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Type 'q()' to quit R. > y <- c(0,0,363977000,1541936000,2262343000,2402423000,2795004000,4603478000,3779270000,3556779000,3656343000,3781676000,3638890000,3059060000,2800171000,2500501000,6725937000,13026631000,16261859000,16211596000,12794964000,7189980000,7607503000) > x <- c(22.193,35.025,38.012,38.275,46.083,51.867,43.315,32.661,32.331,39.309,43.956,52.01,67.226,89.282,111.885,148.734,188.24,121.552,136.011,163.161,175.707,179.57,132.343) > par8 = '1' > par7 = '0' > par6 = '0' > par5 = '1' > par4 = '1' > par3 = '0' > par2 = '0' > par1 = '1' > ylab = 'y' > xlab = 'x' > par8 <- '1' > par7 <- '0' > par6 <- '0' > par5 <- '1' > par4 <- '1' > par3 <- '0' > par2 <- '0' > par1 <- '1' > #'GNU S' R Code compiled by R2WASP v. 1.2.327 () > #Author: root > #To cite this work: Wessa P., (2013), Bivariate Granger Causality (v1.0.3) 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 > # > library(lmtest) Loading required package: zoo Attaching package: 'zoo' The following objects are masked from 'package:base': as.Date, 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] 21.193 34.025 37.012 37.275 45.083 50.867 42.315 31.661 31.331 [10] 38.309 42.956 51.010 66.226 88.282 110.885 147.734 187.240 120.552 [19] 135.011 162.161 174.707 178.570 131.343 > y [1] -1 -1 363976999 1541935999 2262342999 2402422999 [7] 2795003999 4603477999 3779269999 3556778999 3656342999 3781675999 [13] 3638889999 3059059999 2800170999 2500500999 6725936999 13026630999 [19] 16261858999 16211595999 12794963999 7189979999 7607502999 > (gyx <- grangertest(y ~ x, order=par8)) Granger causality test Model 1: y ~ Lags(y, 1:1) + Lags(x, 1:1) Model 2: y ~ Lags(y, 1:1) Res.Df Df F Pr(>F) 1 19 2 20 -1 2.9345 0.103 > (gxy <- grangertest(x ~ y, order=par8)) Granger causality test Model 1: x ~ Lags(x, 1:1) + Lags(y, 1:1) Model 2: x ~ Lags(x, 1:1) Res.Df Df F Pr(>F) 1 19 2 20 -1 1.114 0.3044 > postscript(file="/var/wessaorg/rcomp/tmp/1qxwc1461485539.ps",horizontal=F,onefile=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 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 -0.244 -0.190 -0.108 -0.002 0.156 0.313 0.504 0.630 0.688 0.703 0.698 1 2 3 4 5 6 7 8 9 10 0.676 0.648 0.510 0.315 0.138 0.035 0.004 -0.007 -0.037 -0.097 > (r <- ccf(x,y,main='Cross Correlation Function (transformed and differenced)',ylab='CCF',xlab='Lag (k)')) Autocorrelations of series 'X', by lag -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 -0.244 -0.190 -0.108 -0.002 0.156 0.313 0.504 0.630 0.688 0.703 0.698 1 2 3 4 5 6 7 8 9 10 0.676 0.648 0.510 0.315 0.138 0.035 0.004 -0.007 -0.037 -0.097 > par(op) > dev.off() null device 1 > postscript(file="/var/wessaorg/rcomp/tmp/2nxwb1461485539.ps",horizontal=F,onefile=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/wessaorg/rcomp/tmp/3wx3d1461485539.ps",horizontal=F,onefile=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/wessaorg/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/wessaorg/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/wessaorg/rcomp/tmp/4510u1461485539.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/wessaorg/rcomp/tmp/5tsip1461485539.tab") > > try(system("convert tmp/1qxwc1461485539.ps tmp/1qxwc1461485539.png",intern=TRUE)) character(0) > try(system("convert tmp/2nxwb1461485539.ps tmp/2nxwb1461485539.png",intern=TRUE)) character(0) > try(system("convert tmp/3wx3d1461485539.ps tmp/3wx3d1461485539.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.226 0.229 1.459