psacf.Rdpsacf, pspacf and psccf compute (and by default plot) estimates of the auto-, partial auto- and cross- correlation or covariance functions for panel series. They are analogues to acf, pacf and ccf.
psacf(x, ...)
pspacf(x, ...)
psccf(x, y, ...)
# S3 method for default
psacf(x, g, t = NULL, lag.max = NULL, type = c("correlation", "covariance","partial"),
plot = TRUE, gscale = TRUE, ...)
# S3 method for default
pspacf(x, g, t = NULL, lag.max = NULL, plot = TRUE, gscale = TRUE, ...)
# S3 method for default
psccf(x, y, g, t = NULL, lag.max = NULL, type = c("correlation", "covariance"),
plot = TRUE, gscale = TRUE, ...)
# S3 method for data.frame
psacf(x, by, t = NULL, cols = is.numeric, lag.max = NULL,
type = c("correlation", "covariance","partial"), plot = TRUE, gscale = TRUE, ...)
# S3 method for data.frame
pspacf(x, by, t = NULL, cols = is.numeric, lag.max = NULL,
plot = TRUE, gscale = TRUE, ...)
# Methods for indexed data / compatibility with plm:
# S3 method for pseries
psacf(x, lag.max = NULL, type = c("correlation", "covariance","partial"),
plot = TRUE, gscale = TRUE, ...)
# S3 method for pseries
pspacf(x, lag.max = NULL, plot = TRUE, gscale = TRUE, ...)
# S3 method for pseries
psccf(x, y, lag.max = NULL, type = c("correlation", "covariance"),
plot = TRUE, gscale = TRUE, ...)
# S3 method for pdata.frame
psacf(x, cols = is.numeric, lag.max = NULL,
type = c("correlation", "covariance","partial"), plot = TRUE, gscale = TRUE, ...)
# S3 method for pdata.frame
pspacf(x, cols = is.numeric, lag.max = NULL, plot = TRUE, gscale = TRUE, ...)a numeric vector, 'indexed_series' ('pseries'), data frame or 'indexed_frame' ('pdata.frame').
a factor, GRP object, or atomic vector / list of vectors (internally grouped with group) used to group x.
data.frame method: Same input as g, but also allows one- or two-sided formulas using the variables in x, i.e. ~ idvar or var1 + var2 ~ idvar1 + idvar2.
a time vector or list of vectors. See flag.
data.frame method: Select columns using a function, column names, indices or a logical vector. Note: cols is ignored if a two-sided formula is passed to by.
integer. Maximum lag at which to calculate the acf. Default is 2*sqrt(length(x)/ng) where ng is the number of groups in the panel series / supplied to g.
character. String giving the type of acf to be computed. Allowed values are "correlation" (the default), "covariance" or "partial".
logical. If TRUE (default) the acf is plotted.
logical. Do a groupwise scaling / standardization of x, y (using fscale and the groups supplied to g) before computing panel-autocovariances / correlations. See Details.
further arguments to be passed to plot.acf.
If gscale = TRUE data are standardized within each group (using fscale) such that the group-mean is 0 and the group-standard deviation is 1. This is strongly recommended for most panels to get rid of individual-specific heterogeneity which would corrupt the ACF computations.
After scaling, psacf, pspacf and psccf compute the ACF/CCF by creating a matrix of panel-lags of the series using flag and then correlating this matrix with the series (x, y) using cor and pairwise-complete observations. This may require a lot of memory on large data, but is done because passing a sequence of lags to flag and thus calling flag and cor one time is much faster than calling them lag.max times. The partial ACF is computed from the ACF using a Yule-Walker decomposition, in the same way as in pacf.
An object of class 'acf', see acf. The result is returned invisibly if plot = TRUE.
## World Development Panel Data
head(wlddev) # See also help(wlddev)
#> country iso3c date year decade region income OECD PCGDP
#> 1 Afghanistan AFG 1961-01-01 1960 1960 South Asia Low income FALSE NA
#> 2 Afghanistan AFG 1962-01-01 1961 1960 South Asia Low income FALSE NA
#> 3 Afghanistan AFG 1963-01-01 1962 1960 South Asia Low income FALSE NA
#> 4 Afghanistan AFG 1964-01-01 1963 1960 South Asia Low income FALSE NA
#> 5 Afghanistan AFG 1965-01-01 1964 1960 South Asia Low income FALSE NA
#> LIFEEX GINI ODA POP
#> 1 32.446 NA 116769997 8996973
#> 2 32.962 NA 232080002 9169410
#> 3 33.471 NA 112839996 9351441
#> 4 33.971 NA 237720001 9543205
#> 5 34.463 NA 295920013 9744781
#> [ reached 'max' / getOption("max.print") -- omitted 1 rows ]
psacf(wlddev$PCGDP, wlddev$country, wlddev$year) # ACF of GDP per Capita
psacf(wlddev, PCGDP ~ country, ~year) # Same using data.frame method
psacf(wlddev$PCGDP, wlddev$country) # The Data is sorted, can omit t
pspacf(wlddev$PCGDP, wlddev$country) # Partial ACF
psccf(wlddev$PCGDP, wlddev$LIFEEX, wlddev$country) # CCF with Life-Expectancy at Birth
psacf(wlddev, PCGDP + LIFEEX + ODA ~ country, ~year) # ACF and CCF of GDP, LIFEEX and ODA
psacf(wlddev, ~ country, ~year, c(9:10,12)) # Same, using cols argument
pspacf(wlddev, ~ country, ~year, c(9:10,12)) # Partial ACF
## Using indexed data:
wldi <- findex_by(wlddev, iso3c, year) # Creating a indexed frame
PCGDP <- wldi$PCGDP # Indexed Series of GDP per Capita
LIFEEX <- wldi$LIFEEX # Indexed Series of Life Expectancy
psacf(PCGDP) # Same as above, more parsimonious
pspacf(PCGDP)
psccf(PCGDP, LIFEEX)
psacf(wldi[c(9:10,12)])
pspacf(wldi[c(9:10,12)])