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(P)ACF Mannen (d=1 & D=1)

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 23 Dec 2008 13:51:08 -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/23/t12300655202oblbuqaxj5ruot.htm/, Retrieved Tue, 23 Dec 2008 21:52:00 +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/23/t12300655202oblbuqaxj5ruot.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 «

54156 53661 52441 50648 48141 46127 45623 56527 60205 61321 58088 54623 53495 51824 50518 49050 47111 45264 44357 54862 57871 59070 56273 52837 51702 49447 48965 46922 46256 45200 44471 53119 55016 56641 51847 47990 45744 46390 44461 41582 40813 38096 35461 44375 46255 45610 43375 40167 40628 40590 39473 36735 36634 32806 32907 41076 42254 43215 41116 40373

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	-0.160095	-1.0976	0.138995
2	0.159127	1.0909	0.140435
3	-0.025674	-0.176	0.430519
4	0.09262	0.635	0.264263
5	-0.122456	-0.8395	0.202714
6	-0.021384	-0.1466	0.442038
7	0.098666	0.6764	0.251046
8	-0.032404	-0.2221	0.41258
9	0.072254	0.4953	0.311332
10	-0.088187	-0.6046	0.274184
11	0.432229	2.9632	0.002383
12	-0.279691	-1.9175	0.030634
13	0.048273	0.3309	0.371078
14	-0.078069	-0.5352	0.297512
15	-0.066309	-0.4546	0.325748
16	-0.250069	-1.7144	0.046523
17	-0.003947	-0.0271	0.489265
18	-0.043825	-0.3004	0.38258
19	-0.071258	-0.4885	0.313727
20	0.028634	0.1963	0.422609
21	0.002585	0.0177	0.492969
22	0.167716	1.1498	0.128021
23	-0.16542	-1.1341	0.13126
24	0.008964	0.0615	0.475629
25	-0.040345	-0.2766	0.391655
26	0.021232	0.1456	0.442446
27	-0.107553	-0.7373	0.232288
28	-0.025891	-0.1775	0.429939
29	0.017096	0.1172	0.453598
30	0.003846	0.0264	0.489539
31	0.081472	0.5585	0.289562
32	0.026549	0.182	0.42818
33	-0.005173	-0.0355	0.485929
34	-0.05789	-0.3969	0.346629
35	-0.031263	-0.2143	0.415608
36	0.011223	0.0769	0.469498
37	-0.005662	-0.0388	0.484599
38	0.007279	0.0499	0.480207
39	-0.037252	-0.2554	0.39977
40	-0.005412	-0.0371	0.485279
41	-0.04777	-0.3275	0.372374
42	0.02575	0.1765	0.430318
43	0.028097	0.1926	0.424041
44	-0.015686	-0.1075	0.457411
45	-0.005361	-0.0368	0.485419
46	-0.039565	-0.2712	0.393695
47	NA	NA	NA
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	-0.160095	-1.0976	0.138995
2	0.137008	0.9393	0.176195
3	0.019083	0.1308	0.448235
4	0.073075	0.501	0.309364
5	-0.104079	-0.7135	0.239524
6	-0.079727	-0.5466	0.293626
7	0.1235	0.8467	0.200734
8	0.009783	0.0671	0.473407
9	0.058385	0.4003	0.345386
10	-0.084508	-0.5794	0.282557
11	0.399573	2.7393	0.004336
12	-0.179934	-1.2336	0.111749
13	-0.133453	-0.9149	0.182456
14	-0.031687	-0.2172	0.414483
15	-0.14485	-0.993	0.162888
16	-0.191128	-1.3103	0.09823
17	-0.039147	-0.2684	0.394792
18	-0.093687	-0.6423	0.261903
19	-0.03588	-0.246	0.403384
20	0.017517	0.1201	0.452463
21	0.063639	0.4363	0.332314
22	0.016524	0.1133	0.455145
23	0.067739	0.4644	0.322255
24	-0.0497	-0.3407	0.367415
25	-0.002705	-0.0185	0.49264
26	0.130583	0.8952	0.187613
27	0.049683	0.3406	0.367458
28	-0.201769	-1.3833	0.086561
29	0.005132	0.0352	0.486042
30	0.02294	0.1573	0.437853
31	-0.00854	-0.0585	0.476781
32	-0.051994	-0.3565	0.361549
33	-0.183001	-1.2546	0.107915
34	-0.050515	-0.3463	0.365326
35	-0.003984	-0.0273	0.489162
36	0.034973	0.2398	0.405778
37	-0.022066	-0.1513	0.440203
38	0.086848	0.5954	0.277217
39	0.039771	0.2727	0.393155
40	-0.103037	-0.7064	0.241717
41	-0.038335	-0.2628	0.396923
42	0.020426	0.14	0.444615
43	0.009867	0.0676	0.473177
44	0.016533	0.1133	0.455119
45	-0.017104	-0.1173	0.453577
46	-0.039995	-0.2742	0.392571
47	NA	NA	NA
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/23/t12300655202oblbuqaxj5ruot/1mzrn1230065462.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t12300655202oblbuqaxj5ruot/1mzrn1230065462.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t12300655202oblbuqaxj5ruot/23g1r1230065462.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t12300655202oblbuqaxj5ruot/23g1r1230065462.ps (open in new window)

Parameters (Session):

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