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(P)ACF Duurzame consumptiegoederen

*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, 21 Dec 2008 16:35:20 -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/22/t1229902710xe8hispq6kwf6g5.htm/, Retrieved Mon, 22 Dec 2008 00:38:32 +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/22/t1229902710xe8hispq6kwf6g5.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 «

98,1 101,1 111,1 93,3 100 108 70,4 75,4 105,5 112,3 102,5 93,5 86,7 95,2 103,8 97 95,5 101 67,5 64 106,7 100,6 101,2 93,1 84,2 85,8 91,8 92,4 80,3 79,7 62,5 57,1 100,8 100,7 86,2 83,2

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.341533	2.0492	0.023892
2	-0.200889	-1.2053	0.117969
3	-0.083638	-0.5018	0.309423
4	-0.037612	-0.2257	0.411365
5	0.090991	0.5459	0.294234
6	0.231936	1.3916	0.086289
7	0.113224	0.6793	0.250633
8	-0.091515	-0.5491	0.293167
9	-0.123475	-0.7408	0.231795
10	-0.125055	-0.7503	0.228967
11	0.14073	0.8444	0.202017
12	0.508364	3.0502	0.002137
13	0.120613	0.7237	0.236971
14	-0.297574	-1.7854	0.041308
15	-0.129196	-0.7752	0.221648
16	-0.08973	-0.5384	0.296814
17	-0.097215	-0.5833	0.281668
18	0.028293	0.1698	0.433076
19	0.001827	0.011	0.495658
20	-0.099791	-0.5987	0.276545
21	-0.142497	-0.855	0.199108
22	-0.090619	-0.5437	0.294995
23	0.029406	0.1764	0.430471
24	0.145565	0.8734	0.19412
25	-0.016315	-0.0979	0.461282
26	-0.232866	-1.3972	0.085454
27	-0.107365	-0.6442	0.261768
28	-0.049751	-0.2985	0.383517
29	-0.121145	-0.7269	0.236003
30	-0.071631	-0.4298	0.334957
31	-0.004936	-0.0296	0.48827
32	0.005377	0.0323	0.487221
33	-0.020993	-0.126	0.450233
34	-0.01623	-0.0974	0.461483
35	-0.007821	-0.0469	0.481416
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.341533	2.0492	0.023892
2	-0.359464	-2.1568	0.018888
3	0.172129	1.0328	0.154299
4	-0.188445	-1.1307	0.132835
5	0.260011	1.5601	0.063746
6	0.048512	0.2911	0.386333
7	0.069421	0.4165	0.33975
8	-0.105564	-0.6334	0.265243
9	0.000109	7e-04	0.499741
10	-0.167668	-1.006	0.160563
11	0.341478	2.0489	0.023909
12	0.283805	1.7028	0.04861
13	-0.253672	-1.522	0.068368
14	-0.025463	-0.1528	0.439713
15	-0.008888	-0.0533	0.478883
16	-0.181543	-1.0893	0.141639
17	-0.091888	-0.5513	0.292408
18	-0.146383	-0.8783	0.192803
19	-0.002223	-0.0133	0.494717
20	0.046727	0.2804	0.390401
21	-0.085707	-0.5142	0.305113
22	0.092085	0.5525	0.292006
23	-0.091909	-0.5515	0.292366
24	-0.088852	-0.5331	0.298616
25	0.008003	0.048	0.480985
26	-0.039784	-0.2387	0.406345
27	-0.035859	-0.2152	0.415431
28	0.015928	0.0956	0.462197
29	-0.058971	-0.3538	0.362766
30	-0.061325	-0.368	0.357533
31	0.051286	0.3077	0.380036
32	-0.005987	-0.0359	0.485772
33	0.048733	0.2924	0.385831
34	-0.039037	-0.2342	0.40807
35	-0.084648	-0.5079	0.307314
36	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229902710xe8hispq6kwf6g5/1b4mu1229902518.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229902710xe8hispq6kwf6g5/1b4mu1229902518.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229902710xe8hispq6kwf6g5/2yizq1229902518.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229902710xe8hispq6kwf6g5/2yizq1229902518.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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')

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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