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Author's title

Author

*The author of this computation has been verified*

R Software Module

rwasp_grangercausality.wasp

Title produced by software

Bivariate Granger Causality

Date of computation

Tue, 08 Dec 2009 07:30:39 -0700

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/2009/Dec/08/t126028273080nn9gys5qq81es.htm/, Retrieved Sat, 27 Apr 2024 18:27:52 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=64706, Retrieved Sat, 27 Apr 2024 18:27:52 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

226

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

-     [Bivariate Granger Causality] [] [2009-12-07 08:56:28] [b98453cac15ba1066b407e146608df68]
-    D    [Bivariate Granger Causality] [SHW WS10] [2009-12-08 14:30:39] [b7e46d23597387652ca7420fdeb9acca] [Current]
-    D      [Bivariate Granger Causality] [k=6] [2009-12-11 18:59:41] [ba905ddf7cdf9ecb063c35348c4dab2e] 

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Dataseries X:

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Histogram

Boxplots

1.59
1.26
1.13
1.92
2.61
2.26
2.41
2.26
2.03
2.86
2.55
2.27
2.26
2.57
3.07
2.76
2.51
2.87
3.14
3.11
3.16
2.47
2.57
2.89
2.63
2.38
1.69
1.96
2.19
1.87
1.6
1.63
1.22
1.21
1.49
1.64
1.66
1.77
1.82
1.78
1.28
1.29
1.37
1.12
1.51
2.24
2.94
3.09
3.46
3.64
4.39
4.15
5.21
5.8
5.91
5.39
5.46
4.72
3.14
2.63

Dataseries Y:

Download CSV

Histogram

8.9
8.8
8.3
7.5
7.2
7.4
8.8
9.3
9.3
8.7
8.2
8.3
8.5
8.6
8.5
8.2
8.1
7.9
8.6
8.7
8.7
8.5
8.4
8.5
8.7
8.7
8.6
8.5
8.3
8
8.2
8.1
8.1
8
7.9
7.9
8
8
7.9
8
7.7
7.2
7.5
7.3
7
7
7
7.2
7.3
7.1
6.8
6.4
6.1
6.5
7.7
7.9
7.5
6.9
6.6
6.9

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	'Gwilym Jenkins' @ 72.249.127.135

\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 & 'Gwilym Jenkins' @ 72.249.127.135 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=64706&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]'Gwilym Jenkins' @ 72.249.127.135[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=64706&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=64706&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	'Gwilym Jenkins' @ 72.249.127.135

Granger Causality Test: Y = f(X)
Model	Res.DF	Diff. DF	F	p-value
Complete model	41
Reduced model	47	-6	0.80178842548061	0.574261721695735

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 41 &  &  &  \tabularnewline
Reduced model & 47 & -6 & 0.80178842548061 & 0.574261721695735 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=64706&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]41[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]47[/C][C]-6[/C][C]0.80178842548061[/C][C]0.574261721695735[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=64706&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=64706&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	41
Reduced model	47	-6	0.80178842548061	0.574261721695735

Granger Causality Test: X = f(Y)
Model	Res.DF	Diff. DF	F	p-value
Complete model	41
Reduced model	47	-6	1.23734550742526	0.307511544340804

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 41 &  &  &  \tabularnewline
Reduced model & 47 & -6 & 1.23734550742526 & 0.307511544340804 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=64706&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]41[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]47[/C][C]-6[/C][C]1.23734550742526[/C][C]0.307511544340804[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=64706&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=64706&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	41
Reduced model	47	-6	1.23734550742526	0.307511544340804

Figure 1

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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 = 12 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 6 ;

Parameters (R input):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 6 ;

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')

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Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code