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Type 'q()' to quit R. > y <- c(14.2,13.5,11.9,14.6,15.6,14.1,14.9,14.2,14.6,17.2,15.4,14.3,17.5,14.5,14.4,16.6,16.7,16.6,16.9,15.7,16.4,18.4,16.9,16.5,18.3,15.1,15.7,18.1,16.8,18.9,19,18.1,17.8,21.5,17.1,18.7,19,16.4,16.9,18.6,19.3,19.4,17.6,18.6,18.1,20.4,18.1,19.6,19.9,19.2,17.8,19.2,22,21.1,19.5,22.2,20.9,22.2,23.5,21.5,24.3,22.8,20.3,23.7,23.3,19.6,18,17.3,16.8,18.2,16.5,16,18.4) > x <- c(100.2,100.4,101.4,103,109.1,111.4,114.1,121.8,127.6,129.9,128,123.5,124,127.4,127.6,128.4,131.4,135.1,134,144.5,147.3,150.9,148.7,141.4,138.9,139.8,145.6,147.9,148.5,151.1,157.5,167.5,172.3,173.5,187.5,205.5,195.1,204.5,204.5,201.7,207,206.6,210.6,211.1,215,223.9,238.2,238.9,229.6,232.2,222.1,221.6,227.3,221,213.6,243.4,253.8,265.3,268.2,268.5,266.9,268.4,250.8,231.2,192,171.4,160,148.1,144.8,147.2,155.1,161.1,169.9) > 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] 99.2 99.4 100.4 102.0 108.1 110.4 113.1 120.8 126.6 128.9 127.0 122.5 [13] 123.0 126.4 126.6 127.4 130.4 134.1 133.0 143.5 146.3 149.9 147.7 140.4 [25] 137.9 138.8 144.6 146.9 147.5 150.1 156.5 166.5 171.3 172.5 186.5 204.5 [37] 194.1 203.5 203.5 200.7 206.0 205.6 209.6 210.1 214.0 222.9 237.2 237.9 [49] 228.6 231.2 221.1 220.6 226.3 220.0 212.6 242.4 252.8 264.3 267.2 267.5 [61] 265.9 267.4 249.8 230.2 191.0 170.4 159.0 147.1 143.8 146.2 154.1 160.1 [73] 168.9 > y [1] 13.2 12.5 10.9 13.6 14.6 13.1 13.9 13.2 13.6 16.2 14.4 13.3 16.5 13.5 13.4 [16] 15.6 15.7 15.6 15.9 14.7 15.4 17.4 15.9 15.5 17.3 14.1 14.7 17.1 15.8 17.9 [31] 18.0 17.1 16.8 20.5 16.1 17.7 18.0 15.4 15.9 17.6 18.3 18.4 16.6 17.6 17.1 [46] 19.4 17.1 18.6 18.9 18.2 16.8 18.2 21.0 20.1 18.5 21.2 19.9 21.2 22.5 20.5 [61] 23.3 21.8 19.3 22.7 22.3 18.6 17.0 16.3 15.8 17.2 15.5 15.0 17.4 > (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 54 2 60 -6 3.8565 0.002837 ** --- 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 54 2 60 -6 0.6338 0.7025 > postscript(file="/var/www/html/rcomp/tmp/1pu5j1260469032.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 0.296 0.348 0.379 0.388 0.420 0.437 0.457 0.513 0.559 0.613 0.670 0.706 0.759 -2 -1 0 1 2 3 4 5 6 7 8 9 10 0.817 0.839 0.836 0.786 0.734 0.669 0.608 0.542 0.474 0.418 0.376 0.333 0.313 11 12 13 14 15 0.286 0.255 0.241 0.225 0.198 > (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 0.296 0.348 0.379 0.388 0.420 0.437 0.457 0.513 0.559 0.613 0.670 0.706 0.759 -2 -1 0 1 2 3 4 5 6 7 8 9 10 0.817 0.839 0.836 0.786 0.734 0.669 0.608 0.542 0.474 0.418 0.376 0.333 0.313 11 12 13 14 15 0.286 0.255 0.241 0.225 0.198 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2bhbt1260469032.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/3itxg1260469032.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/4i3q71260469032.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/519f91260469032.tab") > > system("convert tmp/1pu5j1260469032.ps tmp/1pu5j1260469032.png") > system("convert tmp/2bhbt1260469032.ps tmp/2bhbt1260469032.png") > system("convert tmp/3itxg1260469032.ps tmp/3itxg1260469032.png") > > > proc.time() user system elapsed 0.941 0.484 1.192