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Type 'q()' to quit R. > y <- c(20,16,10,12,10,12,12,13,17,12,15,12,14,19,16,17,16,19,17,17,20,18,16,19,18,23,20,20,15,17,16,15,10,13,10,19,21,17,16,17,14,18,17,14,15,16,11,15,13,17,16,9,17,15,12,12,12,12,4,7,4,3,3,0,5,3,4,3,10,4,1,1) > x <- c(22,22,20,21,20,21,21,21,19,21,21,22,19,24,22,22,22,24,22,23,24,21,20,22,23,23,22,20,21,21,20,20,17,18,19,19,20,21,20,21,19,22,20,18,16,17,18,19,18,20,21,18,19,19,19,21,19,19,17,16,16,17,16,15,16,16,16,18,19,16,16,16) > par8 = '11' > 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] 21 21 19 20 19 20 20 20 18 20 20 21 18 23 21 21 21 23 21 22 23 20 19 21 22 [26] 22 21 19 20 20 19 19 16 17 18 18 19 20 19 20 18 21 19 17 15 16 17 18 17 19 [51] 20 17 18 18 18 20 18 18 16 15 15 16 15 14 15 15 15 17 18 15 15 15 > y [1] 19 15 9 11 9 11 11 12 16 11 14 11 13 18 15 16 15 18 16 16 19 17 15 18 17 [26] 22 19 19 14 16 15 14 9 12 9 18 20 16 15 16 13 17 16 13 14 15 10 14 12 16 [51] 15 8 16 14 11 11 11 11 3 6 3 2 2 -1 4 2 3 2 9 3 0 0 > (gyx <- grangertest(y ~ x, order=par8)) Granger causality test Model 1: ~ Lags(, 1:11) + Lags(, 1:11) Model 2: ~ Lags(, 1:11) Res.Df Df F Pr(>F) 1 38 2 49 -11 1.3322 0.2452 > (gxy <- grangertest(x ~ y, order=par8)) Granger causality test Model 1: ~ Lags(, 1:11) + Lags(, 1:11) Model 2: ~ Lags(, 1:11) Res.Df Df F Pr(>F) 1 38 2 49 -11 1.1711 0.3385 > postscript(file="/var/www/html/rcomp/tmp/1x7vn1260541473.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 0.283 0.305 0.336 0.389 0.414 0.409 0.365 0.440 0.526 0.521 0.515 -4 -3 -2 -1 0 1 2 3 4 5 6 0.537 0.548 0.622 0.665 0.783 0.650 0.554 0.518 0.450 0.413 0.341 7 8 9 10 11 12 13 14 15 0.217 0.186 0.109 0.124 0.120 0.086 0.038 -0.011 -0.061 > (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 0.283 0.305 0.336 0.389 0.414 0.409 0.365 0.440 0.526 0.521 0.515 -4 -3 -2 -1 0 1 2 3 4 5 6 0.537 0.548 0.622 0.665 0.783 0.650 0.554 0.518 0.450 0.413 0.341 7 8 9 10 11 12 13 14 15 0.217 0.186 0.109 0.124 0.120 0.086 0.038 -0.011 -0.061 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/22eln1260541473.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/3csgu1260541473.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/4z5ak1260541473.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/5oiv51260541473.tab") > > system("convert tmp/1x7vn1260541473.ps tmp/1x7vn1260541473.png") > system("convert tmp/22eln1260541473.ps tmp/22eln1260541473.png") > system("convert tmp/3csgu1260541473.ps tmp/3csgu1260541473.png") > > > proc.time() user system elapsed 0.972 0.469 1.577