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Type 'q()' to quit R. > y <- c(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) > x <- c(1.59,1.26,1.13,1.92,2.61,2.26,2.41,2.26,2.03,2.86,2.55,2.27,2.26,2.57,3.07,2.76,2.51,2.87,3.14,3.11,3.16,2.47,2.57,2.89,2.63,2.38,1.69,1.96,2.19,1.87,1.6,1.63,1.22,1.21,1.49,1.64,1.66,1.77,1.82,1.78,1.28,1.29,1.37,1.12,1.51,2.24,2.94,3.09,3.46,3.64,4.39,4.15,5.21,5.8,5.91,5.39,5.46,4.72,3.14,2.63) > par8 = '1' > par7 = '0' > par6 = '1' > par5 = '1' > par4 = '12' > par3 = '0' > par2 = '1' > 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] -0.33 -0.13 0.79 0.69 -0.35 0.15 -0.15 -0.23 0.83 -0.31 -0.28 -0.01 [13] 0.31 0.50 -0.31 -0.25 0.36 0.27 -0.03 0.05 -0.69 0.10 0.32 -0.26 [25] -0.25 -0.69 0.27 0.23 -0.32 -0.27 0.03 -0.41 -0.01 0.28 0.15 0.02 [37] 0.11 0.05 -0.04 -0.50 0.01 0.08 -0.25 0.39 0.73 0.70 0.15 0.37 [49] 0.18 0.75 -0.24 1.06 0.59 0.11 -0.52 0.07 -0.74 -1.58 -0.51 > y [1] -0.1 -0.5 -0.8 -0.3 0.2 1.4 0.5 0.0 -0.6 -0.5 0.1 0.2 0.1 -0.1 -0.3 [16] -0.1 -0.2 0.7 0.1 0.0 -0.2 -0.1 0.1 0.2 0.0 -0.1 -0.1 -0.2 -0.3 0.2 [31] -0.1 0.0 -0.1 -0.1 0.0 0.1 0.0 -0.1 0.1 -0.3 -0.5 0.3 -0.2 -0.3 0.0 [46] 0.0 0.2 0.1 -0.2 -0.3 -0.4 -0.3 0.4 1.2 0.2 -0.4 -0.6 -0.3 0.3 > (gyx <- grangertest(y ~ x, order=par8)) Granger causality test Model 1: ~ Lags(, 1:1) + Lags(, 1:1) Model 2: ~ Lags(, 1:1) Res.Df Df F Pr(>F) 1 55 2 56 -1 0.4945 0.4849 > (gxy <- grangertest(x ~ y, order=par8)) Granger causality test Model 1: ~ Lags(, 1:1) + Lags(, 1:1) Model 2: ~ Lags(, 1:1) Res.Df Df F Pr(>F) 1 55 2 56 -1 0.5091 0.4785 > postscript(file="/var/www/html/rcomp/tmp/12rii1260475781.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 0.254 0.217 0.196 0.184 0.186 0.160 0.088 -0.021 -0.124 -0.172 -0.185 -3 -2 -1 0 1 2 3 4 5 6 7 -0.206 -0.252 -0.322 -0.402 -0.460 -0.495 -0.527 -0.558 -0.547 -0.502 -0.463 8 9 10 11 12 13 14 -0.440 -0.422 -0.408 -0.378 -0.346 -0.313 -0.279 > (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 0.021 -0.084 -0.059 -0.076 0.024 0.221 0.099 -0.031 -0.142 -0.103 0.014 -3 -2 -1 0 1 2 3 4 5 6 7 0.139 0.248 0.093 0.000 -0.087 -0.003 -0.079 -0.292 -0.148 0.019 0.112 8 9 10 11 12 13 14 0.045 -0.060 -0.050 0.013 -0.002 -0.038 0.005 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2wxpz1260475781.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/397161260475781.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/4o4eb1260475781.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/51zgo1260475781.tab") > > system("convert tmp/12rii1260475781.ps tmp/12rii1260475781.png") > system("convert tmp/2wxpz1260475781.ps tmp/2wxpz1260475781.png") > system("convert tmp/397161260475781.ps tmp/397161260475781.png") > > > proc.time() user system elapsed 0.919 0.467 1.192