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*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: Tue, 22 Dec 2009 03:49:24 -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/22/t12614790105492mygecd901q3.htm/, Retrieved Tue, 22 Dec 2009 11:50:12 +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/22/t12614790105492mygecd901q3.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:

paper, TRA, inflatie1

Dataseries X:

» Textbox « » Textfile « » CSV «

1.1 1.2 1.1 1.2 1.4 1.5 1.5 1.8 1.6 1.5 1.4 1.4 1.4 1.4 1.5 1.4 1.1 1.1 0.9 0.9 0.9 0.9 1.1 1.3 1 1.1 1.4 1.4 1.3 1.4 1 1.8 1.5 1.5 1.4 1.6 1.6 1.6 1.4 1.7 1.8 1.9 2.2 2.1 2.4 2.6 2.8 2.7 2.6 2.9 2.8 2.2 2.2 2.2 2 2 1.7 1.4 1.3 1.4 1.3

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.181449	-1.4055	0.082515
2	0.054111	0.4191	0.338304
3	0.086724	0.6718	0.252157
4	0.137336	1.0638	0.145841
5	0.039241	0.304	0.381107
6	0.108094	0.8373	0.202876
7	-0.236076	-1.8286	0.036213
8	0.104341	0.8082	0.211078
9	-0.019002	-0.1472	0.441738
10	-0.023476	-0.1818	0.428159
11	-0.099706	-0.7723	0.221478
12	-0.262431	-2.0328	0.023254
13	0.049114	0.3804	0.352483
14	0.045486	0.3523	0.362911
15	-0.128352	-0.9942	0.162056
16	-0.05962	-0.4618	0.322943
17	-0.06651	-0.5152	0.30416
18	0.103455	0.8014	0.213043
19	0.085693	0.6638	0.254688
20	-0.10989	-0.8512	0.199021
21	-0.019171	-0.1485	0.441223
22	0.079278	0.6141	0.270739
23	-0.094681	-0.7334	0.233087
24	0.140517	1.0884	0.140377
25	-0.221773	-1.7178	0.045491
26	-0.065338	-0.5061	0.307319
27	0.06138	0.4754	0.318098
28	0.00327	0.0253	0.489939
29	-0.178179	-1.3802	0.086328
30	0.039744	0.3079	0.379629
31	-0.126484	-0.9797	0.165574
32	0.05085	0.3939	0.347533
33	0.007236	0.0561	0.477744
34	-0.058122	-0.4502	0.327091
35	0.076568	0.5931	0.277673
36	0.025948	0.201	0.420691

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.181449	-1.4055	0.082515
2	0.021909	0.1697	0.432906
3	0.103767	0.8038	0.21235
4	0.177337	1.3736	0.087331
5	0.095466	0.7395	0.23125
6	0.118743	0.9198	0.180685
7	-0.25347	-1.9634	0.027121
8	-0.049516	-0.3835	0.351334
9	-0.042124	-0.3263	0.37267
10	-0.01314	-0.1018	0.459633
11	-0.050525	-0.3914	0.348457
12	-0.316441	-2.4511	0.008585
13	-0.018375	-0.1423	0.443647
14	0.060528	0.4688	0.320439
15	0.037517	0.2906	0.386177
16	0.025041	0.194	0.42343
17	-0.074042	-0.5735	0.284215
18	0.115224	0.8925	0.187839
19	0.061396	0.4756	0.318054
20	-0.024639	-0.1909	0.424644
21	-0.050325	-0.3898	0.349027
22	-0.045206	-0.3502	0.363721
23	-0.200093	-1.5499	0.063211
24	-0.01345	-0.1042	0.458685
25	-0.164607	-1.275	0.103605
26	-0.122087	-0.9457	0.174051
27	-0.032437	-0.2513	0.401236
28	0.013549	0.1049	0.458383
29	-0.061764	-0.4784	0.317044
30	0.066836	0.5177	0.303282
31	0.016306	0.1263	0.449958
32	-0.066594	-0.5158	0.303933
33	0.030277	0.2345	0.407688
34	-0.009068	-0.0702	0.472118
35	0.089179	0.6908	0.246186
36	-0.017638	-0.1366	0.445893

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/22/t12614790105492mygecd901q3/1mwq91261478961.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/22/t12614790105492mygecd901q3/1mwq91261478961.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/22/t12614790105492mygecd901q3/2aihl1261478961.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/22/t12614790105492mygecd901q3/2aihl1261478961.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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