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Type 'q()' to quit R. > y <- c(103.68,103.64,103.37,104.3,104.15,104.09,104.21,104.27,104,103.36,104.2,104.12,103.79,104.65,103.84,103.98,103.83,104.34,103.76,103.57,103.06,103.06,102.6,103.41,103.15,103.33,103.96,104.91,104.23,103.68,104.16,104.49,104.23,104.21,103.74,103.96,104.02,104.15,103.74,103.23,103.69,103.46,102.14,102.39,102.19,102.02,102.64,103.52,103.32,103.65,104.25,101.74,102.08,101.35,102.79,102.21,101.78,101.25,101.8,103,104.17,104.08,105.24,104.72,104.77,104.39,104.14,105.15,105.07,104.54,106.03,107.24,108.2,109.15,110.1,109.48,109.96,110.13,110.53,110.82,110.06,110.05,109.49,109.95) > x <- c(101.02,100.67,100.47,100.38,100.33,100.34,100.37,100.39,100.21,100.21,100.22,100.28,100.25,100.25,100.21,100.16,100.18,100.1,99.96,99.88,99.88,99.86,99.84,99.8,99.82,99.81,99.92,100.03,99.99,100.02,100.01,100.13,100.33,100.13,99.96,100.05,99.83,99.8,100.01,100.1,100.13,100.16,100.41,101.34,101.65,101.85,102.07,102.12,102.14,102.21,102.28,102.19,102.33,102.54,102.44,102.78,102.9,103.08,102.77,102.65,102.71,103.29,102.86,103.45,103.72,103.65,103.83,104.45,105.14,105.07,105.31,105.19,105.3,105.02,105.17,105.28,105.45,105.38,105.8,105.96,105.08,105.11,105.61,105.5) > par7 = '0' > par6 = '1' > par5 = '1' > par4 = '12' > par3 = '0' > par2 = '1' > par1 = '1' > #'GNU S' R Code compiled by R2WASP v. 1.0.44 () > #Author: Prof. Dr. P. Wessa > #To cite this work: Wessa P., (2008), Cross Correlation Function (v1.0.6) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_cross.wasp/ > #Source of accompanying publication: Office for Research, Development, and Education > #Technical description: > par1 <- as.numeric(par1) > par2 <- as.numeric(par2) > par3 <- as.numeric(par3) > par4 <- as.numeric(par4) > par5 <- as.numeric(par5) > par6 <- as.numeric(par6) > par7 <- as.numeric(par7) > if (par1 == 0) { + x <- log(x) + } else { + x <- (x ^ par1 - 1) / par1 + } > if (par5 == 0) { + y <- log(y) + } else { + y <- (y ^ par5 - 1) / par5 + } > if (par2 > 0) x <- diff(x,lag=1,difference=par2) > if (par6 > 0) y <- diff(y,lag=1,difference=par6) > if (par3 > 0) x <- diff(x,lag=par4,difference=par3) > if (par7 > 0) y <- diff(y,lag=par4,difference=par7) > x [1] -0.35 -0.20 -0.09 -0.05 0.01 0.03 0.02 -0.18 0.00 0.01 0.06 -0.03 [13] 0.00 -0.04 -0.05 0.02 -0.08 -0.14 -0.08 0.00 -0.02 -0.02 -0.04 0.02 [25] -0.01 0.11 0.11 -0.04 0.03 -0.01 0.12 0.20 -0.20 -0.17 0.09 -0.22 [37] -0.03 0.21 0.09 0.03 0.03 0.25 0.93 0.31 0.20 0.22 0.05 0.02 [49] 0.07 0.07 -0.09 0.14 0.21 -0.10 0.34 0.12 0.18 -0.31 -0.12 0.06 [61] 0.58 -0.43 0.59 0.27 -0.07 0.18 0.62 0.69 -0.07 0.24 -0.12 0.11 [73] -0.28 0.15 0.11 0.17 -0.07 0.42 0.16 -0.88 0.03 0.50 -0.11 > y [1] -0.04 -0.27 0.93 -0.15 -0.06 0.12 0.06 -0.27 -0.64 0.84 -0.08 -0.33 [13] 0.86 -0.81 0.14 -0.15 0.51 -0.58 -0.19 -0.51 0.00 -0.46 0.81 -0.26 [25] 0.18 0.63 0.95 -0.68 -0.55 0.48 0.33 -0.26 -0.02 -0.47 0.22 0.06 [37] 0.13 -0.41 -0.51 0.46 -0.23 -1.32 0.25 -0.20 -0.17 0.62 0.88 -0.20 [49] 0.33 0.60 -2.51 0.34 -0.73 1.44 -0.58 -0.43 -0.53 0.55 1.20 1.17 [61] -0.09 1.16 -0.52 0.05 -0.38 -0.25 1.01 -0.08 -0.53 1.49 1.21 0.96 [73] 0.95 0.95 -0.62 0.48 0.17 0.40 0.29 -0.76 -0.01 -0.56 0.46 > postscript(file="/var/www/html/rcomp/tmp/1of291228304475.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > (r <- ccf(x,y,main='Cross Correlation Function',ylab='CCF',xlab='Lag (k)')) Autocorrelations of series 'X', by lag -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 0.115 0.167 -0.075 -0.073 -0.126 0.121 0.049 0.055 -0.162 0.142 0.165 -5 -4 -3 -2 -1 0 1 2 3 4 5 0.049 0.205 0.153 -0.014 0.002 -0.013 0.013 -0.110 0.052 -0.119 0.107 6 7 8 9 10 11 12 13 14 15 16 -0.007 0.058 0.096 0.049 -0.232 0.028 -0.056 -0.178 0.100 -0.078 0.071 > dev.off() null device 1 > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a,'Cross Correlation Function',2,TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Parameter',header=TRUE) > a<-table.element(a,'Value',header=TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Box-Cox transformation parameter (lambda) of X series',header=TRUE) > a<-table.element(a,par1) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Degree of non-seasonal differencing (d) of X series',header=TRUE) > a<-table.element(a,par2) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Degree of seasonal differencing (D) of X series',header=TRUE) > a<-table.element(a,par3) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Seasonal Period (s)',header=TRUE) > a<-table.element(a,par4) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Box-Cox transformation parameter (lambda) of Y series',header=TRUE) > a<-table.element(a,par5) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Degree of non-seasonal differencing (d) of Y series',header=TRUE) > a<-table.element(a,par6) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Degree of seasonal differencing (D) of Y series',header=TRUE) > a<-table.element(a,par7) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'k',header=TRUE) > a<-table.element(a,'rho(Y[t],X[t+k])',header=TRUE) > a<-table.row.end(a) > mylength <- length(r$acf) > myhalf <- floor((mylength-1)/2) > for (i in 1:mylength) { + a<-table.row.start(a) + a<-table.element(a,i-myhalf-1,header=TRUE) + a<-table.element(a,r$acf[i]) + a<-table.row.end(a) + } > a<-table.end(a) > table.save(a,file="/var/www/html/rcomp/tmp/225xb1228304475.tab") > > system("convert tmp/1of291228304475.ps tmp/1of291228304475.png") > > > proc.time() user system elapsed 1.189 0.283 1.245