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Type 'q()' to quit R. > y <- c(267413,267366,264777,258863,254844,254868,277267,285351,286602,283042,276687,277915,277128,277103,275037,270150,267140,264993,287259,291186,292300,288186,281477,282656,280190,280408,276836,275216,274352,271311,289802,290726,292300,278506,269826,265861,269034,264176,255198,253353,246057,235372,258556,260993,254663,250643,243422,247105,248541,245039,237080,237085,225554,226839,247934,248333,246969,245098,246263,255765,264319,268347,273046,273963,267430,271993,292710) > x <- c(294912,293488,290555,284736,281818,287854,316263,325412,326011,328282,317480,317539,313737,312276,309391,302950,300316,304035,333476,337698,335932,323931,313927,314485,313218,309664,302963,298989,298423,301631,329765,335083,327616,309119,295916,291413,291542,284678,276475,272566,264981,263290,296806,303598,286994,276427,266424,267153,268381,262522,255542,253158,243803,250741,280445,285257,270976,261076,255603,260376,263903,264291,263276,262572,256167,264221,293860) > par8 = '11' > par7 = '1' > par6 = '1' > par5 = '1' > par4 = '12' > par3 = '1' > 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#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] -37 48 -622 284 -2317 1032 -4927 -2365 -14272 798 [11] 499 2535 -2093 -3816 2467 2068 -511 -1307 1096 -5701 [21] -6496 -3199 -5061 1396 -3310 -1502 65 -7019 -4899 5382 [31] 1474 -9137 7930 3200 5232 1099 1005 1223 1525 -1770 [41] 8629 -3812 -1980 2323 667 4530 4044 2299 6247 5965 [51] 1680 2950 1116 -65 > y [1] 22 523 1027 1009 -2171 -133 -4157 -137 -554 -354 -49 -1679 [13] 243 -1506 3267 2146 -894 -3775 -3003 460 -9680 -1971 -5144 5639 [25] -5076 -5406 -225 -6432 -7644 4693 1513 -7904 9774 1459 7648 -1737 [37] 1356 1019 1850 -4235 11970 -2089 -2038 4966 2149 8386 5819 7118 [49] 7530 12658 912 4998 3278 -378 > (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 20 2 31 -11 0.3956 0.9418 > (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 20 2 31 -11 1.1739 0.3628 > postscript(file="/var/www/html/rcomp/tmp/1ile91261079027.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 -4 -3 0.022 0.114 0.234 0.349 0.324 0.259 0.251 0.291 0.370 0.434 0.458 0.469 0.525 -2 -1 0 1 2 3 4 5 6 7 8 9 10 0.626 0.753 0.845 0.744 0.620 0.561 0.553 0.584 0.597 0.567 0.520 0.514 0.553 11 12 13 14 15 0.603 0.585 0.418 0.246 0.139 > (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 0.226 -0.011 0.158 0.281 -0.045 0.113 0.218 0.029 0.090 0.161 0.192 -3 -2 -1 0 1 2 3 4 5 6 7 0.278 0.140 0.168 0.790 0.106 0.321 0.338 0.166 -0.011 0.177 0.004 8 9 10 11 12 13 14 0.058 -0.034 -0.037 0.219 -0.188 -0.014 0.076 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2ht5a1261079027.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/3wsnw1261079027.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/4r2md1261079027.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/5fmy31261079027.tab") > try(system("convert tmp/1ile91261079027.ps tmp/1ile91261079027.png",intern=TRUE)) character(0) > try(system("convert tmp/2ht5a1261079027.ps tmp/2ht5a1261079027.png",intern=TRUE)) character(0) > try(system("convert tmp/3wsnw1261079027.ps tmp/3wsnw1261079027.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 0.949 0.526 2.223