R version 3.3.2 (2016-10-31) -- "Sincere Pumpkin Patch"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> y <- c(1184000000,1108991492,1405554905,1372647399,1286065435,1289115681)
> x <- c(17914000,51170000,119966000,24928000,61152000,45617000)
> par8 = '1'
> par7 = '0'
> par6 = '1'
> par5 = '2.0'
> par4 = '1'
> par3 = '1'
> par2 = '0'
> par1 = '1'
> ylab = 'y'
> xlab = 'x'
> par8 <- '1'
> par7 <- '0'
> par6 <- '1'
> par5 <- '2.0'
> par4 <- '1'
> par3 <- '1'
> 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]  33256000  68796000 -95038000  36224000 -15535000
> y
[1] -8.599694e+16  3.728612e+17 -4.571185e+16 -1.150983e+17  3.927468e+15
> (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      1                 
2      2 -1 0.6347 0.5717
> (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      1                 
2      2 -1 1.6829 0.4181
> postscript(file="/var/wessaorg/rcomp/tmp/1uwif1489266089.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

    -4     -3     -2     -1      0      1      2      3      4 
-0.022 -0.125 -0.222  0.583  0.465 -0.680 -0.052  0.014  0.029 
> (r <- ccf(x,y,main='Cross Correlation Function (transformed and differenced)',ylab='CCF',xlab='Lag (k)'))

Autocorrelations of series 'X', by lag

    -3     -2     -1      0      1      2      3 
-0.105 -0.171  0.366  0.437 -0.812  0.461 -0.212 
> par(op)
> dev.off()
null device 
          1 
> postscript(file="/var/wessaorg/rcomp/tmp/2408s1489266089.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/3164z1489266089.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$Pr[2])
> a<-table.row.end(a)
> a<-table.end(a)
> table.save(a,file="/var/wessaorg/rcomp/tmp/4rr4c1489266089.tab") 
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a,'Granger Causality Test: X = f(Y)',5,TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a,'Model',header=TRUE)
> a<-table.element(a,'Res.DF',header=TRUE)
> a<-table.element(a,'Diff. DF',header=TRUE)
> a<-table.element(a,'F',header=TRUE)
> a<-table.element(a,'p-value',header=TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a,'Complete model',header=TRUE)
> a<-table.element(a,gxy$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/5eyvk1489266089.tab") 
> 
> try(system("convert tmp/1uwif1489266089.ps tmp/1uwif1489266089.png",intern=TRUE))
character(0)
> try(system("convert tmp/2408s1489266089.ps tmp/2408s1489266089.png",intern=TRUE))
character(0)
> try(system("convert tmp/3164z1489266089.ps tmp/3164z1489266089.png",intern=TRUE))
character(0)
> 
> 
> proc.time()
   user  system elapsed 
  1.302   0.096   1.427