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Type 'q()' to quit R. > y <- c(1773.122987,1755.738671,1815.326624,1864.514879,1950.424506,2058.263335,2172.024891,2218.026029,2312.131495,2471.493,2521.343487,2597.585514,2651.132215,2812.617539,2986.81924,3213.061525,3457.058429,3739.273928,3828.350847,4094.456722,4452.925168,4685.863732,4861.063358,5131.82638,5438.616195) > x <- c(12.4,10.0,9.2,9.2,9.7,10.4,10.4,11.8,12.0,13.8,13.9,13.9,13.9,15.1,18.4,20.7,21.2,24.7,28.4,32.9,38.6,40.8,38.0,37.6,39.9) > par8 = '1' > par7 = '0' > par6 = '0' > par5 = '1' > par4 = '1' > par3 = '0' > par2 = '0' > par1 = '1' > ylab = 'GDP' > xlab = 'def exp' > 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] 11.4 9.0 8.2 8.2 8.7 9.4 9.4 10.8 11.0 12.8 12.9 12.9 12.9 14.1 17.4 [16] 19.7 20.2 23.7 27.4 31.9 37.6 39.8 37.0 36.6 38.9 > y [1] 1772.123 1754.739 1814.327 1863.515 1949.425 2057.263 2171.025 2217.026 [9] 2311.131 2470.493 2520.343 2596.586 2650.132 2811.618 2985.819 3212.062 [17] 3456.058 3738.274 3827.351 4093.457 4451.925 4684.864 4860.063 5130.826 [25] 5437.616 > (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 21 2 22 -1 1.15 0.2957 > (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 21 2 22 -1 6.2503 0.02078 * --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 > postscript(file="/var/wessaorg/rcomp/tmp/1znny1462993044.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 -0.165 -0.092 -0.019 0.076 0.190 0.325 0.489 0.653 0.776 0.877 0.977 1 2 3 4 5 6 7 8 9 10 0.873 0.759 0.644 0.525 0.404 0.296 0.195 0.097 0.010 -0.062 > (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 -0.165 -0.092 -0.019 0.076 0.190 0.325 0.489 0.653 0.776 0.877 0.977 1 2 3 4 5 6 7 8 9 10 0.873 0.759 0.644 0.525 0.404 0.296 0.195 0.097 0.010 -0.062 > par(op) > dev.off() null device 1 > postscript(file="/var/wessaorg/rcomp/tmp/22e7c1462993044.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/3lx4t1462993044.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/4jpbd1462993044.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/5xj9b1462993044.tab") > > try(system("convert tmp/1znny1462993044.ps tmp/1znny1462993044.png",intern=TRUE)) character(0) > try(system("convert tmp/22e7c1462993044.ps tmp/22e7c1462993044.png",intern=TRUE)) character(0) > try(system("convert tmp/3lx4t1462993044.ps tmp/3lx4t1462993044.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.179 0.226 1.410