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acf werkloosheid mannen(3)

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R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 27 Nov 2009 06:59:31 -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/27/t1259330424unraxyeno7w8tkc.htm/, Retrieved Fri, 27 Nov 2009 15:00:26 +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/27/t1259330424unraxyeno7w8tkc.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 «

5,4 5,4 5,6 5,7 5,8 5,8 5,8 5,9 6,1 6,4 6,4 6,3 6,2 6,2 6,3 6,4 6,5 6,6 6,6 6,6 6,8 7 7,2 7,3 7,5 7,6 7,6 7,7 7,7 7,7 7,7 7,6 7,7 7,9 7,9 7,9 7,8 7,6 7,4 7 7 7,2 7,5 7,8 7,8 7,7 7,6 7,5 7,5 7,5 7,5 7,6 7,9 7,6 7,5 7,5 7,6 7,7 7,9 7,9

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	0.516417	3.5404	0.000457
2	0.05003	0.343	0.366569
3	-0.297759	-2.0413	0.023427
4	-0.473866	-3.2487	0.001072
5	-0.209598	-1.4369	0.07868
6	-0.006079	-0.0417	0.483468
7	0.167441	1.1479	0.128406
8	0.359559	2.465	0.008705
9	0.252611	1.7318	0.044933
10	0.031458	0.2157	0.415092
11	-0.207266	-1.4209	0.080967
12	-0.445989	-3.0575	0.001838
13	-0.327423	-2.2447	0.014767
14	-0.146614	-1.0051	0.15999
15	-0.022533	-0.1545	0.438946
16	0.127528	0.8743	0.193203
17	0.10002	0.6857	0.248135
18	0.142792	0.9789	0.166313
19	0.067713	0.4642	0.322317
20	-0.04615	-0.3164	0.376553
21	-0.097023	-0.6652	0.2546
22	-0.157055	-1.0767	0.143552
23	-0.098489	-0.6752	0.251427
24	-0.004035	-0.0277	0.489025
25	0.076494	0.5244	0.301226
26	0.108706	0.7452	0.229916
27	0.119328	0.8181	0.208723
28	0.053782	0.3687	0.356999
29	-0.052044	-0.3568	0.36142
30	-0.132263	-0.9067	0.184583
31	-0.129024	-0.8845	0.190453
32	-0.036065	-0.2472	0.402897
33	0.039698	0.2722	0.393348
34	0.128264	0.8793	0.191847
35	0.079914	0.5479	0.293188
36	0.0125	0.0857	0.466038

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.516417	3.5404	0.000457
2	-0.295449	-2.0255	0.024258
3	-0.266925	-1.8299	0.036802
4	-0.248477	-1.7035	0.047542
5	0.222039	1.5222	0.067326
6	-0.115065	-0.7888	0.217082
7	0.042345	0.2903	0.38643
8	0.247264	1.6952	0.048331
9	-0.002523	-0.0173	0.493136
10	-0.136038	-0.9326	0.177888
11	-0.084092	-0.5765	0.283513
12	-0.187126	-1.2829	0.102914
13	-0.00183	-0.0125	0.495021
14	-0.149967	-1.0281	0.154577
15	-0.187343	-1.2844	0.102656
16	-0.074431	-0.5103	0.306124
17	-0.044106	-0.3024	0.38185
18	0.15277	1.0473	0.150149
19	-0.084395	-0.5786	0.282816
20	0.145926	1.0004	0.161115
21	0.00414	0.0284	0.488739
22	-0.067608	-0.4635	0.322575
23	-0.056561	-0.3878	0.349972
24	-0.081947	-0.5618	0.28846
25	-0.010477	-0.0718	0.471523
26	-0.188263	-1.2907	0.101566
27	-0.017607	-0.1207	0.452217
28	-0.065606	-0.4498	0.327471
29	-0.134628	-0.923	0.18037
30	0.017363	0.119	0.452877
31	0.035216	0.2414	0.405138
32	0.060334	0.4136	0.340514
33	-0.018013	-0.1235	0.451124
34	0.076982	0.5278	0.300074
35	-0.078353	-0.5372	0.296845
36	-0.107498	-0.737	0.232401

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259330424unraxyeno7w8tkc/1xqdd1259330369.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259330424unraxyeno7w8tkc/1xqdd1259330369.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259330424unraxyeno7w8tkc/279g61259330369.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259330424unraxyeno7w8tkc/279g61259330369.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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