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Type 'q()' to quit R. > y <- c(100,99.93,100.89,101.61,107.26,109.16,106.62,103.56,102.64,104.71,105.95,107.59,107.72,108.29,107.38,109.85,114.94,118.38,117.76,115.87,114.03,114.36,125.35,125.35,122.21,122.16,119.34,122.70,128.63,132.16,127.14,125.11,123.70,121.88,123.10,122.37,122.52,124.67,127.33,129.43,133.76,135.29,126.37,121.33,121.32,113.43,120.76,118.63,122.22,121.04,122.52,123.02,128.80,126.41,119.65,117.56,119.35,116.78,120.19,114.26) > x <- c(100,101.12,101.12,101.12,101.12,101.12,101.12,101.12,101.12,101.12,101.12,102.25,101.12,101.12,102.25,101.12,101.12,101.12,101.12,100.00,100.00,100.00,100.00,98.88,98.88,97.75,97.75,95.51,95.51,94.38,92.13,92.13,91.01,91.01,89.89,88.76,87.64,86.52,85.39,84.27,84.27,84.27,84.27,84.27,83.15,83.15,82.02,82.02,82.02,80.90,80.90,82.02,83.15,83.15,84.27,85.39,86.52,88.76,89.89,92.13) > 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] 99.00 100.12 100.12 100.12 100.12 100.12 100.12 100.12 100.12 100.12 [11] 100.12 101.25 100.12 100.12 101.25 100.12 100.12 100.12 100.12 99.00 [21] 99.00 99.00 99.00 97.88 97.88 96.75 96.75 94.51 94.51 93.38 [31] 91.13 91.13 90.01 90.01 88.89 87.76 86.64 85.52 84.39 83.27 [41] 83.27 83.27 83.27 83.27 82.15 82.15 81.02 81.02 81.02 79.90 [51] 79.90 81.02 82.15 82.15 83.27 84.39 85.52 87.76 88.89 91.13 > y [1] 99.00 98.93 99.89 100.61 106.26 108.16 105.62 102.56 101.64 103.71 [11] 104.95 106.59 106.72 107.29 106.38 108.85 113.94 117.38 116.76 114.87 [21] 113.03 113.36 124.35 124.35 121.21 121.16 118.34 121.70 127.63 131.16 [31] 126.14 124.11 122.70 120.88 122.10 121.37 121.52 123.67 126.33 128.43 [41] 132.76 134.29 125.37 120.33 120.32 112.43 119.76 117.63 121.22 120.04 [51] 121.52 122.02 127.80 125.41 118.65 116.56 118.35 115.78 119.19 113.26 > (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 50 2 53 -3 3.5979 0.01972 * --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 > (gxy <- grangertest(x ~ y, order=par8)) Granger causality test Model 1: ~ Lags(, 1:3) + Lags(, 1:3) Model 2: ~ Lags(, 1:3) Res.Df Df F Pr(>F) 1 50 2 53 -3 0.8316 0.4828 > postscript(file="/var/www/html/rcomp/tmp/1usvk1260521274.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 0.147 0.102 0.053 0.005 -0.048 -0.102 -0.158 -0.218 -0.273 -0.328 -0.389 -3 -2 -1 0 1 2 3 4 5 6 7 -0.460 -0.530 -0.591 -0.654 -0.680 -0.698 -0.713 -0.722 -0.734 -0.742 -0.753 8 9 10 11 12 13 14 -0.762 -0.763 -0.760 -0.748 -0.730 -0.709 -0.684 > (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 0.147 0.102 0.053 0.005 -0.048 -0.102 -0.158 -0.218 -0.273 -0.328 -0.389 -3 -2 -1 0 1 2 3 4 5 6 7 -0.460 -0.530 -0.591 -0.654 -0.680 -0.698 -0.713 -0.722 -0.734 -0.742 -0.753 8 9 10 11 12 13 14 -0.762 -0.763 -0.760 -0.748 -0.730 -0.709 -0.684 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2yp9t1260521274.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/3n1ao1260521274.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/4d68b1260521274.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/5uj411260521274.tab") > > system("convert tmp/1usvk1260521274.ps tmp/1usvk1260521274.png") > system("convert tmp/2yp9t1260521274.ps tmp/2yp9t1260521274.png") > system("convert tmp/3n1ao1260521274.ps tmp/3n1ao1260521274.png") > > > proc.time() user system elapsed 0.934 0.471 1.088