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Type 'q()' to quit R. > y <- c(98.2,98.7,113.3,104.6,99.3,111.8,97.3,97.7,115.6,111.9,107.0,107.1,100.6,99.2,108.4,103.0,99.8,115.0,90.8,95.9,114.4,108.2,112.6,109.1,105.0,105.0,118.5,103.7,112.5,116.6,96.6,101.9,116.5,119.3,115.4,108.5,111.5,108.8,121.8,109.6,112.2,119.6,104.1,105.3,115.0,124.1,116.8,107.5,115.6,116.2,116.3,119.0,111.9,118.6,106.9,103.2,118.6,118.7,102.8,100.6) > x <- c(95.1,97.0,112.7,102.9,97.4,111.4,87.4,96.8,114.1,110.3,103.9,101.6,94.6,95.9,104.7,102.8,98.1,113.9,80.9,95.7,113.2,105.9,108.8,102.3,99.0,100.7,115.5,100.7,109.9,114.6,85.4,100.5,114.8,116.5,112.9,102.0,106.0,105.3,118.8,106.1,109.3,117.2,92.5,104.2,112.5,122.4,113.3,100.0,110.7,112.8,109.8,117.3,109.1,115.9,96.0,99.8,116.8,115.7,99.4,94.3) > par8 = '6' > 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] 94.1 96.0 111.7 101.9 96.4 110.4 86.4 95.8 113.1 109.3 102.9 100.6 [13] 93.6 94.9 103.7 101.8 97.1 112.9 79.9 94.7 112.2 104.9 107.8 101.3 [25] 98.0 99.7 114.5 99.7 108.9 113.6 84.4 99.5 113.8 115.5 111.9 101.0 [37] 105.0 104.3 117.8 105.1 108.3 116.2 91.5 103.2 111.5 121.4 112.3 99.0 [49] 109.7 111.8 108.8 116.3 108.1 114.9 95.0 98.8 115.8 114.7 98.4 93.3 > y [1] 97.2 97.7 112.3 103.6 98.3 110.8 96.3 96.7 114.6 110.9 106.0 106.1 [13] 99.6 98.2 107.4 102.0 98.8 114.0 89.8 94.9 113.4 107.2 111.6 108.1 [25] 104.0 104.0 117.5 102.7 111.5 115.6 95.6 100.9 115.5 118.3 114.4 107.5 [37] 110.5 107.8 120.8 108.6 111.2 118.6 103.1 104.3 114.0 123.1 115.8 106.5 [49] 114.6 115.2 115.3 118.0 110.9 117.6 105.9 102.2 117.6 117.7 101.8 99.6 > (gyx <- grangertest(y ~ x, order=par8)) Granger causality test Model 1: ~ Lags(, 1:6) + Lags(, 1:6) Model 2: ~ Lags(, 1:6) Res.Df Df F Pr(>F) 1 41 2 47 -6 6.7779 4.827e-05 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 > (gxy <- grangertest(x ~ y, order=par8)) Granger causality test Model 1: ~ Lags(, 1:6) + Lags(, 1:6) Model 2: ~ Lags(, 1:6) Res.Df Df F Pr(>F) 1 41 2 47 -6 7.3837 2.134e-05 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 > postscript(file="/var/www/html/rcomp/tmp/1mziw1260795318.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 -0.216 0.096 0.604 0.018 -0.171 0.065 -0.021 0.199 0.333 0.193 0.082 -3 -2 -1 0 1 2 3 4 5 6 7 0.138 -0.164 0.239 0.957 0.034 -0.136 0.208 0.033 0.244 0.349 0.147 8 9 10 11 12 13 14 -0.005 0.011 -0.171 0.203 0.617 -0.063 -0.180 > (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 -0.216 0.096 0.604 0.018 -0.171 0.065 -0.021 0.199 0.333 0.193 0.082 -3 -2 -1 0 1 2 3 4 5 6 7 0.138 -0.164 0.239 0.957 0.034 -0.136 0.208 0.033 0.244 0.349 0.147 8 9 10 11 12 13 14 -0.005 0.011 -0.171 0.203 0.617 -0.063 -0.180 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2kjxv1260795318.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/3wp381260795318.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/457o81260795319.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/50fak1260795319.tab") > > try(system("convert tmp/1mziw1260795318.ps tmp/1mziw1260795318.png",intern=TRUE)) character(0) > try(system("convert tmp/2kjxv1260795318.ps tmp/2kjxv1260795318.png",intern=TRUE)) character(0) > try(system("convert tmp/3wp381260795318.ps tmp/3wp381260795318.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 0.900 0.522 5.536