
48	-0.065159	-0.5605	0.288409
49	0.031808	0.2736	0.39257
50	-0.002208	-0.019	0.492447
51	0.020636	0.1775	0.429793
52	0.014272	0.1228	0.451309
53	-0.01091	-0.0939	0.46274
54	-0.051746	-0.4451	0.328761
55	0.019268	0.1658	0.434402
56	0.116642	1.0034	0.15947
57	0.00526	0.0453	0.482014
58	-0.008703	-0.0749	0.470261
59	0.020936	0.1801	0.428782
60	-0.027761	-0.2388	0.405957

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229597185qmusvreh1ggued2/1o5rc1229597126.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229597185qmusvreh1ggued2/1o5rc1229597126.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229597185qmusvreh1ggued2/2p8ux1229597126.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229597185qmusvreh1ggued2/2p8ux1229597126.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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')

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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