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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 computationThu, 10 Dec 2009 09:14:36 -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/10/t1260461730klsd9yeqs3oj2al.htm/, Retrieved Wed, 24 Apr 2024 06:33:53 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=65545, Retrieved Wed, 24 Apr 2024 06:33:53 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact147

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 09:01:47] [b98453cac15ba1066b407e146608df68]
- R PD    [Bivariate Granger Causality] [g] [2009-12-10 16:14:36] [950726a732ba3ca782ecb1a5307d0f6f] [Current]
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
12002.4
15525.5
14247.9
15000.7
14931.4
13333.7
14711.2
17197.3
14985.2
14734.4
15937.8
13028.1
13836.8
16677.5
15130
17504
16979.9
16012.5
16247.7
19268.2
15533
16803.3
17396.1
15155.4
15692.4
18063.7
17568.6
18154.3
15467.4
16956.1
16854
19396.4
16457.6
17284.5
18395.3
16938.7
16414.3
18173.4
19919.7
19623.8
17228.1
18730.3
19039.1
19413.3
20013.6
17917.2
21270.3
18766.1
16790.8
19960.6
19586.7
17179
14964.9
13918.5
14401.3
15994.6
14521.1
13746.5
15956
14332.2
Dataseries Y:
Download CSV
Histogram 
13132.1
17665.9
16913
17318.8
16224.2
15469.6
16557.5
19414.8
17335
16525.2
18160.4
15553.8
15262.2
18581
17564.1
18948.6
17187.8
17564.8
17668.4
20811.7
17257.8
18984.2
20532.6
17082.3
16894.9
20274.9
20078.6
19900.9
17012.2
19642.9
19024
21691
18835.9
19873.4
21468.2
19406.8
18385.3
20739.3
22268.3
21569
17514.8
21124.7
21251
21393
22145.2
20310.5
23466.9
21264.6
18388.1
22635.4
22014.3
18422.7
16120.2
16037.7
16410.7
17749.8
16349.8
15662.3
17782.3
16398.9

Tables (Output of Computation)





Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 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 & 1 seconds \tabularnewline
R Server & 'Gwilym Jenkins' @ 72.249.127.135 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=65545&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]1 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=65545&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=65545&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 time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135






Granger Causality Test: Y = f(X)
ModelRes.DFDiff. DFFp-value
Complete model24
Reduced model35-110.8646778036910450.583644613536836

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 24 &  &  &  \tabularnewline
Reduced model & 35 & -11 & 0.864677803691045 & 0.583644613536836 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=65545&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]24[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]35[/C][C]-11[/C][C]0.864677803691045[/C][C]0.583644613536836[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=65545&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=65545&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 model24
Reduced model35-110.8646778036910450.583644613536836






Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model24
Reduced model35-111.813484126065570.107859617433124

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 24 &  &  &  \tabularnewline
Reduced model & 35 & -11 & 1.81348412606557 & 0.107859617433124 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=65545&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]24[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]35[/C][C]-11[/C][C]1.81348412606557[/C][C]0.107859617433124[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=65545&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=65545&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 model24
Reduced model35-111.813484126065570.107859617433124


Figures (Output of Computation)

Input Parameters & R Code

Parameters (Session):
par1 = 1 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 1 ; par6 = 1 ; par7 = 1 ; par8 = 11 ;
Parameters (R input):
par1 = 1 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 1 ; par6 = 1 ; par7 = 1 ; 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')