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Type 'q()' to quit R. > y <- c(22.782,19.169,13.807,29.743,25.591,29.096,26.482,22.405,27.044,17.97,18.73,19.684,19.785,18.479,10.698,31.956,29.506,34.506,27.165,26.736,23.691,18.157,17.328,18.205,20.995,17.382,9.367,31.124,26.551,30.651,25.859,25.1,25.778,20.418,18.688,20.424,24.776,19.814,12.738,31.566,30.111,30.019,31.934,25.826,26.835,20.205,17.789,20.52,22.518,15.572,11.509,25.447,24.09,27.786,26.195,20.516,22.759,19.028,16.971,20.036,22.485) > x <- c(17,14,15,16,16,15,13,12,13,13,12,10,14,14,15,16,16,15,15,13,15,15,15,13,16,16,14,16,15,14,15,15,14,13,12,13,12,9,10,8,11,8,8,8,4,6,8,10,5,6,5,9,8,6,9,11,11,8,11,11,13) > par8 = '11' > 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] -3 1 1 0 -1 -2 -1 1 0 -1 -2 4 0 1 1 0 -1 0 -2 2 0 0 -2 3 0 [26] -2 2 -1 -1 1 0 -1 -1 -1 1 -1 -3 1 -2 3 -3 0 0 -4 2 2 2 -5 1 -1 [51] 4 -1 -2 3 2 0 -3 3 0 2 > y [1] -3.613 -5.362 15.936 -4.152 3.505 -2.614 -4.077 4.639 -9.074 0.760 [11] 0.954 0.101 -1.306 -7.781 21.258 -2.450 5.000 -7.341 -0.429 -3.045 [21] -5.534 -0.829 0.877 2.790 -3.613 -8.015 21.757 -4.573 4.100 -4.792 [31] -0.759 0.678 -5.360 -1.730 1.736 4.352 -4.962 -7.076 18.828 -1.455 [41] -0.092 1.915 -6.108 1.009 -6.630 -2.416 2.731 1.998 -6.946 -4.063 [51] 13.938 -1.357 3.696 -1.591 -5.679 2.243 -3.731 -2.057 3.065 2.449 > (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 26 2 37 -11 0.2703 0.9865 > (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 26 2 37 -11 0.9142 0.5412 > postscript(file="/var/www/html/rcomp/tmp/1rydw1260549247.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 0.181 0.199 0.184 0.110 -0.001 -0.003 0.025 0.034 0.040 0.094 0.088 -3 -2 -1 0 1 2 3 4 5 6 7 0.136 0.105 0.117 0.086 -0.011 -0.123 -0.073 -0.083 -0.117 -0.118 -0.034 8 9 10 11 12 13 14 -0.073 -0.075 -0.071 -0.031 -0.013 -0.058 -0.093 > (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 -0.126 0.061 0.089 0.051 -0.173 0.015 -0.001 0.030 -0.057 0.068 -0.055 -3 -2 -1 0 1 2 3 4 5 6 7 0.015 -0.030 0.088 0.102 0.024 -0.242 0.087 0.032 -0.047 -0.137 0.186 8 9 10 11 12 13 14 -0.052 -0.012 -0.036 0.027 0.086 -0.013 -0.170 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2vhov1260549247.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/3paio1260549247.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/48fh21260549247.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/5hnqi1260549247.tab") > > system("convert tmp/1rydw1260549247.ps tmp/1rydw1260549247.png") > system("convert tmp/2vhov1260549247.ps tmp/2vhov1260549247.png") > system("convert tmp/3paio1260549247.ps tmp/3paio1260549247.png") > > > proc.time() user system elapsed 0.961 0.477 1.101