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Method-1: ACF - d=D=1, lambda=1 - Totale industriële productie index met basis jaar = 2000 (periode 31/1 2004-2009)

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 27 Nov 2009 06:48:51 -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/27/t12593298013x0r7cnny5ac0y7.htm/, Retrieved Fri, 27 Nov 2009 14:50:04 +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/27/t12593298013x0r7cnny5ac0y7.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 «

95.1 97 112.7 102.9 97.4 111.4 87.4 96.8 114.1 110.3 103.9 101.6 94.6 95.9 104.7 102.8 98.1 113.9 80.9 95.7 113.2 105.9 108.8 102.3 99 100.7 115.5 100.7 109.9 114.6 85.4 100.5 114.8 116.5 112.9 102 106 105.3 118.8 106.1 109.3 117.2 92.5 104.2 112.5 122.4 113.3 100 110.7 112.8 109.8 117.3 109.1 115.9 96 99.8 116.8 115.7 99.4 94.3 91

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	-0.627811	-4.3496	3.5e-05
2	0.100761	0.6981	0.244245
3	0.249564	1.729	0.045115
4	-0.240973	-1.6695	0.050764
5	0.107015	0.7414	0.231024
6	0.059858	0.4147	0.340102
7	-0.135462	-0.9385	0.17634
8	0.113227	0.7845	0.218313
9	-0.020367	-0.1411	0.444189
10	-0.06666	-0.4618	0.323144
11	0.103803	0.7192	0.237761
12	-0.082875	-0.5742	0.284266
13	0.019549	0.1354	0.446415
14	-0.006082	-0.0421	0.483282
15	0.052019	0.3604	0.360066
16	-0.100508	-0.6963	0.244786
17	0.082309	0.5703	0.285582
18	0.040366	0.2797	0.390468
19	-0.147788	-1.0239	0.155506
20	0.102258	0.7085	0.241041
21	0.067996	0.4711	0.319856
22	-0.265405	-1.8388	0.036069
23	0.372514	2.5808	0.006484
24	-0.28378	-1.9661	0.027543
25	0.024112	0.1671	0.434016
26	0.172851	1.1975	0.118487
27	-0.155451	-1.077	0.143433
28	0.03145	0.2179	0.414218
29	0.039714	0.2751	0.392191
30	-0.058522	-0.4055	0.343474
31	0.027839	0.1929	0.423937
32	0.016625	0.1152	0.45439
33	-0.053049	-0.3675	0.357419
34	0.051936	0.3598	0.360279
35	-0.073624	-0.5101	0.306166
36	0.020147	0.1396	0.444787
37	0.020064	0.139	0.445012
38	-0.090415	-0.6264	0.267006
39	0.057604	0.3991	0.345799
40	-0.00292	-0.0202	0.491971
41	-0.020626	-0.1429	0.443483
42	-0.006449	-0.0447	0.482273
43	-0.003226	-0.0224	0.491129
44	0.036506	0.2529	0.400705
45	-0.060286	-0.4177	0.339023
46	0.031213	0.2162	0.414856
47	0.000979	0.0068	0.497307
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	-0.627811	-4.3496	3.5e-05
2	-0.484251	-3.355	0.000779
3	0.085035	0.5891	0.279264
4	0.163972	1.136	0.130792
5	0.118728	0.8226	0.207409
6	0.11327	0.7848	0.218225
7	-0.019234	-0.1333	0.447273
8	-0.035303	-0.2446	0.40391
9	-0.00138	-0.0096	0.496205
10	-0.0351	-0.2432	0.404451
11	0.021355	0.148	0.4415
12	-0.011183	-0.0775	0.469283
13	-0.018799	-0.1302	0.448459
14	-0.102622	-0.711	0.240266
15	0.063096	0.4371	0.331984
16	-0.005163	-0.0358	0.485806
17	-0.000218	-0.0015	0.499399
18	0.145135	1.0055	0.159843
19	0.002044	0.0142	0.494379
20	-0.136334	-0.9446	0.174809
21	0.057232	0.3965	0.346742
22	-0.185135	-1.2827	0.102886
23	0.163096	1.13	0.132053
24	0.051867	0.3593	0.360455
25	-0.083536	-0.5788	0.282731
26	-0.099869	-0.6919	0.246163
27	0.085518	0.5925	0.278152
28	0.077852	0.5394	0.296061
29	-0.056644	-0.3924	0.348235
30	-0.038769	-0.2686	0.394695
31	-0.04726	-0.3274	0.372384
32	-0.033827	-0.2344	0.407852
33	0.027679	0.1918	0.424367
34	-0.000325	-0.0023	0.499105
35	-0.110688	-0.7669	0.223457
36	-0.162909	-1.1287	0.132324
37	-0.022934	-0.1589	0.43721
38	-0.16552	-1.1468	0.128583
39	-0.057729	-0.4	0.345481
40	0.053175	0.3684	0.357095
41	0.069585	0.4821	0.315962
42	0.075515	0.5232	0.301626
43	-0.017927	-0.1242	0.450838
44	-0.121203	-0.8397	0.202615
45	0.010116	0.0701	0.472209
46	-0.017282	-0.1197	0.452597
47	0.007865	0.0545	0.478386
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://www.freestatistics.org/blog/date/2009/Nov/27/t12593298013x0r7cnny5ac0y7/1am9d1259329730.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593298013x0r7cnny5ac0y7/1am9d1259329730.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593298013x0r7cnny5ac0y7/2zrnv1259329730.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593298013x0r7cnny5ac0y7/2zrnv1259329730.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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