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Type 'q()' to quit R. > y <- c(47,55,55,51,55,58,49,52,52,57,61,61,32,43,54,81,72,69,30,53,57,64,71,65,59,68,70,75,74,68,62,56,55,74,58,72,63,68,55,71,79,74,75,69,63,88,68,89,63,74,63,79,80,77,96,88,56,74,82,69) > x <- c(280,557,831,1081,1318,1578,1859,2141,2428,2715,3004,3309,269,537,813,1068,1411,1675,1958,2242,2524,2836,3143,3522,285,574,865,1147,1516,1789,2087,2372,2669,2966,3270,3652,329,658,988,1303,1603,1929,2235,2544,2872,3198,3544,3903,332,665,1001,1329,1639,1975,2304,2640,2992,3330,3690,4063) > 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#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] 279 556 830 1080 1317 1577 1858 2140 2427 2714 3003 3308 268 536 812 [16] 1067 1410 1674 1957 2241 2523 2835 3142 3521 284 573 864 1146 1515 1788 [31] 2086 2371 2668 2965 3269 3651 328 657 987 1302 1602 1928 2234 2543 2871 [46] 3197 3543 3902 331 664 1000 1328 1638 1974 2303 2639 2991 3329 3689 4062 > y [1] 46 54 54 50 54 57 48 51 51 56 60 60 31 42 53 80 71 68 29 52 56 63 70 64 58 [26] 67 69 74 73 67 61 55 54 73 57 71 62 67 54 70 78 73 74 68 62 87 67 88 62 73 [51] 62 78 79 76 95 87 55 73 81 68 > (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 0.3705 0.7746 > (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 0.4686 0.7055 > postscript(file="/var/www/html/rcomp/tmp/120sp1260560303.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 -0.010 0.039 0.212 0.116 0.089 -0.023 0.179 0.212 0.249 0.178 0.034 -3 -2 -1 0 1 2 3 4 5 6 7 -0.110 0.009 0.071 0.306 0.183 0.152 0.014 0.179 0.237 0.323 0.226 8 9 10 11 12 13 14 0.064 -0.095 -0.018 0.026 0.244 0.121 0.087 > (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 -0.010 0.039 0.212 0.116 0.089 -0.023 0.179 0.212 0.249 0.178 0.034 -3 -2 -1 0 1 2 3 4 5 6 7 -0.110 0.009 0.071 0.306 0.183 0.152 0.014 0.179 0.237 0.323 0.226 8 9 10 11 12 13 14 0.064 -0.095 -0.018 0.026 0.244 0.121 0.087 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2djs81260560303.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/30f2u1260560303.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/4y5y21260560303.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/5u2xk1260560303.tab") > > system("convert tmp/120sp1260560303.ps tmp/120sp1260560303.png") > system("convert tmp/2djs81260560303.ps tmp/2djs81260560303.png") > system("convert tmp/30f2u1260560303.ps tmp/30f2u1260560303.png") > > > proc.time() user system elapsed 0.943 0.481 1.062