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Type 'q()' to quit R. > y <- c(627,696,825,677,656,785,412,352,839,729,696,641,695,638,762,635,721,854,418,367,824,687,601,676,740,691,683,594,729,731,386,331,707,715,657,653,642,643,718,654,632,731,392,344,792,852,649,629,685,617,715,715,629,916,531,357,917,828,708,858,775,785,1006,789,734,906,532,387,991,841) > x <- c(2350.44,2440.25,2408.64,2472.81,2407.6,2454.62,2448.05,2497.84,2645.64,2756.76,2849.27,2921.44,2981.85,3080.58,3106.22,3119.31,3061.26,3097.31,3161.69,3257.16,3277.01,3295.32,3363.99,3494.17,3667.03,3813.06,3917.96,3895.51,3801.06,3570.12,3701.61,3862.27,3970.1,4138.52,4199.75,4290.89,4443.91,4502.64,4356.98,4591.27,4696.96,4621.4,4562.84,4202.52,4296.49,4435.23,4105.18,4116.68,3844.49,3720.98,3674.4,3857.62,3801.06,3504.37,3032.6,3047.03,2962.34,2197.82,2014.45,1862.83,1905.41,1810.99,1670.07,1864.44,2052.02,2029.6,2070.83,2293.41,2443.27,2513.17) > par8 = '3' > 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/ > #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] 89.81 -31.61 64.17 -65.21 47.02 -6.57 49.79 147.80 111.12 [10] 92.51 72.17 60.41 98.73 25.64 13.09 -58.05 36.05 64.38 [19] 95.47 19.85 18.31 68.67 130.18 172.86 146.03 104.90 -22.45 [28] -94.45 -230.94 131.49 160.66 107.83 168.42 61.23 91.14 153.02 [37] 58.73 -145.66 234.29 105.69 -75.56 -58.56 -360.32 93.97 138.74 [46] -330.05 11.50 -272.19 -123.51 -46.58 183.22 -56.56 -296.69 -471.77 [55] 14.43 -84.69 -764.52 -183.37 -151.62 42.58 -94.42 -140.92 194.37 [64] 187.58 -22.42 41.23 222.58 149.86 69.90 > y [1] 69 129 -148 -21 129 -373 -60 487 -110 -33 -55 54 -57 124 -127 [16] 86 133 -436 -51 457 -137 -86 75 64 -49 -8 -89 135 2 -345 [31] -55 376 8 -58 -4 -11 1 75 -64 -22 99 -339 -48 448 60 [46] -203 -20 56 -68 98 0 -86 287 -385 -174 560 -89 -120 150 -83 [61] 10 221 -217 -55 172 -374 -145 604 -150 > (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 59 2 62 -3 1.1517 0.3359 > (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 59 2 62 -3 0.6716 0.5729 > postscript(file="/var/www/html/rcomp/tmp/19ax11260914949.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 -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 0.091 0.085 0.089 0.068 0.019 -0.018 -0.027 -0.085 -0.101 -0.106 -0.143 -4 -3 -2 -1 0 1 2 3 4 5 6 -0.186 -0.240 -0.256 -0.233 -0.246 -0.269 -0.240 -0.254 -0.273 -0.255 -0.238 7 8 9 10 11 12 13 14 15 -0.194 -0.175 -0.195 -0.151 -0.089 -0.092 -0.094 -0.062 -0.054 > (r <- ccf(x,y,main='Cross Correlation Function (transformed and differenced)',ylab='CCF',xlab='Lag (k)')) Autocorrelations of series 'X', by lag -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -0.137 0.003 0.021 0.109 -0.075 -0.109 0.134 0.012 -0.050 0.001 0.063 -4 -3 -2 -1 0 1 2 3 4 5 6 0.040 -0.181 -0.091 0.167 0.069 -0.150 -0.020 0.065 -0.027 -0.051 -0.083 7 8 9 10 11 12 13 14 15 0.161 0.083 -0.244 -0.035 0.196 0.038 -0.101 -0.075 0.038 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2a8lj1260914949.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/307st1260914949.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/44r4g1260914950.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/5v5za1260914950.tab") > > try(system("convert tmp/19ax11260914949.ps tmp/19ax11260914949.png",intern=TRUE)) character(0) > try(system("convert tmp/2a8lj1260914949.ps tmp/2a8lj1260914949.png",intern=TRUE)) character(0) > try(system("convert tmp/307st1260914949.ps tmp/307st1260914949.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 0.946 0.500 1.318