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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

Tue, 21 Jun 2016 16:24:54 +0100

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/2016/Jun/21/t1466522958atmnjqeqx9gdwel.htm/, Retrieved Sun, 28 Apr 2024 04:43:26 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=295773, Retrieved Sun, 28 Apr 2024 04:43:26 +0000

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Original text written by user:

Hey Av This is the result of our tests. The Y value is price The x value is sentiment We seem to have a confirmed correlation as the "P" value is greater than 1 Can we discuss?

IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

155

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

-       [Bivariate Granger Causality] [Data for AV] [2016-06-21 15:24:54] [d41d8cd98f00b204e9800998ecf8427e] [Current]

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Dataseries X:

Download CSV

Histogram

Boxplots

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Dataseries Y:

Download CSV

Histogram

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0.916311037
0.918736804
0.908674363
0.912402857
0.920039531
0.917434078
0.924891065
0.915367683
0.894568977
0.873321055
0.877633529
0.884506536
0.885629576
0.883024123
0.900318943
0.902340416
0.906652891
0.899016217
0.898072863
0.873725349
0.886932303
0.873141368
0.868694129
0.868334756
0.856026234
0.858272315
0.845065361
0.842639594
0.837608373
0.851219622
0.846547774
0.834823233
0.835586901
0.840213827
0.84281928
0.850635641
0.863662908
0.873141368
0.867930461
0.871119896
0.861416828
0.855666861
0.865908989
0.859215669
0.861821122
0.875387449
0.873141368
0.899016217
0.915187997
0.991464894
0.990341853
0.989802794
1

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	2 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 & 2 seconds \tabularnewline
R Server & 'Herman Ole Andreas Wold' @ wold.wessa.net \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=295773&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]'Herman Ole Andreas Wold' @ wold.wessa.net[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=295773&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=295773&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	2 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	520
Reduced model	521	-1	4.74510706349296	0.0298301923027076

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 520 &  &  &  \tabularnewline
Reduced model & 521 & -1 & 4.74510706349296 & 0.0298301923027076 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=295773&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]520[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]521[/C][C]-1[/C][C]4.74510706349296[/C][C]0.0298301923027076[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=295773&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=295773&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	520
Reduced model	521	-1	4.74510706349296	0.0298301923027076

Granger Causality Test: X = f(Y)
Model	Res.DF	Diff. DF	F	p-value
Complete model	520
Reduced model	521	-1	24.2221093151265	1.15412308791993e-06

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 520 &  &  &  \tabularnewline
Reduced model & 521 & -1 & 24.2221093151265 & 1.15412308791993e-06 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=295773&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]520[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]521[/C][C]-1[/C][C]24.2221093151265[/C][C]1.15412308791993e-06[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=295773&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=295773&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	520
Reduced model	521	-1	24.2221093151265	1.15412308791993e-06

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 = 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):

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