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Description of Statistical Computation

Author's title

Author*Unverified author*
R Software Modulerwasp_grangercausality.wasp
Title produced by softwareBivariate Granger Causality
Date of computationFri, 22 Feb 2013 15:53:29 -0500
Cite this page as followsStatistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2013/Feb/22/t1361566487dwl1ti8v2tqb9ks.htm/, Retrieved Sat, 04 May 2024 04:21:00 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=206860, Retrieved Sat, 04 May 2024 04:21:00 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact111

Tree of Dependent Computations

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
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907.84
896.78
930.09
952.77
852.3
806.58
887.68
870.74
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904.42
868.15
903.25
906.65
842.62
840.24
874.09
832.23
833.74
788.42
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712.87
721.36
794.35
813.88
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852.06
843.55
873.64
919.53
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893.06
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910.71
900.94
923.33
879.56
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954.07
975.15
1002.72
1005.81
996.46
1028.12
994.75
1033.37
1068.76
1060.87
1057.08
1057.58
1092.02
1081.4
1042.63
1046.5
1098.51
1109.8
1110.63
1109.24
1095.95
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1120.59
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1099.51
1105.24
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1166.21
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1210.65
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1191.36
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1067.95
1098.38
1055.69
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1092.04
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1095.17
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1106.13
1127.24
1089.47
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1055.33
1080.29
1098.87
1125.07
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1159.97
1178.1
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1182.45
1197.96
1218.71
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1198.35
1206.07
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1235.23
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1276.56
1285.96
1281.92
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1304.03
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1336.32
1307.4
1308.44
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1256.88
1297.54
1328.26
1335.54
1314.41
1330.36
1355.66
1347.32
1342.08
1340.68
1320.47
1314.55
1279.56
1265.42
1287.14
1307.41
1339.22
1317.72
1325.84
1304.89
1260.34
1120.76
1193.89
1177.6
1218.89
1198.62
1188.68
1166.76
1151.06
1144.03
1207.25
1209.88
1242
1237.9
1229.1
1236.91
1161.79
1246.96
1261.01
1211.82
1243.72
1249.64
1277.3
1292.48
1308.04
1326.06
1324.09
1349.96
1343.23
1357.66
1365.68
1352.63
1394.28
1402.89
1405.54
1398.96
1368.71
1385.14
1390.69
1402.31
1354.58
1324.8
1318.86
1313.32
1315.13
1314.88
1355.69
1331.85
1367.58
1341.45
1372.78
1337.89
1375.32
1402.22
1405.53
1413.49
1410.49
1403.44
1436.56
1461.05
1433.32
1450.99
1432.56
1460.91
1408.75
1412.16
1394.53
1355.49
1391.03
1409.93
1409.28
1428.48
1435.81
1419.83
1462.42
1461.02
1472.63
1494.81
1501.96
1512.12
1520.33
1511.95
Dataseries Y:
Download CSV
Histogram 
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Tables (Output of Computation)





Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time4 seconds
R Server'Sir Ronald Aylmer Fisher' @ fisher.wessa.net

\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 & 4 seconds \tabularnewline
R Server & 'Sir Ronald Aylmer Fisher' @ fisher.wessa.net \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=206860&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]4 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'Sir Ronald Aylmer Fisher' @ fisher.wessa.net[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=206860&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=206860&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 time4 seconds
R Server'Sir Ronald Aylmer Fisher' @ fisher.wessa.net






Granger Causality Test: Y = f(X)
ModelRes.DFDiff. DFFp-value
Complete model225
Reduced model226-120.33022037588951.04865717194437e-05

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 225 &  &  &  \tabularnewline
Reduced model & 226 & -1 & 20.3302203758895 & 1.04865717194437e-05 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=206860&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]225[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]226[/C][C]-1[/C][C]20.3302203758895[/C][C]1.04865717194437e-05[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=206860&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=206860&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 model225
Reduced model226-120.33022037588951.04865717194437e-05






Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model225
Reduced model226-16.939040865420850.00901900891536227

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 225 &  &  &  \tabularnewline
Reduced model & 226 & -1 & 6.93904086542085 & 0.00901900891536227 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=206860&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]225[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]226[/C][C]-1[/C][C]6.93904086542085[/C][C]0.00901900891536227[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=206860&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=206860&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 model225
Reduced model226-16.939040865420850.00901900891536227


Figures (Output of Computation)

Input Parameters & R Code

Parameters (Session):
par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 1 ;
Parameters (R input):
par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 1 ;
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')