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Opgave 6 BIS Oefening 2 Stap 2 - Tabakprijs - Quincy Cabral MAR201a

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 14 May 2009 04:07:01 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/May/14/t1242295675we30okjj1sdh2l2.htm/, Retrieved Thu, 14 May 2009 12:07:57 +0200

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/May/14/t1242295675we30okjj1sdh2l2.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 «

3.27 3.27 3.27 3.27 3.27 3.28 3.32 3.34 3.34 3.35 3.35 3.35 3.35 3.35 3.4 3.42 3.42 3.42 3.42 3.42 3.42 3.42 3.42 3.42 3.42 3.42 3.43 3.47 3.51 3.52 3.52 3.52 3.52 3.52 3.52 3.52 3.52 3.52 3.58 3.6 3.61 3.61 3.61 3.63 3.68 3.69 3.69 3.69 3.69 3.69 3.69 3.69 3.69 3.78 3.79 3.79 3.8 3.8 3.8 3.8 3.81 3.95 3.99 4 4.06 4.16 4.19 4.2 4.2 4.2 4.2 4.2 4.23 4.38 4.43 4.44 4.44 4.44 4.44 4.44 4.45 4.45 4.45 4.45 4.45 4.45 4.45 4.45 4.46 4.46 4.46 4.48 4.58 4.67 4.68 4.68 4.69 4.69 4.69 4.69 4.69 4.69 4.69 4.73 4.78 4.79 4.79 4.8 4.8 4.81 5.16 5.26 5.29 5.29 5.29 5.3 5.3 5.3 5.3 5.3 5.3 5.3 5.3 5.35 5.44 5.47 5.47 5.48 5.48 5.48 5.48

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	0.292719	3.3375	0.000551
2	-0.038057	-0.4339	0.332536
3	-0.07538	-0.8595	0.195835
4	-0.07639	-0.871	0.192685
5	-0.09032	-1.0298	0.152507
6	-0.046943	-0.5352	0.296701
7	-0.013348	-0.1522	0.439634
8	0.031228	0.3561	0.36119
9	-0.033918	-0.3867	0.349797
10	-0.082776	-0.9438	0.173514
11	-0.017667	-0.2014	0.420336
12	0.071896	0.8197	0.206933
13	0.046108	0.5257	0.299992
14	0.052388	0.5973	0.275669
15	-0.055345	-0.631	0.264563
16	-0.102496	-1.1686	0.122344
17	0.071042	0.81	0.209708
18	0.116772	1.3314	0.092693
19	0.069344	0.7906	0.215295
20	0.06109	0.6965	0.24367
21	-0.019374	-0.2209	0.412758
22	-0.057759	-0.6585	0.255675
23	-0.056785	-0.6474	0.259242
24	-0.091478	-1.043	0.14944
25	-0.096964	-1.1056	0.13548
26	-0.063046	-0.7188	0.236766
27	-0.017639	-0.2011	0.420459
28	-0.024694	-0.2816	0.389365
29	-0.020168	-0.23	0.409246
30	0.02833	0.323	0.373602
31	0.079135	0.9023	0.184288
32	0.0312	0.3557	0.361307
33	-0.051802	-0.5906	0.277896
34	-0.057749	-0.6584	0.255709
35	-0.030614	-0.3491	0.363806
36	0.004042	0.0461	0.481657
37	0.186209	2.1231	0.01782
38	0.08129	0.9268	0.177861
39	0.033078	0.3771	0.353339
40	-0.049878	-0.5687	0.285273
41	-0.098736	-1.1258	0.13117
42	-0.069617	-0.7938	0.214393
43	-0.055678	-0.6348	0.26333
44	-0.029096	-0.3317	0.370307
45	0.101393	1.1561	0.124888
46	0.096369	1.0988	0.136949
47	0.021211	0.2418	0.404643
48	0.015263	0.174	0.431057

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.292719	3.3375	0.000551
2	-0.135337	-1.5431	0.062621
3	-0.025754	-0.2936	0.384749
4	-0.054503	-0.6214	0.267704
5	-0.066786	-0.7615	0.223875
6	-0.012249	-0.1397	0.444574
7	-0.014637	-0.1669	0.43386
8	0.027049	0.3084	0.379132
9	-0.071513	-0.8154	0.208174
10	-0.062762	-0.7156	0.237764
11	0.019685	0.2244	0.411381
12	0.061356	0.6996	0.242724
13	-0.003837	-0.0438	0.482584
14	0.042433	0.4838	0.314666
15	-0.097397	-1.1105	0.134418
16	-0.05603	-0.6388	0.262026
17	0.144712	1.65	0.050681
18	0.054569	0.6222	0.267456
19	0.024403	0.2782	0.390635
20	0.035182	0.4011	0.34449
21	-0.045325	-0.5168	0.303091
22	-0.005993	-0.0683	0.472811
23	-0.002289	-0.0261	0.48961
24	-0.066506	-0.7583	0.224826
25	-0.08588	-0.9792	0.164653
26	-0.058212	-0.6637	0.254024
27	0.016115	0.1837	0.427254
28	-0.029887	-0.3408	0.366914
29	-0.027883	-0.3179	0.375529
30	0.01852	0.2112	0.416548
31	0.011759	0.1341	0.446776
32	-0.024281	-0.2768	0.391168
33	-0.027595	-0.3146	0.376774
34	-0.037781	-0.4308	0.333673
35	-0.026905	-0.3068	0.379755
36	0.018817	0.2146	0.415226
37	0.199534	2.275	0.01227
38	-0.046213	-0.5269	0.299577
39	0.045721	0.5213	0.301521
40	-0.065043	-0.7416	0.229833
41	-0.04617	-0.5264	0.299748
42	0.025125	0.2865	0.387485
43	-0.027347	-0.3118	0.377843
44	-0.015097	-0.1721	0.431803
45	0.100186	1.1423	0.127716
46	0.058744	0.6698	0.252091
47	0.018896	0.2154	0.414878
48	0.011426	0.1303	0.448274

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242295675we30okjj1sdh2l2/1c0fx1242295619.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242295675we30okjj1sdh2l2/1c0fx1242295619.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242295675we30okjj1sdh2l2/2eaz61242295619.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242295675we30okjj1sdh2l2/2eaz61242295619.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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