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Paper: ACF: Amerikaanse inflatie

*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, 11 Dec 2009 05:11:05 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/11/t12605335297rxy5mk84y0cyir.htm/, Retrieved Fri, 11 Dec 2009 13:12:12 +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/2009/Dec/11/t12605335297rxy5mk84y0cyir.htm/},
    year = {2009},
}
@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 = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

Paper: ACF: Amerikaanse inflatie

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

0.527 0.472 0.000 0.052 0.313 0.364 0.363 -0.155 0.052 0.568 0.668 1.378 0.252 -0.402 -0.050 0.555 0.050 0.150 0.450 0.299 0.199 0.496 0.444 -0.393 -0.444 0.198 0.494 0.133 0.388 0.484 0.278 0.369 0.165 0.155 0.087 0.414 0.360 0.975 0.270 0.359 0.169 0.381 0.154 0.486 0.925 0.728 -0.014 0.046 -0.819 -1.674 -0.788 0.279 0.396 -0.141 -0.019 0.099 0.742 0.005 0.448

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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.46708	3.5877	0.000339
2	0.007076	0.0543	0.47842
3	-0.11682	-0.8973	0.1866
4	-0.058928	-0.4526	0.326235
5	-0.132417	-1.0171	0.156625
6	-0.04899	-0.3763	0.354022
7	0.004237	0.0325	0.487075
8	-0.031642	-0.243	0.404406
9	-0.055397	-0.4255	0.336004
10	0.04587	0.3523	0.362921
11	0.040311	0.3096	0.378964
12	-0.217543	-1.671	0.050011
13	-0.243178	-1.8679	0.033373
14	-0.089983	-0.6912	0.246084
15	0.061002	0.4686	0.320554
16	0.040268	0.3093	0.379089
17	0.033439	0.2569	0.399094
18	-0.02435	-0.187	0.426138
19	-0.006754	-0.0519	0.479401
20	-0.081599	-0.6268	0.266613
21	-0.054112	-0.4156	0.33959
22	-0.023549	-0.1809	0.428541
23	-0.055068	-0.423	0.336922
24	-0.003361	-0.0258	0.489744
25	0.179411	1.3781	0.086691
26	0.234651	1.8024	0.038296
27	0.026279	0.2019	0.420363
28	-0.059318	-0.4556	0.325165
29	-0.017538	-0.1347	0.44665
30	0.014193	0.109	0.45678
31	-0.068196	-0.5238	0.301181
32	-0.015892	-0.1221	0.451628
33	0.075313	0.5785	0.282568
34	0.068145	0.5234	0.301316
35	0.065856	0.5059	0.307422
36	0.102212	0.7851	0.217766

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.46708	3.5877	0.000339
2	-0.26999	-2.0738	0.021234
3	0.007022	0.0539	0.478583
4	0.012761	0.098	0.461124
5	-0.18619	-1.4302	0.078974
6	0.134789	1.0353	0.152369
7	-0.070321	-0.5401	0.295566
8	-0.067825	-0.521	0.302169
9	0.027326	0.2099	0.417236
10	0.053441	0.4105	0.341467
11	-0.051181	-0.3931	0.347819
12	-0.302283	-2.3219	0.011856
13	0.054065	0.4153	0.33972
14	-0.032223	-0.2475	0.402685
15	0.050872	0.3908	0.348692
16	-0.032827	-0.2521	0.400901
17	-0.060645	-0.4658	0.321529
18	-0.036186	-0.2779	0.391011
19	0.055204	0.424	0.336543
20	-0.16807	-1.291	0.100874
21	0.000519	0.004	0.498416
22	0.01426	0.1095	0.456577
23	-0.096403	-0.7405	0.230971
24	0.074606	0.5731	0.28439
25	0.104233	0.8006	0.213279
26	0.029582	0.2272	0.410517
27	-0.120027	-0.9219	0.180156
28	0.077781	0.5974	0.276248
29	0.008074	0.062	0.475379
30	-0.040987	-0.3148	0.377002
31	-0.015666	-0.1203	0.452313
32	-0.023313	-0.1791	0.429246
33	0.104199	0.8004	0.213354
34	0.005859	0.045	0.482129
35	0.053508	0.411	0.341281
36	-0.009338	-0.0717	0.471532

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/11/t12605335297rxy5mk84y0cyir/177qi1260533463.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t12605335297rxy5mk84y0cyir/177qi1260533463.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t12605335297rxy5mk84y0cyir/21l5w1260533463.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t12605335297rxy5mk84y0cyir/21l5w1260533463.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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