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Type 'q()' to quit R. > y <- c(104.89,105.15,105.24,105.57,105.62,106.17,106.27,106.41,106.94,107.16,107.32,107.32,107.35,107.55,107.87,108.37,108.38,107.92,108.03,108.14,108.3,108.64,108.66,109.04,109.03,109.03,109.54,109.75,109.83,109.65,109.82,109.95,110.12,110.15,110.21,109.99,110.14,110.14,110.81,110.97,110.99,109.73,109.81,110.02,110.18,110.21,110.25,110.36,110.51,110.6,110.95,111.18,111.19,111.69,111.7,111.83,111.77,111.73,112.01,111.86,112.04) > x <- c(124,118.63,121.86,119.97,125.03,130.09,126.65,121.7,119.24,122.63,116.66,114.12,113.11,112.61,113.4,115.18,121.01,119.44,116.68,117.07,117.41,119.58,120.92,117.09,116.77,119.39,122.49,124.08,118.29,112.94,113.79,114.43,118.7,120.36,118.27,118.34,117.82,117.65,118.18,121.02,124.78,131.16,130.14,131.75,134.73,135.35,140.32,136.35,131.6,128.9,133.89,138.25,146.23,144.76,149.3,156.8,159.08,165.12,163.14,153.43,151.01) > 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] -5.37 3.23 -1.89 5.06 5.06 -3.44 -4.95 -2.46 3.39 -5.97 -2.54 -1.01 [13] -0.50 0.79 1.78 5.83 -1.57 -2.76 0.39 0.34 2.17 1.34 -3.83 -0.32 [25] 2.62 3.10 1.59 -5.79 -5.35 0.85 0.64 4.27 1.66 -2.09 0.07 -0.52 [37] -0.17 0.53 2.84 3.76 6.38 -1.02 1.61 2.98 0.62 4.97 -3.97 -4.75 [49] -2.70 4.99 4.36 7.98 -1.47 4.54 7.50 2.28 6.04 -1.98 -9.71 -2.42 > y [1] 0.26 0.09 0.33 0.05 0.55 0.10 0.14 0.53 0.22 0.16 0.00 0.03 [13] 0.20 0.32 0.50 0.01 -0.46 0.11 0.11 0.16 0.34 0.02 0.38 -0.01 [25] 0.00 0.51 0.21 0.08 -0.18 0.17 0.13 0.17 0.03 0.06 -0.22 0.15 [37] 0.00 0.67 0.16 0.02 -1.26 0.08 0.21 0.16 0.03 0.04 0.11 0.15 [49] 0.09 0.35 0.23 0.01 0.50 0.01 0.13 -0.06 -0.04 0.28 -0.15 0.18 > postscript(file="/var/www/html/rcomp/tmp/1e8e31229601260.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 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -0.054 0.007 0.204 0.089 0.082 -0.120 -0.136 0.091 0.144 0.000 -0.080 -3 -2 -1 0 1 2 3 4 5 6 7 -0.050 -0.257 -0.034 -0.080 0.157 -0.008 -0.084 0.010 -0.193 0.094 0.152 8 9 10 11 12 13 14 0.025 -0.280 -0.219 -0.120 0.174 -0.019 -0.103 > 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/2nwdy1229601260.tab") > > system("convert tmp/1e8e31229601260.ps tmp/1e8e31229601260.png") > > > proc.time() user system elapsed 0.400 0.172 0.470