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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 computationThu, 12 May 2016 12:27:49 +0100
Cite this page as followsStatistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2016/May/12/t1463070333n8f84280d2xk6co.htm/, Retrieved Tue, 30 Apr 2024 08:11:08 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=295352, Retrieved Tue, 30 Apr 2024 08:11:08 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact158

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] [mil exp gap] [2016-05-12 11:27:49] [d41d8cd98f00b204e9800998ecf8427e] [Current]
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
12.4	
10.0	
9.2	
9.2	
9.7	
10.4	
10.4	
11.8	
12.0	
13.8	
13.9	
13.9	
13.9	
15.1	
18.4	
20.7	
21.2	
24.7	
28.4	
32.9	
38.6	
40.8	
38.0	
37.6	
39.9
Dataseries Y:
Download CSV
Histogram 
1773.122987	
1755.738671	
1815.326624	
1864.514879	
1950.424506	
2058.263335	
2172.024891	
2218.026029	
2312.131495	
2471.493	
2521.343487	
2597.585514	
2651.132215	
2812.617539	
2986.81924	
3213.061525	
3457.058429	
3739.273928	
3828.350847	
4094.456722	
4452.925168	
4685.863732	
4861.063358	
5131.82638	
5438.616195

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'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 & 2 seconds \tabularnewline
R Server & 'Sir Ronald Aylmer Fisher' @ fisher.wessa.net \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=295352&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]'Sir Ronald Aylmer Fisher' @ fisher.wessa.net[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=295352&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=295352&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'Sir Ronald Aylmer Fisher' @ fisher.wessa.net






Granger Causality Test: Y = f(X)
ModelRes.DFDiff. DFFp-value
Complete model21
Reduced model22-11.150012883372160.295716104020351

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 21 &  &  &  \tabularnewline
Reduced model & 22 & -1 & 1.15001288337216 & 0.295716104020351 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=295352&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]21[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]22[/C][C]-1[/C][C]1.15001288337216[/C][C]0.295716104020351[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=295352&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=295352&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 model21
Reduced model22-11.150012883372160.295716104020351






Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model21
Reduced model22-16.250334622869440.0207752598511444

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 21 &  &  &  \tabularnewline
Reduced model & 22 & -1 & 6.25033462286944 & 0.0207752598511444 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=295352&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]21[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]22[/C][C]-1[/C][C]6.25033462286944[/C][C]0.0207752598511444[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=295352&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=295352&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 model21
Reduced model22-16.250334622869440.0207752598511444


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):
R code (references can be found in the software module):
par8 <- '1'
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')