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WS 8 Identifying Integration Processes

*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: Tue, 24 Nov 2009 12:14:07 -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/Nov/24/t1259090110gze2mvb07xehbfj.htm/, Retrieved Tue, 24 Nov 2009 20:15:12 +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/Nov/24/t1259090110gze2mvb07xehbfj.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:

WS 8 Identifying Integration Processes

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

14,5 14,3 15,3 14,4 13,7 14,2 13,5 11,9 14,6 15,6 14,1 14,9 14,2 14,6 17,2 15,4 14,3 17,5 14,5 14,4 16,6 16,7 16,6 16,9 15,7 16,4 18,4 16,9 16,5 18,3 15,1 15,7 18,1 16,8 18,9 19 18,1 17,8 21,5 17,1 18,7 19 16,4 16,9 18,6 19,3 19,4 17,6 18,6 18,1 20,4 18,1 19,6 19,9 19,2 17,8 19,2 22 21,1 19,5 22,2 20,9 22,2 23,5 21,5 24,3 22,8 20,3 23,7 23,3 19,6 18 17,3 16,8 18,2 16,5 16 18,4

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	0.781776	6.9045	0
2	0.721089	6.3685	0
3	0.77346	6.831	0
4	0.656375	5.797	0
5	0.618311	5.4608	0
6	0.613151	5.4152	0
7	0.473424	4.1812	3.8e-05
8	0.453214	4.0027	7.1e-05
9	0.436979	3.8593	0.000116
10	0.317081	2.8004	0.003216
11	0.341129	3.0128	0.001745
12	0.400912	3.5408	0.000338
13	0.243141	2.1474	0.017435
14	0.212895	1.8802	0.031905
15	0.235868	2.0831	0.020258
16	0.185437	1.6377	0.052752
17	0.176761	1.5611	0.061273
18	0.174328	1.5396	0.06385
19	0.126779	1.1197	0.133143
20	0.109971	0.9712	0.167217
21	0.090998	0.8037	0.212014
22	0.045977	0.4061	0.342905
23	0.068334	0.6035	0.273961
24	0.101744	0.8986	0.185822
25	0.03416	0.3017	0.381844
26	-0.02271	-0.2006	0.42078
27	0.002212	0.0195	0.49223
28	-0.009584	-0.0846	0.466382
29	-0.038533	-0.3403	0.367266
30	-0.040097	-0.3541	0.362099
31	-0.059001	-0.5211	0.301893
32	-0.118926	-1.0503	0.148405
33	-0.130294	-1.1507	0.126681
34	-0.160977	-1.4217	0.079549
35	-0.183701	-1.6224	0.054376
36	-0.142287	-1.2566	0.106316

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.781776	6.9045	0
2	0.282684	2.4966	0.007324
3	0.413947	3.6559	0.000232
4	-0.158283	-1.3979	0.08305
5	0.046158	0.4077	0.342322
6	-0.025769	-0.2276	0.410282
7	-0.244856	-2.1625	0.016822
8	0.039751	0.3511	0.36324
9	-0.024204	-0.2138	0.415643
10	-0.080532	-0.7112	0.239529
11	0.176056	1.5549	0.062011
12	0.306628	2.7081	0.004157
13	-0.279457	-2.4681	0.007886
14	-0.164259	-1.4507	0.075438
15	-0.063886	-0.5642	0.287109
16	0.162363	1.434	0.077791
17	-0.040377	-0.3566	0.361177
18	0.042608	0.3763	0.353857
19	0.136646	1.2068	0.115573
20	-0.153317	-1.3541	0.089813
21	-0.104312	-0.9213	0.179879
22	0.000365	0.0032	0.498717
23	0.048787	0.4309	0.333873
24	0.037644	0.3325	0.370217
25	0.078598	0.6942	0.244822
26	-0.154248	-1.3623	0.088515
27	-0.055575	-0.4908	0.312464
28	-0.051885	-0.4582	0.324027
29	0.030698	0.2711	0.393508
30	-0.034829	-0.3076	0.379603
31	0.035079	0.3098	0.378765
32	-0.090556	-0.7998	0.213136
33	-0.056538	-0.4993	0.309475
34	-0.074771	-0.6604	0.255484
35	-0.058361	-0.5154	0.303855
36	0.114652	1.0126	0.157197

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259090110gze2mvb07xehbfj/11tzs1259090046.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259090110gze2mvb07xehbfj/11tzs1259090046.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259090110gze2mvb07xehbfj/2p4zn1259090046.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259090110gze2mvb07xehbfj/2p4zn1259090046.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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