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autocorrelatie nationale consumptieprijsindex met d=1

*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: Thu, 17 Dec 2009 03:17:41 -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/17/t1261045166w868021ufyr7q0f.htm/, Retrieved Thu, 17 Dec 2009 11:19:28 +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/17/t1261045166w868021ufyr7q0f.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 «

1.8 1.6 1.9 1.7 1.6 1.3 1.1 1.9 2.6 2.3 2.4 2.2 2 2.9 2.6 2.3 2.3 2.6 3.1 2.8 2.5 2.9 3.1 3.1 3.2 2.5 2.6 2.9 2.6 2.4 1.7 2 2.2 1.9 1.6 1.6 1.2 1.2 1.5 1.6 1.7 1.8 1.8 1.8 1.3 1.3 1.4 1.1 1.5 2.2 2.9 3.1 3.5 3.6 4.4 4.2 5.2 5.8 5.9 5.4 5.5

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	0.079789	0.618	0.269443
2	-0.073334	-0.568	0.286063
3	0.010733	0.0831	0.467009
4	0.065322	0.506	0.307363
5	0.207598	1.608	0.056538
6	0.110256	0.854	0.198241
7	-0.171652	-1.3296	0.09434
8	0.092366	0.7155	0.238548
9	-0.012728	-0.0986	0.460896
10	0.04272	0.3309	0.370934
11	0.185855	1.4396	0.077585
12	-0.315496	-2.4438	0.008745
13	-0.090613	-0.7019	0.242732
14	0.182783	1.4158	0.080997
15	-0.01069	-0.0828	0.467141
16	-0.005512	-0.0427	0.483043
17	-0.118284	-0.9162	0.181608
18	-0.070421	-0.5455	0.293724
19	0.122107	0.9458	0.174014
20	-0.158793	-1.23	0.111748
21	-0.129984	-1.0068	0.159025
22	-0.056602	-0.4384	0.331322
23	-0.155831	-1.2071	0.116073
24	-0.017702	-0.1371	0.445698
25	0.104287	0.8078	0.211198
26	-0.182385	-1.4127	0.081449
27	-0.059518	-0.461	0.323224
28	-0.064091	-0.4964	0.310696
29	-0.032013	-0.248	0.402502
30	0.081364	0.6302	0.265464
31	-0.04512	-0.3495	0.36397
32	0.019463	0.1508	0.440336
33	0.063086	0.4887	0.313432
34	-0.05615	-0.4349	0.332585
35	0.032662	0.253	0.400568
36	0.025753	0.1995	0.421279

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.079789	0.618	0.269443
2	-0.080211	-0.6213	0.268375
3	0.023757	0.184	0.42731
4	0.05721	0.4431	0.329626
5	0.20293	1.5719	0.060618
6	0.091539	0.7091	0.240518
7	-0.166538	-1.29	0.101
8	0.129421	1.0025	0.160066
9	-0.089126	-0.6904	0.246313
10	0.026606	0.2061	0.418709
11	0.166172	1.2872	0.10149
12	-0.3504	-2.7142	0.004331
13	0.017679	0.1369	0.445769
14	0.146458	1.1345	0.130558
15	-0.075128	-0.5819	0.281394
16	-0.013294	-0.103	0.459162
17	-0.028509	-0.2208	0.412987
18	0.055808	0.4323	0.333541
19	-0.065533	-0.5076	0.306791
20	-0.153887	-1.192	0.118976
21	-0.035765	-0.277	0.391353
22	-0.138427	-1.0723	0.143951
23	0.002585	0.02	0.492046
24	-0.113327	-0.8778	0.191769
25	0.100684	0.7799	0.219258
26	-0.040095	-0.3106	0.378601
27	-0.045266	-0.3506	0.363549
28	0.026655	0.2065	0.418563
29	-0.117891	-0.9132	0.182401
30	0.104294	0.8079	0.211181
31	0.06275	0.4861	0.314348
32	0.009295	0.072	0.471421
33	-0.005393	-0.0418	0.483409
34	-0.027826	-0.2155	0.41504
35	0.044234	0.3426	0.366536
36	-0.120905	-0.9365	0.176379

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261045166w868021ufyr7q0f/1y3yx1261045059.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261045166w868021ufyr7q0f/1y3yx1261045059.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261045166w868021ufyr7q0f/2lygv1261045059.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261045166w868021ufyr7q0f/2lygv1261045059.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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