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Description of Statistical Computation

Author's title

Author*The author of this computation has been verified*
R Software Modulerwasp_grangercausality.wasp
Title produced by softwareBivariate Granger Causality
Date of computationSat, 05 Aug 2017 19:43:59 +0200
Cite this page as followsStatistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2017/Aug/05/t15019550966ydg2x39czqrkuq.htm/, Retrieved Fri, 10 May 2024 18:22:02 +0200
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=, Retrieved Fri, 10 May 2024 18:22:02 +0200
QR Codes:

Original text written by user:
IsPrivate?This computation is private
User-defined keywords
Estimated Impact0

Tree of Dependent Computations

Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
3
3
4
4
3
3
3
3
4
3
3
3
3
4
4
4
4
4
4
2
3
3
4
4
4
4
4
4
4
4
4
3
4
4
4
4
4
4
4
4
4
4
4
4
3
4
4
4
4
3
3
3
3
3
4
3
3
3
3
2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
3
2
4
3
3
2
1
2
1
0
2
1
3
2
4
1
4
1
1
1
3
2
1
3
2
2
0
0
1
2
2
1
1
1
0
1
1
1
1
1
0
1
4
1
2
1
2
1
0
1
0
1
1
1
1
2
0
0
1
0
1
1
1
1
1
0
1
1
1
0
1
1
0
1
0
2
0
0
1
0
0
Dataseries Y:
Download CSV
Histogram 
2.47
2.94
2.76
2.65
2.76
2.76
2.24
2.24
1.88
2.12
2.35
2.41
1.59
1.53
1.35
0.94
1.53
1.47
1.29
1.24
1.35
1.35
1.18
1.00
1.06
1.29
1.41
1.00
1.35
1.29
1.47
1.35
1.53
1.47
1.65
1.35
1.53
0.76
1.59
1.06
1.65
1.35
1.53
1.41
1.47
1.71
1.76
1.59
1.47
1.24
1.24
1.53
1.41
1.41
1.35
1.59
1.65
1.29
1.47
1.24
1.29
1.82
1.12
1.65
1.41
1.12
1.59
0.47
1.47
1.41
1.53
1.18
1.35
1.12
1.06
0.82
0.59
0.76
1.06
0.76
0.76
0.76
0.76
1.06
0.94
0.65
0.73
0.59
0.59
0.65
0.82
0.59
0.71
0.47
0.53
0.59
0.71
0.59
0.59
0.59
0.59
0.47
0.82
0.47
0.65
0.53
1.41
0.76
0.65
0.59
0.65
0.65
0.82
0.76
1.76
0.29
0.65
0.59
0.53
0.53
0.53
0.53
0.53
0.53
0.59
0.53
0.65
0.59
0.59
0.53
0.65
0.53
0.82
0.47
0.41
0.53
0.47
0.41
0.53
0.59
0.76
0.59
0.65
0.82
0.82
0.47
0.59
0.59
0.59
0.82
0.88
0.71
1.82
0.59
0.53
0.71
0.65
0.71
0.65
0.76
2.76
1.71
1.24
1.82
1.24
0.76
1.18
0.82
0.82
0.59
1.12
0.71
1.12
0.82
0.76
0.41
0.88
0.71
1.24
0.94
1.06
1.00
0.71
0.47
0.76
0.71
0.71
0.18
0.88
0.71
0.76
0.71
0.53
0.41
0.41
0.29
0.35
0.71
0.41
0.53
0.00
0.41
2.71
0.71
0.71
0.47
0.47
0.47
0.41
0.35
0.41
0.41
0.24
0.35
0.59
0.47
0.47
0.06
0.41
0.29
0.47
0.41
0.41
0.71
0.41
0.00
0.65
0.47
1.12
0.71
0.47
0.82
0.59
0.35
0.00
1.12
0.65
0.59
0.41
0.35
0.71

Tables (Output of Computation)





Summary of computational transaction
Raw Input view raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R ServerBig Analytics Cloud Computing Center

\begin{tabular}{lllllllll}
\hline
Summary of computational transaction \tabularnewline
Raw Input view raw input (R code)  \tabularnewline
Raw Outputview raw output of R engine  \tabularnewline
Computing time2 seconds \tabularnewline
R ServerBig Analytics Cloud Computing Center \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=&T=0

[TABLE]
[ROW]
Summary of computational transaction[/C][/ROW] [ROW]Raw Input[/C] view raw input (R code) [/C][/ROW] [ROW]Raw Output[/C]view raw output of R engine [/C][/ROW] [ROW]Computing time[/C]2 seconds[/C][/ROW] [ROW]R Server[/C]Big Analytics Cloud Computing Center[/C][/ROW] [/TABLE] Source: https://freestatistics.org/blog/index.php?pk=&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=&T=0

As an alternative you can also use a QR Code:  
QR Code


The GUIDs for individual cells are displayed in the table below:

Summary of computational transaction
Raw Input view raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R ServerBig Analytics Cloud Computing Center






Granger Causality Test: Y = f(X)
ModelRes.DFDiff. DFFp-value
Complete model236
Reduced model237-10.1028247987792750.748749499028403

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 236 &  &  &  \tabularnewline
Reduced model & 237 & -1 & 0.102824798779275 & 0.748749499028403 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=&T=1

[TABLE]
[ROW][C]Granger Causality Test: Y = f(X)[/C][/ROW]
[ROW][C]Model[/C][C]Res.DF[/C][C]Diff. DF[/C][C]F[/C][C]p-value[/C][/ROW]
[ROW][C]Complete model[/C][C]236[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]237[/C][C]-1[/C][C]0.102824798779275[/C][C]0.748749499028403[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=&T=1

As an alternative you can also use a QR Code:  
QR Code


The GUIDs for individual cells are displayed in the table below:

Granger Causality Test: Y = f(X)
ModelRes.DFDiff. DFFp-value
Complete model236
Reduced model237-10.1028247987792750.748749499028403






Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model236
Reduced model237-12.127978275443850.145961025588771

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 236 &  &  &  \tabularnewline
Reduced model & 237 & -1 & 2.12797827544385 & 0.145961025588771 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=&T=2

[TABLE]
[ROW][C]Granger Causality Test: X = f(Y)[/C][/ROW]
[ROW][C]Model[/C][C]Res.DF[/C][C]Diff. DF[/C][C]F[/C][C]p-value[/C][/ROW]
[ROW][C]Complete model[/C][C]236[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]237[/C][C]-1[/C][C]2.12797827544385[/C][C]0.145961025588771[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=&T=2

As an alternative you can also use a QR Code:  
QR Code


The GUIDs for individual cells are displayed in the table below:

Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model236
Reduced model237-12.127978275443850.145961025588771


Figures (Output of Computation)

Input Parameters & R Code

Parameters (Session):
par1 = 1 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 1 ; par7 = 0 ; par8 = 1 ;
Parameters (R input):
par1 = 1 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 1 ; par7 = 0 ; par8 = 1 ;
R code (references can be found in the software module):
par8 <- '1'
par7 <- '0'
par6 <- '1'
par5 <- '1'
par4 <- '1'
par3 <- '0'
par2 <- '1'
par1 <- '1'
library(lmtest)
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)
par8 <- as.numeric(par8)
ox <- x
oy <- y
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)
print(x)
print(y)
(gyx <- grangertest(y ~ x, order=par8))
(gxy <- grangertest(x ~ y, order=par8))
bitmap(file='test1.png')
op <- par(mfrow=c(2,1))
(r <- ccf(ox,oy,main='Cross Correlation Function (raw data)',ylab='CCF',xlab='Lag (k)'))
(r <- ccf(x,y,main='Cross Correlation Function (transformed and differenced)',ylab='CCF',xlab='Lag (k)'))
par(op)
dev.off()
bitmap(file='test2.png')
op <- par(mfrow=c(2,1))
acf(ox,lag.max=round(length(x)/2),main='ACF of x (raw)')
acf(x,lag.max=round(length(x)/2),main='ACF of x (transformed and differenced)')
par(op)
dev.off()
bitmap(file='test3.png')
op <- par(mfrow=c(2,1))
acf(oy,lag.max=round(length(y)/2),main='ACF of y (raw)')
acf(y,lag.max=round(length(y)/2),main='ACF of y (transformed and differenced)')
par(op)
dev.off()
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Granger Causality Test: Y = f(X)',5,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Model',header=TRUE)
a<-table.element(a,'Res.DF',header=TRUE)
a<-table.element(a,'Diff. DF',header=TRUE)
a<-table.element(a,'F',header=TRUE)
a<-table.element(a,'p-value',header=TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Complete model',header=TRUE)
a<-table.element(a,gyx$Res.Df[1])
a<-table.element(a,'')
a<-table.element(a,'')
a<-table.element(a,'')
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Reduced model',header=TRUE)
a<-table.element(a,gyx$Res.Df[2])
a<-table.element(a,gyx$Df[2])
a<-table.element(a,gyx$F[2])
a<-table.element(a,gyx$Pr[2])
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable1.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Granger Causality Test: X = f(Y)',5,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Model',header=TRUE)
a<-table.element(a,'Res.DF',header=TRUE)
a<-table.element(a,'Diff. DF',header=TRUE)
a<-table.element(a,'F',header=TRUE)
a<-table.element(a,'p-value',header=TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Complete model',header=TRUE)
a<-table.element(a,gxy$Res.Df[1])
a<-table.element(a,'')
a<-table.element(a,'')
a<-table.element(a,'')
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Reduced model',header=TRUE)
a<-table.element(a,gxy$Res.Df[2])
a<-table.element(a,gxy$Df[2])
a<-table.element(a,gxy$F[2])
a<-table.element(a,gxy$Pr[2])
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable2.tab')