This repo contains three functions that might help you conduct timeseries analysis in Excel. Specifically:
- ACFX: Compute the autocorrelation function on the residuals of an OLS regression
- PACFX: Compute the partial autocorrelation function on the residuals of an OLS regression
- CHOLESKY: Compute the Cholesky decomposition of a square, symmetric, positive definite matrix
For context on how to interpret ACF and PACF see https://spureconomics.com/interpreting-acf-and-pacf-plots/.
The definitions found in the .lambda are not suitable to copy directly into an Excel spreadsheet
because they contain comments, newlines and exceess spaces. The Python script make_lambda.py
strips all spaces, newlines and anything on a line appearing after // from the file, making it
suitable to copy-and-paste into an Excel named range. The useage is:
python make_lambda.py < WIBBLE.lambda > WIBBLE.min.lambda
Warning: do not use make_lambda.py on functions that manipulate strings, especially ones that
contain string literals with spaces in them since it will mangle them. All the functions in this
repo are safe, however.