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Type 'q()' to quit R. > y <- c(6.3,6.2,6.1,6.3,6.5,6.6,6.5,6.2,6.2,5.9,6.1,6.1,6.1,6.1,6.1,6.4,6.7,6.9,7,7,6.8,6.4,5.9,5.5,5.5,5.6,5.8,5.9,6.1,6.1,6,6,5.9,5.5,5.6,5.4,5.2,5.2,5.2,5.5,5.8,5.8,5.5,5.3,5.1,5.2,5.8,5.8,5.5,5,4.9,5.3,6.1,6.5,6.8,6.6,6.4,6.4) > x <- c(8.9,8.2,7.6,7.7,8.1,8.3,8.3,7.9,7.8,8,8.5,8.6,8.5,8,7.8,8,8.2,8.3,8.2,8.1,8,7.8,7.8,7.7,7.6,7.6,7.6,7.8,8,8,7.9,7.7,7.4,6.9,6.7,6.5,6.4,6.7,6.8,6.9,6.9,6.7,6.4,6.2,5.9,6.1,6.7,6.8,6.6,6.4,6.4,6.7,7.1,7.1,6.9,6.4,6,6) > 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#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] 7.9 7.2 6.6 6.7 7.1 7.3 7.3 6.9 6.8 7.0 7.5 7.6 7.5 7.0 6.8 7.0 7.2 7.3 7.2 [20] 7.1 7.0 6.8 6.8 6.7 6.6 6.6 6.6 6.8 7.0 7.0 6.9 6.7 6.4 5.9 5.7 5.5 5.4 5.7 [39] 5.8 5.9 5.9 5.7 5.4 5.2 4.9 5.1 5.7 5.8 5.6 5.4 5.4 5.7 6.1 6.1 5.9 5.4 5.0 [58] 5.0 > y [1] 5.3 5.2 5.1 5.3 5.5 5.6 5.5 5.2 5.2 4.9 5.1 5.1 5.1 5.1 5.1 5.4 5.7 5.9 6.0 [20] 6.0 5.8 5.4 4.9 4.5 4.5 4.6 4.8 4.9 5.1 5.1 5.0 5.0 4.9 4.5 4.6 4.4 4.2 4.2 [39] 4.2 4.5 4.8 4.8 4.5 4.3 4.1 4.2 4.8 4.8 4.5 4.0 3.9 4.3 5.1 5.5 5.8 5.6 5.4 [58] 5.4 > (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 24 2 35 -11 1.1966 0.3405 > (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 24 2 35 -11 1.3601 0.2537 > postscript(file="/var/www/html/rcomp/tmp/1u19m1260558204.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 -0.008 -0.005 0.011 0.045 0.094 0.145 0.214 0.270 0.321 0.352 0.378 -3 -2 -1 0 1 2 3 4 5 6 7 0.428 0.499 0.572 0.592 0.517 0.426 0.397 0.453 0.544 0.611 0.593 8 9 10 11 12 13 14 0.536 0.501 0.514 0.543 0.529 0.424 0.295 > (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 -0.008 -0.005 0.011 0.045 0.094 0.145 0.214 0.270 0.321 0.352 0.378 -3 -2 -1 0 1 2 3 4 5 6 7 0.428 0.499 0.572 0.592 0.517 0.426 0.397 0.453 0.544 0.611 0.593 8 9 10 11 12 13 14 0.536 0.501 0.514 0.543 0.529 0.424 0.295 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2g89a1260558204.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/343ci1260558204.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/4t5vi1260558204.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/536401260558204.tab") > > system("convert tmp/1u19m1260558204.ps tmp/1u19m1260558204.png") > system("convert tmp/2g89a1260558204.ps tmp/2g89a1260558204.png") > system("convert tmp/343ci1260558204.ps tmp/343ci1260558204.png") > > > proc.time() user system elapsed 0.983 0.474 1.121