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Partial Autocorrelation function d=1 D=1 Poland

*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 06:25:37 -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/t1229088381tseanhc8089a1v7.htm/, Retrieved Fri, 12 Dec 2008 14:26:22 +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/t1229088381tseanhc8089a1v7.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 «

156.3 151.5 159.1 166.9 160.5 162.8 178.9 148.5 184.1 197 186.8 139.2 162.7 187.5 235.8 219.4 212.4 220.2 197.5 185.6 232.4 223.8 219.4 191.4 210.4 212.6 274.4 256 227.6 261.7 237 234.9 310.6 274.2 288.1 242.5 271.7 282.2 317.4 280.3 322.6 328.2 280.7 288.8 347.9 360.1 348 275.7 332.6 340.8 390.5 351.2 377.4 413.5 366.9 364.8 388 429.8 423.6 326.4

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	-0.288577	-1.9784	0.026882
2	-0.311577	-2.1361	0.018956
3	0.330136	2.2633	0.014138
4	-0.215563	-1.4778	0.073063
5	0.011257	0.0772	0.469406
6	0.082681	0.5668	0.286762
7	-0.208198	-1.4273	0.080047
8	0.077976	0.5346	0.297732
9	0.106975	0.7334	0.233483
10	0.053415	0.3662	0.357932
11	-0.04453	-0.3053	0.380749
12	-0.186891	-1.2813	0.103195
13	0.107336	0.7359	0.232737
14	0.067515	0.4629	0.322801
15	-0.145881	-1.0001	0.161189
16	-0.102288	-0.7013	0.243301
17	0.22855	1.5669	0.061928
18	0.079572	0.5455	0.293989
19	-0.144123	-0.9881	0.164093
20	0.022363	0.1533	0.439404
21	0.10576	0.7251	0.236007
22	-0.110519	-0.7577	0.226213
23	0.117232	0.8037	0.212808
24	-0.069521	-0.4766	0.317923
25	-0.177455	-1.2166	0.114922
26	0.214755	1.4723	0.073805
27	-0.054137	-0.3711	0.356098
28	-0.014125	-0.0968	0.461634
29	0.004632	0.0318	0.4874
30	-0.110593	-0.7582	0.226062
31	0.163433	1.1204	0.13411
32	0.005169	0.0354	0.485942
33	-0.180228	-1.2356	0.111377
34	0.099114	0.6795	0.250081
35	0.034108	0.2338	0.408065
36	-0.057161	-0.3919	0.348461
37	0.012888	0.0884	0.464983
38	0.042776	0.2933	0.385307
39	-0.040893	-0.2803	0.39022
40	0.037624	0.2579	0.39879
41	0.05225	0.3582	0.360897
42	-0.090447	-0.6201	0.269103
43	-0.026835	-0.184	0.427413
44	0.044629	0.306	0.380492
45	-0.008448	-0.0579	0.477029
46	-0.014155	-0.097	0.461552
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.288577	-1.9784	0.026882
2	-0.430723	-2.9529	0.002451
3	0.103392	0.7088	0.240969
4	-0.250486	-1.7172	0.046259
5	0.041621	0.2853	0.38832
6	-0.130533	-0.8949	0.187704
7	-0.157551	-1.0801	0.142802
8	-0.135186	-0.9268	0.179385
9	-0.014126	-0.0968	0.461632
10	0.194538	1.3337	0.094368
11	0.029981	0.2055	0.419018
12	-0.17768	-1.2181	0.114631
13	-0.093432	-0.6405	0.262468
14	-0.028287	-0.1939	0.423534
15	-0.053132	-0.3643	0.35865
16	-0.290485	-1.9915	0.02613
17	0.128383	0.8801	0.191628
18	0.119046	0.8161	0.209269
19	-0.002826	-0.0194	0.492314
20	-0.139662	-0.9575	0.171614
21	0.195156	1.3379	0.093679
22	0.053074	0.3639	0.358799
23	0.163691	1.1222	0.133736
24	-0.099664	-0.6833	0.248899
25	0.037246	0.2553	0.399784
26	0.046448	0.3184	0.375784
27	-0.184681	-1.2661	0.105857
28	0.01735	0.1189	0.452911
29	0.010428	0.0715	0.471656
30	-0.004419	-0.0303	0.48798
31	-0.103979	-0.7128	0.239733
32	0.025427	0.1743	0.431182
33	0.110969	0.7608	0.225299
34	-0.051784	-0.355	0.362083
35	-0.004203	-0.0288	0.488569
36	-0.044846	-0.3075	0.379929
37	0.045586	0.3125	0.378013
38	-0.026971	-0.1849	0.427049
39	-0.093292	-0.6396	0.262775
40	0.020831	0.1428	0.443525
41	0.021413	0.1468	0.441958
42	-0.01098	-0.0753	0.470159
43	-0.122591	-0.8404	0.202457
44	-0.007415	-0.0508	0.479838
45	-0.004787	-0.0328	0.486979
46	0.017441	0.1196	0.452668
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088381tseanhc8089a1v7/1v9wd1229088336.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088381tseanhc8089a1v7/1v9wd1229088336.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088381tseanhc8089a1v7/2712e1229088336.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088381tseanhc8089a1v7/2712e1229088336.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 0.1 ; par3 = 1 ; 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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