Home » date » 2009 » Nov » 26 »

ACF Werkloosheid bij -25 jarigen (Seizoenaal differentiëren, D=1)

*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: Thu, 26 Nov 2009 04:21:30 -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/26/t1259234560hvuburopr2c4qb4.htm/, Retrieved Thu, 26 Nov 2009 12:22:43 +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/26/t1259234560hvuburopr2c4qb4.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 «

136 133 126 120 114 116 153 162 161 149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116 117 111 105 102 95 93 124 130 124 115 106 105 105 101 95 93 84 87 116 120 117 109 105 107 109

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	0.86016	6.0211	0
2	0.74052	5.1836	2e-06
3	0.595705	4.1699	6.2e-05
4	0.499188	3.4943	0.000509
5	0.402144	2.815	0.003503
6	0.366561	2.5659	0.0067
7	0.325089	2.2756	0.013639
8	0.244034	1.7082	0.04696
9	0.2018	1.4126	0.082047
10	0.117586	0.8231	0.20722
11	0.044525	0.3117	0.378306
12	-0.110047	-0.7703	0.222402
13	-0.213688	-1.4958	0.070558
14	-0.340161	-2.3811	0.010595
15	-0.416467	-2.9153	0.002673
16	-0.478032	-3.3462	0.00079
17	-0.448652	-3.1406	0.001429
18	-0.449765	-3.1484	0.001397
19	-0.427326	-2.9913	0.00217
20	-0.37478	-2.6235	0.005785
21	-0.348226	-2.4376	0.00923
22	-0.330526	-2.3137	0.012461
23	-0.339053	-2.3734	0.010796
24	-0.319483	-2.2364	0.014956
25	-0.341087	-2.3876	0.01043
26	-0.296246	-2.0737	0.021691
27	-0.249491	-1.7464	0.043501
28	-0.182826	-1.2798	0.103324
29	-0.125735	-0.8801	0.191538
30	-0.06108	-0.4276	0.335422
31	-0.003366	-0.0236	0.490649
32	0.00763	0.0534	0.478811
33	0.01595	0.1117	0.455778
34	0.021778	0.1524	0.439732
35	0.048665	0.3407	0.36741
36	0.062766	0.4394	0.331166

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.86016	6.0211	0
2	0.00248	0.0174	0.493111
3	-0.160747	-1.1252	0.132987
4	0.087272	0.6109	0.272042
5	-0.040836	-0.2859	0.388097
6	0.145356	1.0175	0.156958
7	-0.015536	-0.1088	0.45692
8	-0.232877	-1.6301	0.054743
9	0.149652	1.0476	0.14999
10	-0.183383	-1.2837	0.102646
11	-0.064287	-0.45	0.327344
12	-0.352065	-2.4645	0.008638
13	-0.057587	-0.4031	0.34431
14	-0.094438	-0.6611	0.255834
15	-0.09953	-0.6967	0.244638
16	-0.066799	-0.4676	0.321074
17	0.209876	1.4691	0.074094
18	-0.153491	-1.0744	0.143945
19	0.151752	1.0623	0.146662
20	0.11871	0.831	0.205011
21	-0.002197	-0.0154	0.493896
22	0.02253	0.1577	0.437667
23	-0.078719	-0.551	0.292057
24	-0.047169	-0.3302	0.371333
25	-0.056648	-0.3965	0.346715
26	-0.077242	-0.5407	0.295583
27	-0.000966	-0.0068	0.497315
28	-0.204264	-1.4298	0.079553
29	0.074344	0.5204	0.302561
30	-0.082451	-0.5772	0.283238
31	0.001344	0.0094	0.496266
32	-0.092053	-0.6444	0.261169
33	-0.007813	-0.0547	0.478305
34	0.086535	0.6057	0.27374
35	0.142322	0.9963	0.162011
36	0.027385	0.1917	0.424387

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259234560hvuburopr2c4qb4/19lh71259234488.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259234560hvuburopr2c4qb4/19lh71259234488.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259234560hvuburopr2c4qb4/2ejxo1259234488.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259234560hvuburopr2c4qb4/2ejxo1259234488.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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