function?results?=??acf（xkp）
%?PURPOSE:?Estimate?the?coefficients?of?the?autocorrelation?
%??????????（covariance?with?its?own?lagged?value）
%??????????function?up?to?a?particular?lag?{Xk?=?Cov[YtYt-k]}
%--------------------------------------------------------------
%?USAGE:?results?=?acf（xk）
%?where:??????x?=?a?time-series?vector
%?????????????k?=?maximun?lag?considered?
%?????????????p?=?Plot?autocorrelations
%?????????????????p?=??1?Plot?function?
%--------------------------------------------------------------
%?RETURNS:?a?results?structure
%?????????results.meth??=?‘a(chǎn)cf‘
%?????????results.ac????=?autocorrelation?coefficients???
%?????????results.k?????=?dimension?of?the?lag?considered
%?????????results.lowb??=?lower?bound?for?95%?confidence?interval
%?????????results.Topb??=?Top?bound?for?95%?confidence?interval
%?????????results.qstat?=?Ljung-Box?Q?Statistic
%?????????results.prob??=?area?under?de?chi^（2）?distribution
%?????????????????????????used?in?testing?the?existance?of?
%?????????????????????????autocorrelation?for?the?kth?lag.?
%
%--------------------------------------------------------------
%?SEE?ALSO:?
%--------------------------------------------------------------
%?References:?
%?*?Judge?G.?Hill?C.?Griffiths?W.?L黷kepohl?H.?Tsoung-Chao?L
%???Introduction?to?the?Theory?and?Practice?of?Econometrics?
%???1988?pg.?681-690.
%?*?Hill?C.?Computer?Handbook?to?Accompany?Introduction?to?the?Theory?
%???and?Practice?of?Econometrics1988?pg.?158-159.

%?error?checking?on?inputs
results.meth=?‘a(chǎn)cf‘;

if?（nargin?>?3）
???error（‘Wrong?#?of?arguments?to?acf‘）;
elseif（nargin?==?3）
???p?=?1;
elseif（nargin?==?2）?
???p?=?0;
else
???k?=?round（rows（x）/4）;
end;
?
if??（cols（x）?>?1）
?error（‘a(chǎn)cf?cannot?handle?a?matrix?--?only?vectors‘）;
end;

nobs?=?rows（x）;
results.k?=?k;?
%center?data
xc=?x-mean（x）;
%variance
v0=?（xc‘*xc）/nobs;?%not?v0?=?cov（x）?see?reference?

for?i=1:k
???yt=?xc（1:nobs-i1）;
???ytk=?xc（1+i:nobs1）;
???ck?=?（yt‘*ytk）/nobs;
???xk（i1）=ck/v0;
???%ckbar?=?（yt‘*ytk）/（nobs-k）;?
???%xkbar（k1）=ck/v0;?%asymptotically?equivalent?to?xk
end

results.ac=xk;

%Significance?of?xk?（95%?confidence?intervals）
???results.lowb=?-2/sqrt（nobs）*ones（k1）;
???results.topb=?2/sqrt（nobs）*ones（k1）;
???
%Diagnostics?（Ljung?&?Box?1978）?Q-Statistic
qstat=zeros（k+11）;
for?j=2:k+1
???qstat（j1）?=?（xk（j-11）^2）/（nobs-（j-1））+?qstat（j-11）;
???prob（j1）=??1-chis_prb（abs（（nobs*（nobs+2））*qstat（j1））j）;
end

qstat=trimr（（nobs*（nobs+2））*qstat10）;
prob?=trimr（prob10）;
results.qstat=qstat;
results.prob=prob;

?屬性????????????大小?????日期????時間???名稱
-----------?---------??----------?-----??----

?????文件???????2631??2002-05-07?22:58??Econometrics?Toolbox\coint\acf.m

?????文件???????2512??2004-02-18?15:34??Econometrics?Toolbox\coint\adf.m

?????文件????????420??2001-04-20?09:04??Econometrics?Toolbox\coint\adf_d.m

?????文件???????2861??2000-10-08?23:00??Econometrics?Toolbox\coint\cadf.m

?????文件????????661??2001-04-20?09:04??Econometrics?Toolbox\coint\cadf_d.m

?????文件???????1935??2003-11-11?12:00??Econometrics?Toolbox\coint\contents.html

?????文件???????1497??2003-11-11?11:59??Econometrics?Toolbox\coint\contents.m

?????文件??????16526??2003-10-23?21:02??Econometrics?Toolbox\coint\crthegy.m

?????文件???????3042??2000-10-08?23:00??Econometrics?Toolbox\coint\c_sja.m

?????文件???????3523??2000-10-08?23:00??Econometrics?Toolbox\coint\c_sjt.m

?????文件???????1306??2000-10-08?23:00??Econometrics?Toolbox\coint\detrend.m

?????文件???????9004??2003-10-27?13:58??Econometrics?Toolbox\coint\FinalConsumption.wk1

?????文件???????9970??2003-10-27?13:48??Econometrics?Toolbox\coint\hegy.m

?????文件??????10461??2003-11-11?06:41??Econometrics?Toolbox\coint\hegy.zip

?????文件???????1754??2003-10-27?14:13??Econometrics?Toolbox\coint\hegy_d.m

?????文件???????6381??2001-02-18?09:54??Econometrics?Toolbox\coint\johansen.m

?????文件???????6382??2001-09-04?08:43??Econometrics?Toolbox\coint\johansen.mbak

?????文件????????851??2001-04-20?09:05??Econometrics?Toolbox\coint\johansen_d.m

?????文件???????4164??2000-10-08?23:00??Econometrics?Toolbox\coint\make_html.m

?????文件???????4033??2000-10-08?23:00??Econometrics?Toolbox\coint\phillips.m

?????文件???????1009??2001-04-20?09:05??Econometrics?Toolbox\coint\phillips_d.m

?????文件???????6124??2000-10-08?23:00??Econometrics?Toolbox\coint\prt_coint.m

?????文件???????1060??2000-10-08?23:00??Econometrics?Toolbox\coint\ptrend.m

?????文件??????13194??2000-10-08?23:00??Econometrics?Toolbox\coint\rztcrit.m

?????文件??????22317??2000-10-08?23:00??Econometrics?Toolbox\coint\test.dat

?????文件???????6040??2005-01-29?17:31??Econometrics?Toolbox\coint\WS_FTP.LOG

?????文件???????6068??2000-10-08?23:00??Econometrics?Toolbox\coint\ztcrit.m

?????文件????9128430??2003-12-14?01:23??Econometrics?Toolbox\data\agriculture.dat

?????文件???????2668??2003-12-14?01:59??Econometrics?Toolbox\data\agriculture.txt

?????文件???????1669??2000-10-09?20:06??Econometrics?Toolbox\data\anselin.dat

............此處省略1320個文件信息