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ACF1 Werkloosheid

*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: Wed, 30 Dec 2009 10:11:34 -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/30/t1262193181j921rekjamjesax.htm/, Retrieved Wed, 30 Dec 2009 18:13:03 +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/30/t1262193181j921rekjamjesax.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 «

9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1 8.3

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.840294	6.5089	0
2	0.635226	4.9204	4e-06
3	0.536556	4.1561	5.2e-05
4	0.557069	4.315	3e-05
5	0.642844	4.9794	3e-06
6	0.684123	5.2992	1e-06
7	0.604613	4.6833	8e-06
8	0.462369	3.5815	0.000342
9	0.351167	2.7201	0.004262
10	0.333776	2.5854	0.006087
11	0.34907	2.7039	0.004452
12	0.351778	2.7249	0.004208
13	0.261956	2.0291	0.023446
14	0.165706	1.2836	0.102117
15	0.108515	0.8406	0.201967
16	0.069617	0.5393	0.295854
17	0.034782	0.2694	0.394264
18	-0.006987	-0.0541	0.47851
19	-0.071545	-0.5542	0.290756
20	-0.140997	-1.0922	0.139565
21	-0.186739	-1.4465	0.076624
22	-0.200067	-1.5497	0.063235
23	-0.211264	-1.6364	0.053491
24	-0.228402	-1.7692	0.040972
25	-0.289475	-2.2423	0.014326
26	-0.324021	-2.5099	0.007397
27	-0.315516	-2.444	0.008742
28	-0.298615	-2.3131	0.012082
29	-0.288648	-2.2359	0.014546
30	-0.296901	-2.2998	0.012478
31	-0.332242	-2.5735	0.006278
32	-0.382227	-2.9607	0.002195
33	-0.386996	-2.9977	0.001977
34	-0.326123	-2.5261	0.007095
35	-0.283741	-2.1979	0.015915
36	-0.272582	-2.1114	0.019455

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.840294	6.5089	0
2	-0.241124	-1.8677	0.033342
3	0.277034	2.1459	0.017968
4	0.256509	1.9869	0.025752
5	0.272197	2.1084	0.019589
6	0.064009	0.4958	0.31092
7	-0.154442	-1.1963	0.118142
8	-0.120579	-0.934	0.177023
9	-0.110113	-0.8529	0.198545
10	0.004472	0.0346	0.48624
11	-0.142133	-1.101	0.137656
12	0.007105	0.055	0.478146
13	-0.239707	-1.8568	0.034128
14	0.129846	1.0058	0.15928
15	-0.037801	-0.2928	0.38534
16	-0.107851	-0.8354	0.203401
17	-0.090083	-0.6978	0.244006
18	-0.050322	-0.3898	0.349035
19	-0.032017	-0.248	0.40249
20	-0.10205	-0.7905	0.216182
21	-0.000643	-0.005	0.498021
22	-0.020878	-0.1617	0.436035
23	0.073278	0.5676	0.286209
24	0.01916	0.1484	0.441257
25	-0.09986	-0.7735	0.221129
26	0.125714	0.9738	0.167038
27	0.034967	0.2708	0.393718
28	0.043621	0.3379	0.368315
29	-0.006746	-0.0523	0.479249
30	-0.003314	-0.0257	0.489804
31	-0.049558	-0.3839	0.351216
32	-0.149997	-1.1619	0.124945
33	0.019964	0.1546	0.438811
34	0.037193	0.2881	0.387133
35	-0.053882	-0.4174	0.338951
36	-0.002638	-0.0204	0.491881

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262193181j921rekjamjesax/1ndgn1262193092.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262193181j921rekjamjesax/1ndgn1262193092.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262193181j921rekjamjesax/2dr311262193092.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262193181j921rekjamjesax/2dr311262193092.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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