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Description of Statistical Computation

Author's title

Author*The author of this computation has been verified*
R Software Modulerwasp_grangercausality.wasp
Title produced by softwareBivariate Granger Causality
Date of computationWed, 09 Dec 2009 09:08:10 -0700
Cite this page as followsStatistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2009/Dec/09/t1260374905ryb1hnpwui0l59w.htm/, Retrieved Mon, 29 Apr 2024 14:41:41 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=65015, Retrieved Mon, 29 Apr 2024 14:41:41 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact90

Tree of Dependent Computations

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
-     [Bivariate Granger Causality] [] [2009-12-07 08:54:13] [b98453cac15ba1066b407e146608df68]
- R PD    [Bivariate Granger Causality] [] [2009-12-09 16:08:10] [9002751dd674b8c934bf183fdf4510e9] [Current]
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
100.3
101.9
102.1
103.2
103.7
106.2
107.7
109.9
111.7
114.9
116
118.3
120.4
126
128.1
130.1
130.8
133.6
134.2
135.5
136.2
139.1
139
139.6
138.7
140.9
141.3
141.8
142
144.5
144.6
145.5
146.8
149.5
149.9
150.1
150.9
152.8
153.1
154
154.9
156.9
158.4
159.7
160.2
163.2
163.7
164.4
163.7
165.5
165.6
166.8
167.5
170.6
170.9
172
171.8
173.9
174
173.8
173.9
176
176.6
178.2
179.2
181.3
181.8
182.9
183.8
186.3
187.4
189.2
189.7
191.9
192.6
193.7
194.2
197.6
199.3
201.4
203
206.3
207.1
209.8
211.1
215.3
217.4
215.5
210.9
212.6
Dataseries Y:
Download CSV
Histogram 
106370
109375
116476
123297
114813
117925
126466
131235
120546
123791
129813
133463
122987
125418
130199
133016
121454
122044
128313
131556
120027
123001
130111
132524
123742
124931
133646
136557
127509
128945
137191
139716
129083
131604
139413
143125
133948
137116
144864
149277
138796
143258
150034
154708
144888
148762
156500
161088
152772
158011
163318
169969
162269
165765
170600
174681
166364
170240
176150
182056
172218
177856
182253
188090
176863
183273
187969
194650
183036
189516
193805
200499
188142
193732
197126
205140
191751
196700
199784
207360
196101
200824
205743
212489
200810
203683
207286
210910
194915
217920

Tables (Output of Computation)





Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135

\begin{tabular}{lllllllll}
\hline
Summary of computational transaction \tabularnewline
Raw Input & view raw input (R code)  \tabularnewline
Raw Output & view raw output of R engine  \tabularnewline
Computing time & 2 seconds \tabularnewline
R Server & 'Gwilym Jenkins' @ 72.249.127.135 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=65015&T=0

[TABLE]
[ROW][C]Summary of computational transaction[/C][/ROW]
[ROW][C]Raw Input[/C][C]view raw input (R code) [/C][/ROW]
[ROW][C]Raw Output[/C][C]view raw output of R engine [/C][/ROW]
[ROW][C]Computing time[/C][C]2 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'Gwilym Jenkins' @ 72.249.127.135[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=65015&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=65015&T=0

As an alternative you can also use a QR Code:  
QR Code


The GUIDs for individual cells are displayed in the table below:

Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135






Granger Causality Test: Y = f(X)
ModelRes.DFDiff. DFFp-value
Complete model56
Reduced model67-116.212411134115721.45376137402788e-06

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 56 &  &  &  \tabularnewline
Reduced model & 67 & -11 & 6.21241113411572 & 1.45376137402788e-06 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=65015&T=1

[TABLE]
[ROW][C]Granger Causality Test: Y = f(X)[/C][/ROW]
[ROW][C]Model[/C][C]Res.DF[/C][C]Diff. DF[/C][C]F[/C][C]p-value[/C][/ROW]
[ROW][C]Complete model[/C][C]56[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]67[/C][C]-11[/C][C]6.21241113411572[/C][C]1.45376137402788e-06[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=65015&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=65015&T=1

As an alternative you can also use a QR Code:  
QR Code


The GUIDs for individual cells are displayed in the table below:

Granger Causality Test: Y = f(X)
ModelRes.DFDiff. DFFp-value
Complete model56
Reduced model67-116.212411134115721.45376137402788e-06






Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model56
Reduced model67-112.721654523139220.0069315579448239

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 56 &  &  &  \tabularnewline
Reduced model & 67 & -11 & 2.72165452313922 & 0.0069315579448239 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=65015&T=2

[TABLE]
[ROW][C]Granger Causality Test: X = f(Y)[/C][/ROW]
[ROW][C]Model[/C][C]Res.DF[/C][C]Diff. DF[/C][C]F[/C][C]p-value[/C][/ROW]
[ROW][C]Complete model[/C][C]56[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]67[/C][C]-11[/C][C]2.72165452313922[/C][C]0.0069315579448239[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=65015&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=65015&T=2

As an alternative you can also use a QR Code:  
QR Code


The GUIDs for individual cells are displayed in the table below:

Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model56
Reduced model67-112.721654523139220.0069315579448239


Figures (Output of Computation)

Input Parameters & R Code

Parameters (Session):
par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 4 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 11 ;
Parameters (R input):
par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 4 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 11 ;
R code (references can be found in the software module):
library(lmtest)
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
y
(gyx <- grangertest(y ~ x, order=par8))
(gxy <- grangertest(x ~ y, order=par8))
bitmap(file='test1.png')
op <- par(mfrow=c(2,1))
(r <- ccf(ox,oy,main='Cross Correlation Function (raw data)',ylab='CCF',xlab='Lag (k)'))
(r <- ccf(x,y,main='Cross Correlation Function (transformed and differenced)',ylab='CCF',xlab='Lag (k)'))
par(op)
dev.off()
bitmap(file='test2.png')
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()
bitmap(file='test3.png')
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()
load(file='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$Pr[2])
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable1.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Granger Causality Test: X = f(Y)',5,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Model',header=TRUE)
a<-table.element(a,'Res.DF',header=TRUE)
a<-table.element(a,'Diff. DF',header=TRUE)
a<-table.element(a,'F',header=TRUE)
a<-table.element(a,'p-value',header=TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Complete model',header=TRUE)
a<-table.element(a,gxy$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='mytable2.tab')