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Autocorrelation function: investeringsgoederen

*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: Fri, 12 Dec 2008 04:08:12 -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/12/t1229080614kwv048kakyqvsje.htm/, Retrieved Fri, 12 Dec 2008 12:16:58 +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/2008/Dec/12/t1229080614kwv048kakyqvsje.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

97,7 101,5 119,6 108,1 117,8 125,5 89,2 92,3 104,6 122,8 96,0 94,6 93,3 101,1 114,2 104,7 113,3 118,2 83,6 73,9 99,5 97,7 103,0 106,3 92,2 101,8 122,8 111,8 106,3 121,5 81,9 85,4 110,9 117,3 106,3 105,5 101,3 105,9 126,3 111,9 108,9 127,2 94,2 85,7 116,2 107,2 110,6 112,0 104,5 112,0 132,8 110,8 128,7 136,8 94,9 88,8 123,2 125,3 122,7 125,7 116,3 118,7 142,0 127,9 131,9 152,3 110,8 99,1 135,0 133,2 131,0 133,9 119,9 136,9 148,9 145,1 142,4 159,6 120,7 109,0 142,0

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.39839	3.3093	0.000745
2	0.404926	3.3636	0.000629
3	0.32192	2.6741	0.004674
4	0.304862	2.5324	0.006804
5	0.311803	2.59	0.005849
6	0.276952	2.3005	0.012223
7	0.251099	2.0858	0.020349
8	0.189423	1.5735	0.060093
9	0.245805	2.0418	0.022498
10	0.230296	1.913	0.02995
11	0.136456	1.1335	0.130466
12	-0.156771	-1.3022	0.098582
13	0.037496	0.3115	0.378193
14	-0.020741	-0.1723	0.431857
15	0.041984	0.3487	0.364171
16	0.141355	1.1742	0.12218
17	0.014631	0.1215	0.451812
18	-0.004513	-0.0375	0.485102
19	0.05069	0.4211	0.33751
20	0.017855	0.1483	0.441265
21	0.039108	0.3249	0.373137
22	-0.049165	-0.4084	0.342126
23	0.006445	0.0535	0.47873
24	0.104727	0.8699	0.193679
25	0.048364	0.4017	0.344557
26	0.158457	1.3162	0.096224
27	0.079609	0.6613	0.255317
28	-0.070794	-0.5881	0.279207
29	0.01379	0.1145	0.454569
30	0.026169	0.2174	0.414279
31	-0.064076	-0.5323	0.29813
32	-0.027028	-0.2245	0.41151
33	-0.022733	-0.1888	0.425387
34	-0.004362	-0.0362	0.485601
35	-0.050915	-0.4229	0.33683
36	-0.09716	-0.8071	0.2112

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.39839	3.3093	0.000745
2	0.292661	2.431	0.008829
3	0.118587	0.9851	0.164019
4	0.096386	0.8006	0.213044
5	0.116818	0.9704	0.167627
6	0.057781	0.48	0.316386
7	0.027107	0.2252	0.411257
8	-0.032458	-0.2696	0.394129
9	0.086975	0.7225	0.236225
10	0.0584	0.4851	0.314569
11	-0.090096	-0.7484	0.228383
12	-0.43256	-3.5931	0.000304
13	0.065982	0.5481	0.292702
14	0.046419	0.3856	0.350496
15	0.061683	0.5124	0.305012
16	0.217584	1.8074	0.03753
17	-0.005967	-0.0496	0.480305
18	-0.076523	-0.6356	0.263554
19	0.076675	0.6369	0.263146
20	-0.054585	-0.4534	0.325836
21	0.107096	0.8896	0.188383
22	-0.014253	-0.1184	0.45305
23	-0.030075	-0.2498	0.401733
24	-0.002918	-0.0242	0.490367
25	-0.052927	-0.4396	0.330783
26	0.061997	0.515	0.304104
27	0.073462	0.6102	0.27186
28	-0.124371	-1.0331	0.152581
29	-0.053399	-0.4436	0.329371
30	0.005517	0.0458	0.481791
31	-0.127106	-1.0558	0.147367
32	-0.051087	-0.4244	0.336313
33	0.125782	1.0448	0.149876
34	-0.007691	-0.0639	0.474624
35	-0.088367	-0.734	0.232708
36	-0.088117	-0.732	0.233337

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229080614kwv048kakyqvsje/1f9301229080091.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229080614kwv048kakyqvsje/1f9301229080091.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229080614kwv048kakyqvsje/2lgwa1229080091.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229080614kwv048kakyqvsje/2lgwa1229080091.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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