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Bert Moons autocorrelatie belgische inflatie

*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: Sun, 07 Dec 2008 04:23:27 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/07/t1228649060suuyyvljlvqw1p7.htm/, Retrieved Sun, 07 Dec 2008 11:24:20 +0000

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/2008/Dec/07/t1228649060suuyyvljlvqw1p7.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

4.8 5.5 5.4 5.9 5.8 5.1 4.1 4.4 3.6 3.5 3.1 2.9 2.2 1.4 1.2 1.3 1.3 1.3 1.8 1.8 1.8 1.7 2.1 2 1.7 1.9 2.3 2.4 2.5 2.8 2.6 2.2 2.8 2.8 2.8 2.3 2.2 3 2.9 2.7 2.7 2.3 2.4 2.8 2.3 2 1.9 2.3 2.7 1.8 2 2.1 2 2.4 1.7 1 1.2 1.4 1.7 1.8

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	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.905058	7.0105	0
2	0.783014	6.0652	0
3	0.667981	5.1742	1e-06
4	0.53049	4.1092	6.1e-05
5	0.387569	3.0021	0.001952
6	0.256197	1.9845	0.02589
7	0.148633	1.1513	0.127086
8	0.039137	0.3032	0.381411
9	-0.052439	-0.4062	0.343024
10	-0.125644	-0.9732	0.167172
11	-0.19939	-1.5445	0.063867
12	-0.275085	-2.1308	0.018607
13	-0.294644	-2.2823	0.013016
14	-0.277936	-2.1529	0.017679
15	-0.261196	-2.0232	0.023756
16	-0.251589	-1.9488	0.028
17	-0.233055	-1.8052	0.038028
18	-0.198419	-1.5369	0.064781
19	-0.175954	-1.3629	0.088998
20	-0.158042	-1.2242	0.112833
21	-0.128951	-0.9989	0.160939
22	-0.100015	-0.7747	0.220775
23	-0.078737	-0.6099	0.272116
24	-0.050162	-0.3886	0.349491
25	-0.005673	-0.0439	0.482548
26	0.020036	0.1552	0.438594
27	0.038119	0.2953	0.384404
28	0.062558	0.4846	0.314871
29	0.077456	0.6	0.275392
30	0.08807	0.6822	0.248873
31	0.099298	0.7692	0.222407
32	0.114442	0.8865	0.189454
33	0.115047	0.8912	0.188204
34	0.107946	0.8361	0.203196
35	0.099255	0.7688	0.222506
36	0.103325	0.8004	0.213332

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.905058	7.0105	0
2	-0.199677	-1.5467	0.063598
3	-0.008513	-0.0659	0.473822
4	-0.21213	-1.6432	0.052791
5	-0.083126	-0.6439	0.261051
6	-0.0483	-0.3741	0.354814
7	0.03673	0.2845	0.388499
8	-0.133563	-1.0346	0.152509
9	0.015594	0.1208	0.45213
10	-0.05938	-0.46	0.323606
11	-0.099029	-0.7671	0.223022
12	-0.123903	-0.9597	0.170518
13	0.234015	1.8127	0.037443
14	0.052857	0.4094	0.341842
15	-0.01677	-0.1299	0.448539
16	-0.164592	-1.2749	0.103625
17	-0.022928	-0.1776	0.429819
18	0.045321	0.3511	0.363388
19	-0.015224	-0.1179	0.453261
20	-0.053076	-0.4111	0.341223
21	0.052207	0.4044	0.34368
22	-0.009133	-0.0707	0.471917
23	-0.04679	-0.3624	0.359152
24	-0.021945	-0.17	0.432796
25	0.151705	1.1751	0.122299
26	-0.025877	-0.2004	0.420907
27	0.023955	0.1856	0.42671
28	-0.071158	-0.5512	0.291776
29	-0.040291	-0.3121	0.378027
30	0.076938	0.596	0.276723
31	0.046563	0.3607	0.359803
32	-0.00697	-0.054	0.478561
33	-0.04485	-0.3474	0.36475
34	-0.003963	-0.0307	0.487807
35	-0.040122	-0.3108	0.37852
36	0.117341	0.9089	0.183515

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228649060suuyyvljlvqw1p7/1uxlk1228649001.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228649060suuyyvljlvqw1p7/1uxlk1228649001.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228649060suuyyvljlvqw1p7/2zmxi1228649001.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228649060suuyyvljlvqw1p7/2zmxi1228649001.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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