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Author's title

Author

*Unverified author*

R Software Module

rwasp_grangercausality.wasp

Title produced by software

Bivariate Granger Causality

Date of computation

Sun, 08 Sep 2013 23:40:23 -0400

Cite this page as follows

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2013/Sep/08/t1378698481tie96m7z2iwodfi.htm/, Retrieved Fri, 03 May 2024 19:36:08 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=211394, Retrieved Fri, 03 May 2024 19:36:08 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

176

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

-       [Bivariate Granger Causality] [test] [2013-09-09 03:40:23] [d41d8cd98f00b204e9800998ecf8427e] [Current]

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Dataseries X:

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Histogram

Boxplots

14.20
18.40
16.60
14.60
17.70
9.90
5.50
13.60
5.90
3.90
6.20
6.30
3.70
6.30
3.70
5.60
8.70
10.10
13.10
10.20
2.40
5.90
4.30
6.40
5.10
7.60
5.00
6.20
2.90
2.90
-5.60
-12.70
-13.00
-15.00
-23.80
-24.00
-23.30
-35.50
-36.80
-57.10
-69.60
-83.50
-78.30
-72.30
-70.70
-56.00
-49.20
-48.40
-51.90
-51.90
-51.40
-36.90
-30.00
-17.90
-28.20
-22.80
-32.90
-50.10
-31.60
-43.90
-40.70
-36.40
-31.10
-28.80
-10.20
2.70
6.40
10.80
19.80
23.00
15.20
23.20
41.70
43.40
38.70
35.60
27.00
15.30
29.70
26.00
33.50
32.60
23.40
27.30
14.90
12.90
23.10
15.10
13.80
16.90
15.00
16.70
13.50
16.30
22.40
16.30
11.40
14.90
0.10
17.90
17.30
12.20
9.80
5.10
6.80
5.20
-2.70
2.00
-2.30
4.10
6.20
-7.10
-7.10
-9.70
-17.60
-19.60
-33.10
-47.90
-51.60
-61.90
-64.50

Dataseries Y:

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Histogram

2.64
2.49
2.79
2.54
2.42
2.39
2.42
2.30
2.46
2.43
2.50
2.34
2.38
2.52
2.38
2.37
2.53
2.53
2.49
2.57
2.34
2.63
2.55
2.56
2.31
2.21
2.06
2.00
1.67
1.62
1.49
1.28
1.24
0.85
0.42
0.22
0.15
-0.06
-0.18
-0.46
-0.70
-1.09
-1.33
-1.41
-1.56
-1.56
-1.41
-1.39
-1.25
-1.23
-1.12
-0.98
-0.64
-0.41
-0.41
-0.23
-0.25
-0.40
-0.37
-0.37
-0.42
-0.33
-0.35
-0.23
-0.17
-0.17
0.05
0.10
0.26
0.68
0.91
1.15
1.21
1.23
1.36
1.39
1.50
1.54
1.55
1.52
1.68
1.52
1.60
1.50
1.62
1.88
1.93
1.86
1.65
1.86
1.88
1.98
2.04
2.14
2.00
1.89
1.76
1.64
1.62
1.69
1.63
1.53
1.54
1.50
1.33
1.26
1.18
1.27
1.27
1.09
0.94
0.88
0.94
0.87
0.81
0.65
0.52
0.33
0.12
-0.12
-0.30

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	4 seconds
R Server	'Herman Ole Andreas Wold' @ wold.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 & 'Herman Ole Andreas Wold' @ wold.wessa.net \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=211394&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]'Herman Ole Andreas Wold' @ wold.wessa.net[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=211394&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=211394&T=0

As an alternative you can also use a QR Code:

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

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	4 seconds
R Server	'Herman Ole Andreas Wold' @ wold.wessa.net

Granger Causality Test: Y = f(X)
Model	Res.DF	Diff. DF	F	p-value
Complete model	114
Reduced model	116	-2	8.30417739793685	0.000429765815871364

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 114 &  &  &  \tabularnewline
Reduced model & 116 & -2 & 8.30417739793685 & 0.000429765815871364 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=211394&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]114[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]116[/C][C]-2[/C][C]8.30417739793685[/C][C]0.000429765815871364[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=211394&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=211394&T=1

As an alternative you can also use a QR Code:

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

Granger Causality Test: Y = f(X)
Model	Res.DF	Diff. DF	F	p-value
Complete model	114
Reduced model	116	-2	8.30417739793685	0.000429765815871364

Granger Causality Test: X = f(Y)
Model	Res.DF	Diff. DF	F	p-value
Complete model	114
Reduced model	116	-2	3.38371338464012	0.0373626093985287

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 114 &  &  &  \tabularnewline
Reduced model & 116 & -2 & 3.38371338464012 & 0.0373626093985287 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=211394&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]114[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]116[/C][C]-2[/C][C]3.38371338464012[/C][C]0.0373626093985287[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=211394&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=211394&T=2

As an alternative you can also use a QR Code:

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

Granger Causality Test: X = f(Y)
Model	Res.DF	Diff. DF	F	p-value
Complete model	114
Reduced model	116	-2	3.38371338464012	0.0373626093985287

Figure 1

PNG link

Postscript link

PDF link

Figure 2

PNG link

Postscript link

PDF link

Figure 3

PNG link

Postscript link

PDF link

Parameters (Session):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 2 ;

Parameters (R input):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 2 ;

R code (references can be found in the software module):

par8 <- '6'
par7 <- '0'
par6 <- '0'
par5 <- '1'
par4 <- '1'
par3 <- '0'
par2 <- '0'
par1 <- '1'
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')

Free Statistics

Description of Statistical Computation

Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code