On Wed, 21 May 2014, Andreï Victorovitch Kostyrka wrote:

We are often criticized for the use of fixed CI’s for ACF on

correlograms, since the confidence band increases as the lag order

increases. [...]

I personally don't think it makes much of a difference. All this stuff is

asymptotic anyway. However, it would be nice to give users the option.

By the way, the following script is a slight elaboration of yours, which

uses the same data as the example on the stackexchange page that you

linked in your original message:

<hansl>

set echo off

set messages off

nulldata 60

setobs 4 1955:1

pank_inv = {\
4.4, 5.8, 6.7, 7.1, 5.7, 4.1, 4.6, 4.3, 2.0, 2.2, 3.6, -2.2, \
-5.1, -4.9, 0.1, 4.1, 3.8, 9.9, 0.0, 6.5, 10.8, 4.1, 2.7, -2.9, \
-2.9, 1.5, 5.7, 5.0, 7.9, 6.8, 7.1, 4.1, 5.5, 5.1, 8.0, 5.6, \
4.5, 6.1, 6.7, 6.1, 10.6, 8.6, 11.6, 7.6, 10.9, 14.6, 14.5, 17.4, \
11.7, 5.8, 11.5, 11.7, 5.0, 10.0, 8.9, 7.1, 8.3, 10.2, 13.3, 6.2 \
}

series bus_inv = pank_inv'

# ACF values

acfsize = 14

matrix t = seq(1, acfsize)'

matrix acfs = corrgm(bus_inv,acfsize)

matrix tc = acfs[,1]

# Bartlett errors

scalar isqT = 1.96/sqrt($nobs)

matrix bartError = isqT * sqrt(1 + 2*cum(tc.^2))

matrix plots = t ~ tc ~ bartError ~ -bartError

gnuplot 2 3 4 1 --matrix=plots --output=display --with-lines --single-yaxis

</hansl>

Riccardo (Jack) Lucchetti

Dipartimento di Scienze Economiche e Sociali (DiSES)

Università Politecnica delle Marche

(formerly known as Università di Ancona)

r.lucchetti@univpm.it

http://www2.econ.univpm.it/servizi/hpp/lucchetti