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Type 'q()' to quit R. > y <- c(101.73,101.63,101.43,101.34,101.01,100.89,100.93,100.77,100.3,99.86,99.71,99.93,99.88,99.92,99.87,99.63,100.05,99.88,100.11,100.05,100.07,100.2,100.21,99.76,99.41,99.24,99.65,99.7,99.79,99.84,101,101.62,101.98,101.46,102.28,102.14,102.02,102.21,101.61,102.38,102.19,102.04,101.76,101.9,102.01,102.37,103.04,103.42,103.76,104.41,104.75,104.28,103.89,104.09,103.8,105.03,105.86,106.04,106.03,106.13,107.21,107.66,108.08,108.76,108.26,108.71,108.65,108.61,108.86,109.54,108.22,108.77,109.9,110.13,109.6,110.42,110.6,109.73,110.72,111.08,111.14,111.01,110.56,111.57) > 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 = '0' > 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] 100.73 100.63 100.43 100.34 100.01 99.89 99.93 99.77 99.30 98.86 [11] 98.71 98.93 98.88 98.92 98.87 98.63 99.05 98.88 99.11 99.05 [21] 99.07 99.20 99.21 98.76 98.41 98.24 98.65 98.70 98.79 98.84 [31] 100.00 100.62 100.98 100.46 101.28 101.14 101.02 101.21 100.61 101.38 [41] 101.19 101.04 100.76 100.90 101.01 101.37 102.04 102.42 102.76 103.41 [51] 103.75 103.28 102.89 103.09 102.80 104.03 104.86 105.04 105.03 105.13 [61] 106.21 106.66 107.08 107.76 107.26 107.71 107.65 107.61 107.86 108.54 [71] 107.22 107.77 108.90 109.13 108.60 109.42 109.60 108.73 109.72 110.08 [81] 110.14 110.01 109.56 110.57 > postscript(file="/var/www/html/rcomp/tmp/1tpby1229891298.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 0.259 0.305 0.302 0.329 0.285 0.279 0.253 0.279 0.255 0.269 0.251 -5 -4 -3 -2 -1 0 1 2 3 4 5 0.255 0.241 0.161 0.144 0.169 0.139 0.123 0.143 0.119 0.110 0.119 6 7 8 9 10 11 12 13 14 15 16 0.094 0.069 0.064 0.057 0.033 0.022 0.011 -0.021 -0.036 -0.042 -0.055 > 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/2if0d1229891298.tab") > > system("convert tmp/1tpby1229891298.ps tmp/1tpby1229891298.png") > > > proc.time() user system elapsed 0.408 0.169 0.466