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Type 'q()' to quit R. > y <- c(1.2,1.0,1.7,2.4,2.0,2.1,2.0,1.8,2.7,2.3,1.9,2.0,2.3,2.8,2.4,2.3,2.7,2.7,2.9,3.0,2.2,2.3,2.8,2.8,2.8,2.2,2.6,2.8,2.5,2.4,2.3,1.9,1.7,2.0,2.1,1.7,1.8,1.8,1.8,1.3,1.3,1.3,1.2,1.4,2.2,2.9,3.1,3.5,3.6,4.4,4.1,5.1,5.8,5.9,5.4,5.5,4.8,3.2,2.7,2.1,1.9,0.6,0.7) > x <- c(8.2,8.0,7.5,6.8,6.5,6.6,7.6,8.0,8.1,7.7,7.5,7.6,7.8,7.8,7.8,7.5,7.5,7.1,7.5,7.5,7.6,7.7,7.7,7.9,8.1,8.2,8.2,8.2,7.9,7.3,6.9,6.6,6.7,6.9,7.0,7.1,7.2,7.1,6.9,7.0,6.8,6.4,6.7,6.6,6.4,6.3,6.2,6.5,6.8,6.8,6.4,6.1,5.8,6.1,7.2,7.3,6.9,6.1,5.8,6.2,7.1,7.7,7.9) > par8 = '3' > 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] 7.2 7.0 6.5 5.8 5.5 5.6 6.6 7.0 7.1 6.7 6.5 6.6 6.8 6.8 6.8 6.5 6.5 6.1 6.5 [20] 6.5 6.6 6.7 6.7 6.9 7.1 7.2 7.2 7.2 6.9 6.3 5.9 5.6 5.7 5.9 6.0 6.1 6.2 6.1 [39] 5.9 6.0 5.8 5.4 5.7 5.6 5.4 5.3 5.2 5.5 5.8 5.8 5.4 5.1 4.8 5.1 6.2 6.3 5.9 [58] 5.1 4.8 5.2 6.1 6.7 6.9 > y [1] 0.2 0.0 0.7 1.4 1.0 1.1 1.0 0.8 1.7 1.3 0.9 1.0 1.3 1.8 1.4 [16] 1.3 1.7 1.7 1.9 2.0 1.2 1.3 1.8 1.8 1.8 1.2 1.6 1.8 1.5 1.4 [31] 1.3 0.9 0.7 1.0 1.1 0.7 0.8 0.8 0.8 0.3 0.3 0.3 0.2 0.4 1.2 [46] 1.9 2.1 2.5 2.6 3.4 3.1 4.1 4.8 4.9 4.4 4.5 3.8 2.2 1.7 1.1 [61] 0.9 -0.4 -0.3 > (gyx <- grangertest(y ~ x, order=par8)) Granger causality test Model 1: ~ Lags(, 1:3) + Lags(, 1:3) Model 2: ~ Lags(, 1:3) Res.Df Df F Pr(>F) 1 53 2 56 -3 0.1884 0.9038 > (gxy <- grangertest(x ~ y, order=par8)) Granger causality test Model 1: ~ Lags(, 1:3) + Lags(, 1:3) Model 2: ~ Lags(, 1:3) Res.Df Df F Pr(>F) 1 53 2 56 -3 0.4312 0.7315 > postscript(file="/var/www/html/rcomp/tmp/197nm1260459097.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 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -0.264 -0.270 -0.262 -0.250 -0.241 -0.246 -0.283 -0.330 -0.338 -0.318 -0.291 -3 -2 -1 0 1 2 3 4 5 6 7 -0.269 -0.267 -0.300 -0.332 -0.292 -0.234 -0.201 -0.187 -0.166 -0.132 -0.068 8 9 10 11 12 13 14 0.020 0.103 0.128 0.104 0.077 0.082 0.087 > (r <- ccf(x,y,main='Cross Correlation Function (transformed and differenced)',ylab='CCF',xlab='Lag (k)')) Autocorrelations of series 'X', by lag -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -0.264 -0.270 -0.262 -0.250 -0.241 -0.246 -0.283 -0.330 -0.338 -0.318 -0.291 -3 -2 -1 0 1 2 3 4 5 6 7 -0.269 -0.267 -0.300 -0.332 -0.292 -0.234 -0.201 -0.187 -0.166 -0.132 -0.068 8 9 10 11 12 13 14 0.020 0.103 0.128 0.104 0.077 0.082 0.087 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2xit51260459097.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/3ia0a1260459097.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/4wit31260459097.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/5otkx1260459097.tab") > > system("convert tmp/197nm1260459097.ps tmp/197nm1260459097.png") > system("convert tmp/2xit51260459097.ps tmp/2xit51260459097.png") > system("convert tmp/3ia0a1260459097.ps tmp/3ia0a1260459097.png") > > > proc.time() user system elapsed 0.951 0.511 2.715