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WS 8 Identifying Integration Processes

*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, 24 Nov 2009 12:34:58 -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/Nov/24/t1259091352fc1qceidj6v5iqi.htm/, Retrieved Tue, 24 Nov 2009 20:35:54 +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/Nov/24/t1259091352fc1qceidj6v5iqi.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:

WS 8 Identifying Integration Processes

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

14.5 14.3 15.3 14.4 13.7 14.2 13.5 11.9 14.6 15.6 14.1 14.9 14.2 14.6 17.2 15.4 14.3 17.5 14.5 14.4 16.6 16.7 16.6 16.9 15.7 16.4 18.4 16.9 16.5 18.3 15.1 15.7 18.1 16.8 18.9 19 18.1 17.8 21.5 17.1 18.7 19 16.4 16.9 18.6 19.3 19.4 17.6 18.6 18.1 20.4 18.1 19.6 19.9 19.2 17.8 19.2 22 21.1 19.5 22.2 20.9 22.2 23.5 21.5 24.3 22.8 20.3 23.7 23.3 19.6 18 17.3 16.8 18.2 16.5 16 18.4

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	-0.49091	-3.9578	9.5e-05
2	0.046748	0.3769	0.353739
3	0.405118	3.2662	0.000871
4	-0.339655	-2.7384	0.003979
5	0.10169	0.8199	0.207648
6	0.232492	1.8744	0.032684
7	-0.378405	-3.0508	0.001651
8	0.224769	1.8121	0.037291
9	0.043787	0.353	0.362608
10	-0.245842	-1.982	0.025853
11	0.222033	1.7901	0.039049
12	-0.120575	-0.9721	0.167301
13	-0.142678	-1.1503	0.127116
14	0.187196	1.5092	0.068044
15	-0.06159	-0.4966	0.31059
16	-0.163193	-1.3157	0.096448
17	0.205929	1.6603	0.05084
18	-0.117582	-0.948	0.173326
19	-0.090606	-0.7305	0.233858
20	0.153687	1.2391	0.109889
21	-0.096185	-0.7755	0.220437
22	-0.112996	-0.911	0.182829
23	0.301181	2.4282	0.008975
24	-0.289965	-2.3378	0.011244
25	0.148123	1.1942	0.118368
26	0.070143	0.5655	0.286836
27	-0.165111	-1.3312	0.093892
28	0.090264	0.7277	0.234697
29	0.091496	0.7377	0.231686
30	-0.190364	-1.5348	0.064848
31	0.154776	1.2478	0.108283
32	-0.007932	-0.0639	0.474604
33	-0.07239	-0.5836	0.280744
34	0.039906	0.3217	0.374344
35	0.011102	0.0895	0.464478
36	-0.067925	-0.5476	0.29291

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.49091	-3.9578	9.5e-05
2	-0.255919	-2.0633	0.021542
3	0.434666	3.5044	0.000417
4	0.135359	1.0913	0.139585
5	-0.090694	-0.7312	0.233643
6	0.098217	0.7918	0.215665
7	-0.152539	-1.2298	0.1116
8	-0.084485	-0.6811	0.249102
9	0.039308	0.3169	0.376164
10	0.012879	0.1038	0.458809
11	0.005714	0.0461	0.481699
12	-0.114478	-0.923	0.179722
13	-0.155611	-1.2546	0.107063
14	-0.069021	-0.5565	0.289901
15	0.200053	1.6129	0.055808
16	-0.007651	-0.0617	0.475502
17	-0.071944	-0.58	0.281951
18	-0.019066	-0.1537	0.439155
19	-0.105557	-0.851	0.19894
20	-0.089594	-0.7223	0.236341
21	0.089611	0.7225	0.2363
22	-0.035353	-0.285	0.388265
23	0.177446	1.4306	0.078665
24	-0.078671	-0.6343	0.264067
25	0.016848	0.1358	0.446187
26	-0.068077	-0.5489	0.292493
27	0.049159	0.3963	0.346578
28	-0.063803	-0.5144	0.30436
29	0.028401	0.229	0.409802
30	0.053045	0.4277	0.335156
31	-0.042104	-0.3395	0.36768
32	-0.053137	-0.4284	0.334887
33	0.096533	0.7783	0.219616
34	-0.120448	-0.9711	0.167554
35	-0.016085	-0.1297	0.448611
36	0.014504	0.1169	0.453637

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259091352fc1qceidj6v5iqi/193y21259091297.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259091352fc1qceidj6v5iqi/193y21259091297.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259091352fc1qceidj6v5iqi/2q1yi1259091297.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259091352fc1qceidj6v5iqi/2q1yi1259091297.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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