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Type 'q()' to quit R. > y <- c(126,130,129,128,130,127,130,129,131,132,128,135,136,123,124,130,129,127,126,130,129,133,134,136,136,138,133,131,132,133,136,134,134,136,139,142,142,153,156,160,157,161,160,160,161,160,157,151,151,144,144,127,121,115,114,113,103,96,96,88,89) > x <- c(58,60,63,59,64,69,61,49,44,47,54,42,53,59,63,66,64,64,65,73,71,82,74,80,87,84,75,82,80,83,90,84,85,87,81,72,77,64,58,48,50,48,42,39,34,22,25,32,22,22,12,5,3,5,9,17,19,27,39,45,47) > par8 = '3' > par7 = '0' > par6 = '0' > par5 = '1' > par4 = '1' > 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] 57 59 62 58 63 68 60 48 43 46 53 41 52 58 62 65 63 63 64 72 70 81 73 79 86 [26] 83 74 81 79 82 89 83 84 86 80 71 76 63 57 47 49 47 41 38 33 21 24 31 21 21 [51] 11 4 2 4 8 16 18 26 38 44 46 > y [1] 125 129 128 127 129 126 129 128 130 131 127 134 135 122 123 129 128 126 125 [20] 129 128 132 133 135 135 137 132 130 131 132 135 133 133 135 138 141 141 152 [39] 155 159 156 160 159 159 160 159 156 150 150 143 143 126 120 114 113 112 102 [58] 95 95 87 88 > (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 51 2 54 -3 5.4084 0.002619 ** --- 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 51 2 54 -3 3.7754 0.01599 * --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 > postscript(file="/var/www/html/rcomp/tmp/1th4b1260719978.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 0.565 0.580 0.608 0.624 0.646 0.669 0.680 0.679 0.653 0.591 0.519 -3 -2 -1 0 1 2 3 4 5 6 7 0.439 0.336 0.218 0.094 -0.027 -0.139 -0.234 -0.322 -0.396 -0.453 -0.497 8 9 10 11 12 13 14 -0.519 -0.529 -0.535 -0.526 -0.505 -0.479 -0.451 > (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 0.565 0.580 0.608 0.624 0.646 0.669 0.680 0.679 0.653 0.591 0.519 -3 -2 -1 0 1 2 3 4 5 6 7 0.439 0.336 0.218 0.094 -0.027 -0.139 -0.234 -0.322 -0.396 -0.453 -0.497 8 9 10 11 12 13 14 -0.519 -0.529 -0.535 -0.526 -0.505 -0.479 -0.451 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2zqba1260719978.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/3wco51260719978.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/4zbq51260719978.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/5oor51260719978.tab") > > try(system("convert tmp/1th4b1260719978.ps tmp/1th4b1260719978.png",intern=TRUE)) character(0) > try(system("convert tmp/2zqba1260719978.ps tmp/2zqba1260719978.png",intern=TRUE)) character(0) > try(system("convert tmp/3wco51260719978.ps tmp/3wco51260719978.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 0.948 0.485 1.071