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Type 'q()' to quit R. > y <- c(126,130,129,128,130,127,130,129,131,132,128,135,136,123,124,130,129,127,126,130,129,133,134,136,136,138,133,131,132,133,136,134,134,136,139,142,142,153,156,160,157,161,160,160,161,160,157,151,151,144,144,127,121,115,114,113,103,96,96,88,89) > x <- c(58,60,63,59,64,69,61,49,44,47,54,42,53,59,63,66,64,64,65,73,71,82,74,80,87,84,75,82,80,83,90,84,85,87,81,72,77,64,58,48,50,48,42,39,34,22,25,32,22,22,12,5,3,5,9,17,19,27,39,45,47) > par8 = '11' > par7 = '0' > par6 = '1' > par5 = '1' > par4 = '1' > par3 = '0' > par2 = '1' > par1 = '1' > #'GNU S' R Code compiled by R2WASP v. 1.0.44 () > #Author: Prof. Dr. P. Wessa > #To cite this work: Wessa P., (2008), Bivariate Granger Causality (v1.0.0) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_grangercausality.wasp/ > #Source of accompanying publication: Office for Research, Development, and Education > #Technical description: > library(lmtest) Loading required package: zoo Attaching package: 'zoo' The following object(s) are masked from package:base : as.Date.numeric > 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 [1] 2 3 -4 5 5 -8 -12 -5 3 7 -12 11 6 4 3 -2 0 1 8 [20] -2 11 -8 6 7 -3 -9 7 -2 3 7 -6 1 2 -6 -9 5 -13 -6 [39] -10 2 -2 -6 -3 -5 -12 3 7 -10 0 -10 -7 -2 2 4 8 2 8 [58] 12 6 2 > y [1] 4 -1 -1 2 -3 3 -1 2 1 -4 7 1 -13 1 6 -1 -2 -1 4 [20] -1 4 1 2 0 2 -5 -2 1 1 3 -2 0 2 3 3 0 11 3 [39] 4 -3 4 -1 0 1 -1 -3 -6 0 -7 0 -17 -6 -6 -1 -1 -10 -7 [58] 0 -8 1 > (gyx <- grangertest(y ~ x, order=par8)) Granger causality test Model 1: ~ Lags(, 1:11) + Lags(, 1:11) Model 2: ~ Lags(, 1:11) Res.Df Df F Pr(>F) 1 26 2 37 -11 0.7807 0.6562 > (gxy <- grangertest(x ~ y, order=par8)) Granger causality test Model 1: ~ Lags(, 1:11) + Lags(, 1:11) Model 2: ~ Lags(, 1:11) Res.Df Df F Pr(>F) 1 26 2 37 -11 1.0501 0.4348 > postscript(file="/var/www/html/rcomp/tmp/185mz1260721196.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > op <- par(mfrow=c(2,1)) > (r <- ccf(ox,oy,main='Cross Correlation Function (raw data)',ylab='CCF',xlab='Lag (k)')) Autocorrelations of series 'X', by lag -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 0.565 0.580 0.608 0.624 0.646 0.669 0.680 0.679 0.653 0.591 0.519 -3 -2 -1 0 1 2 3 4 5 6 7 0.439 0.336 0.218 0.094 -0.027 -0.139 -0.234 -0.322 -0.396 -0.453 -0.497 8 9 10 11 12 13 14 -0.519 -0.529 -0.535 -0.526 -0.505 -0.479 -0.451 > (r <- ccf(x,y,main='Cross Correlation Function (transformed and differenced)',ylab='CCF',xlab='Lag (k)')) Autocorrelations of series 'X', by lag -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 0.341 0.084 0.137 0.132 0.167 0.180 0.078 0.241 0.261 0.081 -0.114 -3 -2 -1 0 1 2 3 4 5 6 7 0.017 0.041 0.026 -0.192 -0.131 -0.186 -0.119 -0.132 -0.196 -0.204 -0.333 8 9 10 11 12 13 14 -0.145 -0.028 -0.119 -0.191 0.008 0.005 -0.169 > par(op) > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/2fftx1260721196.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > 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() null device 1 > postscript(file="/var/www/html/rcomp/tmp/3h3ez1260721196.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > 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() null device 1 > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/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="/var/www/html/rcomp/tmp/4p7ce1260721196.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="/var/www/html/rcomp/tmp/5en8e1260721196.tab") > > try(system("convert tmp/185mz1260721196.ps tmp/185mz1260721196.png",intern=TRUE)) character(0) > try(system("convert tmp/2fftx1260721196.ps tmp/2fftx1260721196.png",intern=TRUE)) character(0) > try(system("convert tmp/3h3ez1260721196.ps tmp/3h3ez1260721196.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 0.964 0.495 1.097