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Type 'q()' to quit R. > y <- c(33,34,36,36,38,42,35,25,24,22,27,17,30,30,34,37,36,33,33,33,37,40,35,37,43,42,33,39,40,37,44,42,43,40,30,30,31,18,24,22,26,28,23,17,12,9,19,21,18,18,15,24,18,19,30,33,35,36,47,46,43) > x <- c(24,22,25,24,29,26,26,21,23,22,21,16,19,16,25,27,23,22,23,20,24,23,20,21,22,17,21,19,23,22,15,23,21,18,18,18,18,10,13,10,9,9,6,11,9,10,9,16,10,7,7,14,11,10,6,8,13,12,15,16,16) > 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/ > #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] 23 21 24 23 28 25 25 20 22 21 20 15 18 15 24 26 22 21 22 19 23 22 19 20 21 [26] 16 20 18 22 21 14 22 20 17 17 17 17 9 12 9 8 8 5 10 8 9 8 15 9 6 [51] 6 13 10 9 5 7 12 11 14 15 15 > y [1] 32 33 35 35 37 41 34 24 23 21 26 16 29 29 33 36 35 32 32 32 36 39 34 36 42 [26] 41 32 38 39 36 43 41 42 39 29 29 30 17 23 21 25 27 22 16 11 8 18 20 17 17 [51] 14 23 17 18 29 32 34 35 46 45 42 > (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 51 2 54 -3 0.0384 0.9898 > (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 51 2 54 -3 1.0268 0.3885 > postscript(file="/var/www/html/rcomp/tmp/18xd21260467129.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 0.012 0.094 0.150 0.148 0.176 0.177 0.213 0.244 0.230 0.247 0.346 -3 -2 -1 0 1 2 3 4 5 6 7 0.361 0.428 0.505 0.591 0.577 0.574 0.538 0.524 0.462 0.351 0.279 8 9 10 11 12 13 14 0.230 0.178 0.159 0.144 0.069 0.003 -0.031 > (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 0.012 0.094 0.150 0.148 0.176 0.177 0.213 0.244 0.230 0.247 0.346 -3 -2 -1 0 1 2 3 4 5 6 7 0.361 0.428 0.505 0.591 0.577 0.574 0.538 0.524 0.462 0.351 0.279 8 9 10 11 12 13 14 0.230 0.178 0.159 0.144 0.069 0.003 -0.031 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2aoo81260467129.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/33dwy1260467129.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/48c2i1260467129.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/56zqt1260467129.tab") > > system("convert tmp/18xd21260467129.ps tmp/18xd21260467129.png") > system("convert tmp/2aoo81260467129.ps tmp/2aoo81260467129.png") > system("convert tmp/33dwy1260467129.ps tmp/33dwy1260467129.png") > > > proc.time() user system elapsed 0.910 0.459 1.073