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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 12:25:42 -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/t1259090804agfmko3uyihisff.htm/, Retrieved Tue, 24 Nov 2009 20:26:46 +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/t1259090804agfmko3uyihisff.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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.703374	5.7142	0
2	0.641449	5.2112	1e-06
3	0.533265	4.3323	2.6e-05
4	0.289419	2.3512	0.010853
5	0.198068	1.6091	0.056183
6	0.051782	0.4207	0.337679
7	-0.147113	-1.1952	0.118152
8	-0.167415	-1.3601	0.089215
9	-0.241581	-1.9626	0.026954
10	-0.278996	-2.2666	0.01335
11	-0.235556	-1.9137	0.030001
12	-0.275748	-2.2402	0.014226
13	-0.246638	-2.0037	0.024605
14	-0.197235	-1.6023	0.056928
15	-0.17067	-1.3865	0.085126
16	-0.181639	-1.4756	0.072397
17	-0.096594	-0.7847	0.217708
18	-0.096105	-0.7808	0.218867
19	-0.073546	-0.5975	0.276112
20	-0.010842	-0.0881	0.46504
21	-3.8e-05	-3e-04	0.499879
22	0.011348	0.0922	0.463412
23	0.086935	0.7063	0.241255
24	0.057701	0.4688	0.32039
25	0.1273	1.0342	0.15241
26	0.124588	1.0122	0.15758
27	0.095909	0.7792	0.219332
28	0.094165	0.765	0.223499
29	0.082254	0.6682	0.253158
30	0.026233	0.2131	0.415947
31	0.023634	0.192	0.424165
32	-0.016339	-0.1327	0.447401
33	-0.018057	-0.1467	0.441908
34	-0.017978	-0.1461	0.442161
35	-0.030451	-0.2474	0.402689
36	-0.052518	-0.4267	0.335508

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.703374	5.7142	0
2	0.29037	2.359	0.010647
3	0.019142	0.1555	0.438447
4	-0.36191	-2.9402	0.002259
5	-0.057314	-0.4656	0.321511
6	-0.050689	-0.4118	0.340912
7	-0.223719	-1.8175	0.03684
8	0.052397	0.4257	0.335864
9	0.062105	0.5045	0.30778
10	0.005868	0.0477	0.481062
11	-0.012661	-0.1029	0.459194
12	-0.105547	-0.8575	0.197145
13	-0.04691	-0.3811	0.352178
14	-0.022701	-0.1844	0.427122
15	0.050781	0.4125	0.340638
16	-0.173481	-1.4094	0.081711
17	0.098333	0.7989	0.213618
18	0.022546	0.1832	0.427615
19	-0.062123	-0.5047	0.30773
20	-0.00035	-0.0028	0.49887
21	0.051725	0.4202	0.337845
22	-0.044929	-0.365	0.358139
23	0.051077	0.415	0.339762
24	-0.029274	-0.2378	0.406377
25	0.107562	0.8738	0.192688
26	-0.074521	-0.6054	0.273491
27	-0.014416	-0.1171	0.453562
28	-0.102258	-0.8307	0.204555
29	0.073017	0.5932	0.277541
30	-0.038544	-0.3131	0.377582
31	-0.002161	-0.0176	0.493023
32	-0.014032	-0.114	0.454793
33	0.135861	1.1037	0.136858
34	-0.040469	-0.3288	0.371684
35	-0.035115	-0.2853	0.388163
36	-0.110112	-0.8946	0.187137

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259090804agfmko3uyihisff/1rr0z1259090741.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259090804agfmko3uyihisff/1rr0z1259090741.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259090804agfmko3uyihisff/2p66k1259090741.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259090804agfmko3uyihisff/2p66k1259090741.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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