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Data X:
4.56 4.41 4.33 4.20 4.25 4.25 4.19 4.17 4.21 4.21 4.17 4.16 4.19 4.08 4.06 3.98 3.82 3.82 3.72 3.56 3.57 3.49 3.32 3.23 3.04 3.00 2.82 2.73 2.59 2.58 2.53 2.31 2.31 2.30 2.07 2.07 2.06 2.06 2.05 2.05 2.05 2.05 2.05 2.06 2.07 2.08 2.05 2.03 2.02 2.02 2.01 2.01 2.01 2.01 2.01 2.01 2.03 2.04 2.03 2.05 2.08 2.06 2.09 2.19 2.56 2.54 2.63 2.78 2.84 3.02 3.28 3.29 3.29 3.29 3.32 3.34 3.32 3.30 3.30 3.30 3.31 3.35 3.48 3.76 4.06 4.51 4.52 4.53 4.63 4.79 4.77 4.77 4.77 4.81 4.83 4.76 4.61
Data Y:
5.1 4.9 5.2 5.1 4.6 3.7 3.9 3.1 2.8 2.6 2.2 1.8 1.3 1.2 1.4 1.3 1.3 1.9 1.9 2.1 2.0 1.9 1.9 1.9 1.8 1.7 1.6 1.7 1.9 1.7 1.3 2.0 2.0 2.3 2.0 1.7 2.3 2.4 2.4 2.3 2.1 2.1 2.5 2.0 1.8 1.7 1.9 2.1 1.4 1.6 1.7 1.6 1.9 1.6 1.1 1.3 1.6 1.6 1.7 1.6 1.7 1.6 1.5 1.6 1.1 1.5 1.4 1.3 0.9 1.2 0.9 1.1 1.3 1.3 1.4 1.2 1.7 2.0 3.0 3.1 3.2 2.7 2.8 3.0 2.8 3.1 3.1 3.2 3.1 2.7 2.2 2.2 2.1 2.3 2.5 2.3 2.6
Sample Range:
(leave blank to include all observations)
From:
To:
Box-Cox transformation parameter (X series)
1
1
-2.0
-1.9
-1.8
-1.7
-1.6
-1.5
-1.4
-1.3
-1.2
-1.1
-1.0
-0.9
-0.8
-0.7
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
2.0
Degree (d) of non-seasonal differencing (X series)
1
0
1
2
Degree (D) of seasonal differencing (X series)
0
0
1
2
Seasonal Period
12
1
2
3
4
12
Box-Cox transformation parameter (Y series)
-0.5
1
-2.0
-1.9
-1.8
-1.7
-1.6
-1.5
-1.4
-1.3
-1.2
-1.1
-1.0
-0.9
-0.8
-0.7
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
2.0
Degree (d) of non-seasonal differencing (Y series)
1
0
1
2
Degree (D) of seasonal differencing (Y series)
0
0
1
2
Treatment of missing data
(?)
na.fail
na.pass
Chart options
Label y-axis:
Label x-axis:
R Code
par1 <- as.numeric(par1) par2 <- as.numeric(par2) par3 <- as.numeric(par3) par4 <- as.numeric(par4) par5 <- as.numeric(par5) par6 <- as.numeric(par6) par7 <- as.numeric(par7) if (par1 == 0) { x <- log(x) } else { x <- (x ^ par1 - 1) / par1 } if (par5 == 0) { y <- log(y) } else { y <- (y ^ par5 - 1) / par5 } if (par2 > 0) x <- diff(x,lag=1,difference=par2) if (par6 > 0) y <- diff(y,lag=1,difference=par6) if (par3 > 0) x <- diff(x,lag=par4,difference=par3) if (par7 > 0) y <- diff(y,lag=par4,difference=par7) x y bitmap(file='test1.png') (r <- ccf(x,y,main='Cross Correlation Function',ylab='CCF',xlab='Lag (k)')) dev.off() load(file='createtable') a<-table.start() a<-table.row.start(a) a<-table.element(a,'Cross Correlation Function',2,TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Parameter',header=TRUE) a<-table.element(a,'Value',header=TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Box-Cox transformation parameter (lambda) of X series',header=TRUE) a<-table.element(a,par1) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Degree of non-seasonal differencing (d) of X series',header=TRUE) a<-table.element(a,par2) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Degree of seasonal differencing (D) of X series',header=TRUE) a<-table.element(a,par3) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Seasonal Period (s)',header=TRUE) a<-table.element(a,par4) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Box-Cox transformation parameter (lambda) of Y series',header=TRUE) a<-table.element(a,par5) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Degree of non-seasonal differencing (d) of Y series',header=TRUE) a<-table.element(a,par6) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Degree of seasonal differencing (D) of Y series',header=TRUE) a<-table.element(a,par7) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'k',header=TRUE) a<-table.element(a,'rho(Y[t],X[t+k])',header=TRUE) a<-table.row.end(a) mylength <- length(r$acf) myhalf <- floor((mylength-1)/2) for (i in 1:mylength) { a<-table.row.start(a) a<-table.element(a,i-myhalf-1,header=TRUE) a<-table.element(a,r$acf[i]) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable.tab')
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