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ACF Handelsbalans

*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: Mon, 22 Dec 2008 09:30:14 -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/22/t12299634477r9syqd0izj1lxe.htm/, Retrieved Mon, 22 Dec 2008 17:30:49 +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/22/t12299634477r9syqd0izj1lxe.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 «

1384,2 1368,9 -275,1 -408,9 -37,5 171,5 671,8 -18,5 231,6 747,5 1505,7 -83,6 1173,2 1452,1 777 -52,8 861,2 735,2 1073,6 966,9 1189,8 1093,5 1782,7 -70,4 1471,6 1273,8 900,8 -910,2 299,8 460,2 677,2 937,1 1265,4 1275,6 1582,6 -154,2 1667,6 1083,1 891,7 -26,5 423,4 662,8 711,4 993,3 1133,2 343,9 1415,8 -531,8 1193,6 1201,3 805,6 -164,8 327,3 223,7 675,8 949,7 704,4 265,6 1206 -558,2 1066,8 977,8 207,1 -980,7 -586,4 -24,3 -417,5 104,7 749,5 842,3 1176 -730,3 911,6 662,1 539,1 -236 286,9 497,4 912 519,4 260,1 945,2 412,7 -54,2 592,8 179,9 -548,6 -1685,8 -2041 -1048,7 -1708,4 -1550,7 -1650,2 -911,3

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.480156	4.6553	5e-06
2	0.39668	3.846	0.000109
3	0.291	2.8213	0.002917
4	0.356319	3.4546	0.000414
5	0.159682	1.5482	0.06247
6	0.104984	1.0179	0.155678
7	0.012086	0.1172	0.453485
8	0.124661	1.2086	0.114917
9	0.003358	0.0326	0.487047
10	0.020656	0.2003	0.420851
11	-0.007299	-0.0708	0.471866
12	0.369471	3.5822	0.000271
13	0.018828	0.1825	0.427775
14	0.003857	0.0374	0.485124
15	-0.036616	-0.355	0.361691
16	0.104328	1.0115	0.157187
17	-0.019795	-0.1919	0.42411
18	-0.001821	-0.0177	0.492975
19	-0.014211	-0.1378	0.445356
20	0.106868	1.0361	0.151402
21	0.038104	0.3694	0.35632
22	0.06138	0.5951	0.276603
23	0.062435	0.6053	0.273209
24	0.399027	3.8687	0.000101
25	0.124122	1.2034	0.115919
26	0.107351	1.0408	0.150316
27	0.026592	0.2578	0.398555
28	0.099859	0.9682	0.167723
29	-0.008101	-0.0785	0.468783
30	-0.030131	-0.2921	0.385414
31	-0.073491	-0.7125	0.238952
32	0.003498	0.0339	0.486509
33	-0.047835	-0.4638	0.321939
34	-0.049834	-0.4832	0.315055
35	-0.045006	-0.4364	0.331792
36	0.197844	1.9182	0.029062
37	-0.01825	-0.1769	0.429967
38	-0.050056	-0.4853	0.314293
39	-0.072294	-0.7009	0.242542
40	-0.003226	-0.0313	0.487557
41	-0.104399	-1.0122	0.157023
42	-0.117007	-1.1344	0.129751
43	-0.114036	-1.1056	0.135857
44	-0.065605	-0.6361	0.26314
45	-0.083432	-0.8089	0.210307
46	-0.120707	-1.1703	0.12242
47	-0.119335	-1.157	0.125104
48	0.075021	0.7274	0.234408
49	-0.075788	-0.7348	0.232147
50	-0.109248	-1.0592	0.146111
51	-0.124787	-1.2099	0.114684
52	-0.073202	-0.7097	0.239817
53	-0.142719	-1.3837	0.084862
54	-0.175485	-1.7014	0.046087
55	-0.147273	-1.4279	0.078323
56	-0.105106	-1.019	0.155399
57	-0.108637	-1.0533	0.147458
58	-0.122012	-1.183	0.119906
59	-0.067716	-0.6565	0.256542
60	0.065897	0.6389	0.262223

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.480156	4.6553	5e-06
2	0.215908	2.0933	0.019508
3	0.051781	0.502	0.308407
4	0.201252	1.9512	0.027005
5	-0.143071	-1.3871	0.084342
6	-0.061892	-0.6001	0.274952
7	-0.078303	-0.7592	0.224823
8	0.129493	1.2555	0.106209
9	-0.065564	-0.6357	0.263269
10	0.020022	0.1941	0.42325
11	0.018854	0.1828	0.427678
12	0.482717	4.6801	5e-06
13	-0.45246	-4.3868	1.5e-05
14	-0.068732	-0.6664	0.253399
15	0.013882	0.1346	0.446612
16	0.025001	0.2424	0.4045
17	-0.007991	-0.0775	0.469206
18	0.098738	0.9573	0.170436
19	0.145735	1.413	0.080487
20	-0.068737	-0.6664	0.253384
21	0.031506	0.3055	0.380345
22	0.009259	0.0898	0.464331
23	0.122518	1.1879	0.118942
24	0.103432	1.0028	0.159264
25	-0.074435	-0.7217	0.236143
26	-0.006475	-0.0628	0.475037
27	-0.111158	-1.0777	0.141959
28	-0.148413	-1.4389	0.076748
29	0.073937	0.7169	0.237622
30	0.014689	0.1424	0.443527
31	0.001909	0.0185	0.492637
32	0.017908	0.1736	0.431268
33	0.060932	0.5908	0.27805
34	-0.044045	-0.427	0.335168
35	0.016821	0.1631	0.435402
36	-0.060656	-0.5881	0.278943
37	-0.036485	-0.3537	0.362166
38	-0.096287	-0.9335	0.176467
39	0.085638	0.8303	0.204238
40	-0.00722	-0.07	0.472171
41	-0.106004	-1.0277	0.153353
42	-0.006107	-0.0592	0.476456
43	0.04928	0.4778	0.316956
44	-0.071337	-0.6916	0.245434
45	-0.020754	-0.2012	0.42048
46	-0.01341	-0.13	0.448418
47	-0.055095	-0.5342	0.297245
48	-0.053481	-0.5185	0.302659
49	-0.012668	-0.1228	0.451257
50	0.016264	0.1577	0.437521
51	-0.067658	-0.656	0.256724
52	-0.0222	-0.2152	0.415023
53	0.025845	0.2506	0.401344
54	-0.048307	-0.4684	0.320307
55	-0.032887	-0.3189	0.375274
56	0.043311	0.4199	0.337751
57	-0.015367	-0.149	0.44094
58	0.016173	0.1568	0.43787
59	0.061756	0.5987	0.275391
60	-0.056972	-0.5524	0.291004

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t12299634477r9syqd0izj1lxe/1hqbx1229963409.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t12299634477r9syqd0izj1lxe/1hqbx1229963409.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t12299634477r9syqd0izj1lxe/2rhkt1229963409.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t12299634477r9syqd0izj1lxe/2rhkt1229963409.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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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