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ACF2 Werkloosheid

*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, 30 Dec 2009 10:38:54 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/30/t1262194848iy9o0rwln7ylvjd.htm/, Retrieved Wed, 30 Dec 2009 18:40:51 +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/2009/Dec/30/t1262194848iy9o0rwln7ylvjd.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1 8.3

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	0.33977	2.6098	0.005732
2	-0.294344	-2.2609	0.013734
3	-0.52557	-4.037	7.9e-05
4	-0.352866	-2.7104	0.004393
5	0.144301	1.1084	0.136095
6	0.535103	4.1102	6.2e-05
7	0.353605	2.7161	0.004327
8	-0.057302	-0.4401	0.33072
9	-0.337475	-2.5922	0.006002
10	-0.321647	-2.4706	0.008198
11	-0.014378	-0.1104	0.456219
12	0.363367	2.7911	0.003533
13	0.083454	0.641	0.261995
14	-0.065542	-0.5034	0.308265
15	-0.079192	-0.6083	0.272667
16	-0.089739	-0.6893	0.246668
17	-0.004165	-0.032	0.487292
18	0.093711	0.7198	0.237243
19	0.02525	0.1939	0.423441
20	-0.052958	-0.4068	0.342821
21	-0.06043	-0.4642	0.322115
22	-0.05792	-0.4449	0.329012
23	0.043787	0.3363	0.368906
24	0.162931	1.2515	0.107847
25	-0.106974	-0.8217	0.207283
26	-0.142907	-1.0977	0.138399
27	-0.07245	-0.5565	0.289987
28	-0.015077	-0.1158	0.4541
29	0.083034	0.6378	0.263037
30	0.129643	0.9958	0.161705
31	0.038612	0.2966	0.383913
32	-0.119298	-0.9163	0.181608
33	-0.167247	-1.2846	0.101968
34	0.004414	0.0339	0.486533
35	0.171228	1.3152	0.096761
36	0.235013	1.8052	0.038076

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.33977	2.6098	0.005732
2	-0.463269	-3.5584	0.000372
3	-0.319304	-2.4526	0.008579
4	-0.241156	-1.8524	0.03449
5	0.092698	0.712	0.239628
6	0.260695	2.0024	0.02492
7	0.042311	0.325	0.373165
8	0.073296	0.563	0.287786
9	0.039924	0.3067	0.380091
10	-0.001978	-0.0152	0.493965
11	0.007925	0.0609	0.475832
12	0.150498	1.156	0.126171
13	-0.463832	-3.5628	0.000367
14	0.120988	0.9293	0.178253
15	0.079394	0.6098	0.272155
16	0.006259	0.0481	0.48091
17	-0.053793	-0.4132	0.340483
18	-0.009162	-0.0704	0.472068
19	0.096169	0.7387	0.231511
20	-0.018247	-0.1402	0.444506
21	-0.044412	-0.3411	0.367108
22	-0.146389	-1.1244	0.13269
23	0.066129	0.5079	0.306692
24	0.052707	0.4048	0.343527
25	-0.162891	-1.2512	0.107902
26	-0.081698	-0.6275	0.266364
27	-0.092738	-0.7123	0.239532
28	0.064697	0.4969	0.310537
29	-0.009264	-0.0712	0.471757
30	-0.028552	-0.2193	0.413583
31	0.062837	0.4827	0.315562
32	-0.030017	-0.2306	0.409226
33	0.000754	0.0058	0.497699
34	0.245822	1.8882	0.03196
35	-0.002138	-0.0164	0.493476
36	0.026461	0.2032	0.41982

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262194848iy9o0rwln7ylvjd/1nfdb1262194732.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262194848iy9o0rwln7ylvjd/1nfdb1262194732.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262194848iy9o0rwln7ylvjd/2wsmn1262194732.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262194848iy9o0rwln7ylvjd/2wsmn1262194732.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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