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Type 'q()' to quit R. > y <- c(11,8,6,10,11,10,9,8,11,10,12,13,13,13,13,13,12,13,12,13,12,14,11,12,13,13,12,10,9,10,10,9,7,11,11,12,13,13,12,12,10,12,12,12,10,13,13,11,13,12,11,12,12,11,10,9,10,9,6,7,5,8,5,5,5,1,3,5,7,2,3,2) > x <- c(8.3,8.2,8,7.9,7.6,7.6,8.3,8.4,8.4,8.4,8.4,8.6,8.9,8.8,8.3,7.5,7.2,7.4,8.8,9.3,9.3,8.7,8.2,8.3,8.5,8.6,8.5,8.2,8.1,7.9,8.6,8.7,8.7,8.5,8.4,8.5,8.7,8.7,8.6,8.5,8.3,8,8.2,8.1,8.1,8,7.9,7.9,8,8,7.9,8,7.7,7.2,7.5,7.3,7,7,7,7.2,7.3,7.1,6.8,6.4,6.1,6.5,7.7,7.9,7.5,6.9,6.6,6.9) > par8 = '6' > par7 = '0' > par6 = '0' > par5 = '1' > par4 = '12' > par3 = '0' > par2 = '0' > par1 = '1' > #'GNU S' R Code compiled by R2WASP v. 1.0.44 () > #Author: Prof. Dr. P. Wessa > #To cite this work: Wessa P., (2008), Bivariate Granger Causality (v1.0.0) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_grangercausality.wasp#output/ > #Source of accompanying publication: Office for Research, Development, and Education > #Technical description: > library(lmtest) Loading required package: zoo Attaching package: 'zoo' The following object(s) are masked from package:base : as.Date.numeric > 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) > x [1] 7.3 7.2 7.0 6.9 6.6 6.6 7.3 7.4 7.4 7.4 7.4 7.6 7.9 7.8 7.3 6.5 6.2 6.4 7.8 [20] 8.3 8.3 7.7 7.2 7.3 7.5 7.6 7.5 7.2 7.1 6.9 7.6 7.7 7.7 7.5 7.4 7.5 7.7 7.7 [39] 7.6 7.5 7.3 7.0 7.2 7.1 7.1 7.0 6.9 6.9 7.0 7.0 6.9 7.0 6.7 6.2 6.5 6.3 6.0 [58] 6.0 6.0 6.2 6.3 6.1 5.8 5.4 5.1 5.5 6.7 6.9 6.5 5.9 5.6 5.9 > y [1] 10 7 5 9 10 9 8 7 10 9 11 12 12 12 12 12 11 12 11 12 11 13 10 11 12 [26] 12 11 9 8 9 9 8 6 10 10 11 12 12 11 11 9 11 11 11 9 12 12 10 12 11 [51] 10 11 11 10 9 8 9 8 5 6 4 7 4 4 4 0 2 4 6 1 2 1 > (gyx <- grangertest(y ~ x, order=par8)) Granger causality test Model 1: ~ Lags(, 1:6) + Lags(, 1:6) Model 2: ~ Lags(, 1:6) Res.Df Df F Pr(>F) 1 53 2 59 -6 3.4173 0.006329 ** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 > (gxy <- grangertest(x ~ y, order=par8)) Granger causality test Model 1: ~ Lags(, 1:6) + Lags(, 1:6) Model 2: ~ Lags(, 1:6) Res.Df Df F Pr(>F) 1 53 2 59 -6 0.6901 0.6585 > postscript(file="/var/www/html/rcomp/tmp/100ww1260367507.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > op <- par(mfrow=c(2,1)) > (r <- ccf(ox,oy,main='Cross Correlation Function (raw data)',ylab='CCF',xlab='Lag (k)')) Autocorrelations of series 'X', by lag -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 0.319 0.341 0.392 0.418 0.428 0.437 0.463 0.518 0.613 0.674 0.663 0.615 0.620 -2 -1 0 1 2 3 4 5 6 7 8 9 10 0.658 0.692 0.662 0.558 0.477 0.419 0.371 0.338 0.300 0.234 0.189 0.166 0.109 11 12 13 14 15 0.060 0.016 0.018 0.013 0.003 > (r <- ccf(x,y,main='Cross Correlation Function (transformed and differenced)',ylab='CCF',xlab='Lag (k)')) Autocorrelations of series 'X', by lag -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 0.319 0.341 0.392 0.418 0.428 0.437 0.463 0.518 0.613 0.674 0.663 0.615 0.620 -2 -1 0 1 2 3 4 5 6 7 8 9 10 0.658 0.692 0.662 0.558 0.477 0.419 0.371 0.338 0.300 0.234 0.189 0.166 0.109 11 12 13 14 15 0.060 0.016 0.018 0.013 0.003 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2h2bw1260367507.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > 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() null device 1 > postscript(file="/var/www/html/rcomp/tmp/3cld81260367507.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > 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() null device 1 > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/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="/var/www/html/rcomp/tmp/4oc061260367507.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="/var/www/html/rcomp/tmp/5wjw61260367507.tab") > system("convert tmp/100ww1260367507.ps tmp/100ww1260367507.png") > system("convert tmp/2h2bw1260367507.ps tmp/2h2bw1260367507.png") > system("convert tmp/3cld81260367507.ps tmp/3cld81260367507.png") > > > proc.time() user system elapsed 0.965 0.500 11.799