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paper d=1 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: Sun, 13 Dec 2009 02:25:44 -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/13/t1260696419m5jln0sqd0azoli.htm/, Retrieved Sun, 13 Dec 2009 10:27:01 +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/13/t1260696419m5jln0sqd0azoli.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:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

2.04 2.16 2.75 2.79 2.88 3.36 2.97 3.10 2.49 2.20 2.25 2.09 2.79 3.14 2.93 2.65 2.67 2.26 2.35 2.13 2.18 2.90 2.63 2.67 1.81 1.33 0.88 1.28 1.26 1.26 1.29 1.10 1.37 1.21 1.74 1.76 1.48 1.04 1.62 1.49 1.79 1.80 1.58 1.86 1.74 1.59 1.26 1.13 1.92 2.61 2.26 2.41 2.26 2.03 2.86 2.55 2.27 2.26 2.57 3.07 2.76 2.51 2.87 3.14 3.11 3.16 2.47 2.57 2.89 2.63 2.38 1.69 1.96 2.19 1.87 1.60 1.63 1.22 1.21 1.49 1.64 1.66 1.77 1.82 1.78 1.28 1.29 1.37 1.12 1.51 2.24 2.94 3.09 3.46 3.64 4.39 4.15 5.21 5.80 5.91 5.39 5.46 4.72 3.14 2.63 2.32 1.93 0.62

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	0.186479	1.929	0.028193
2	0.088372	0.9141	0.181353
3	0.07131	0.7376	0.231175
4	0.079445	0.8218	0.206514
5	0.049636	0.5134	0.30435
6	-0.05284	-0.5466	0.292904
7	-0.047764	-0.4941	0.311134
8	-0.026477	-0.2739	0.392353
9	-0.048473	-0.5014	0.308558
10	-0.108918	-1.1267	0.131203
11	0.117919	1.2198	0.112619
12	-0.415537	-4.2983	1.9e-05
13	-0.180082	-1.8628	0.032618
14	0.006727	0.0696	0.472326
15	-0.039622	-0.4098	0.341368
16	-0.018184	-0.1881	0.425578
17	-0.094243	-0.9749	0.165915
18	-0.010084	-0.1043	0.45856
19	0.07559	0.7819	0.217998
20	-0.024342	-0.2518	0.400841
21	-0.072293	-0.7478	0.228111
22	0.025464	0.2634	0.396375
23	-0.190758	-1.9732	0.025525
24	-0.101771	-1.0527	0.147418
25	0.037578	0.3887	0.349131
26	-0.098884	-1.0229	0.15434
27	0.03113	0.322	0.374037
28	0.020223	0.2092	0.417348
29	0.024534	0.2538	0.400075
30	0.047163	0.4879	0.313325
31	0.007382	0.0764	0.469638
32	0.039045	0.4039	0.343553
33	0.104842	1.0845	0.140292
34	-0.061	-0.631	0.264696
35	-0.00904	-0.0935	0.462834
36	0.163428	1.6905	0.046921
37	-0.010586	-0.1095	0.456505
38	0.080062	0.8282	0.20471
39	-0.032744	-0.3387	0.367748
40	-0.065044	-0.6728	0.251257
41	0.095041	0.9831	0.163885
42	0.046349	0.4794	0.316303
43	-0.002673	-0.0277	0.488995
44	-0.026904	-0.2783	0.390662
45	-0.087682	-0.907	0.183226
46	0.085516	0.8846	0.189182
47	0.12849	1.3291	0.093319
48	-0.09337	-0.9658	0.168154
49	0.023655	0.2447	0.403582
50	0.026874	0.278	0.390779
51	0.001926	0.0199	0.492073
52	0.079769	0.8251	0.205564
53	-0.085727	-0.8868	0.188595
54	-0.102202	-1.0572	0.146403
55	-0.040718	-0.4212	0.337232
56	-0.026098	-0.27	0.393857
57	0.08528	0.8821	0.189839
58	-0.047306	-0.4893	0.312803
59	-0.032532	-0.3365	0.36857
60	0.058453	0.6046	0.273348

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.186479	1.929	0.028193
2	0.055529	0.5744	0.283454
3	0.047171	0.4879	0.313294
4	0.056351	0.5829	0.280595
5	0.019929	0.2061	0.418534
6	-0.079173	-0.819	0.207311
7	-0.038322	-0.3964	0.346296
8	-0.012059	-0.1247	0.45048
9	-0.036511	-0.3777	0.353211
10	-0.085451	-0.8839	0.189363
11	0.17804	1.8417	0.034147
12	-0.490993	-5.0789	1e-06
13	0.008475	0.0877	0.465153
14	0.1237	1.2796	0.101733
15	-0.069308	-0.7169	0.23749
16	0.038766	0.401	0.344611
17	-0.033565	-0.3472	0.364564
18	-0.060824	-0.6292	0.265289
19	0.067286	0.696	0.243965
20	-0.062352	-0.645	0.260163
21	-0.064601	-0.6682	0.252712
22	-0.079064	-0.8178	0.207631
23	-0.059872	-0.6193	0.268512
24	-0.274773	-2.8423	0.002683
25	0.045298	0.4686	0.320168
26	-0.04368	-0.4518	0.326154
27	0.035301	0.3652	0.357857
28	0.097088	1.0043	0.158754
29	-0.084932	-0.8785	0.190809
30	-0.077176	-0.7983	0.213228
31	0.134082	1.387	0.08417
32	-0.039416	-0.4077	0.342145
33	-0.008268	-0.0855	0.466001
34	-0.10397	-1.0755	0.142292
35	-0.103429	-1.0699	0.14354
36	0.004475	0.0463	0.481583
37	0.016279	0.1684	0.433297
38	-0.015143	-0.1566	0.437912
39	-0.049177	-0.5087	0.30601
40	-0.02376	-0.2458	0.403162
41	0.113269	1.1717	0.121967
42	0.029539	0.3056	0.380268
43	0.02115	0.2188	0.413618
44	-0.096733	-1.0006	0.159635
45	-0.022694	-0.2347	0.407427
46	0.061643	0.6376	0.262536
47	-0.069826	-0.7223	0.235847
48	-0.030705	-0.3176	0.3757
49	0.050085	0.5181	0.302734
50	0.029575	0.3059	0.380129
51	0.001967	0.0203	0.491904
52	-0.010445	-0.108	0.457081
53	-0.005479	-0.0567	0.477454
54	-0.027722	-0.2868	0.387426
55	0.017201	0.1779	0.429558
56	-0.015387	-0.1592	0.436918
57	0.005044	0.0522	0.479243
58	-0.046918	-0.4853	0.314218
59	0.193642	2.003	0.02385
60	-0.066714	-0.6901	0.245815

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260696419m5jln0sqd0azoli/1w5e21260696343.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260696419m5jln0sqd0azoli/1w5e21260696343.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260696419m5jln0sqd0azoli/2u4bg1260696343.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260696419m5jln0sqd0azoli/2u4bg1260696343.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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