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Author's title

Author*The author of this computation has been verified*
R Software Modulerwasp_grangercausality.wasp
Title produced by softwareBivariate Granger Causality
Date of computationThu, 10 Dec 2009 11:04:09 -0700
Cite this page as followsStatistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2009/Dec/10/t1260468297kj52wiwqgw6ezco.htm/, Retrieved Thu, 28 Mar 2024 20:59:32 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=65665, Retrieved Thu, 28 Mar 2024 20:59:32 +0000
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Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact126
Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
-     [Bivariate Granger Causality] [] [2009-12-07 08:54:13] [b98453cac15ba1066b407e146608df68]
-    D    [Bivariate Granger Causality] [] [2009-12-10 18:04:09] [0545e25c765ce26b196961216dc11e13] [Current]
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Dataseries X:
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2,21
2,25
2,25
2,45
2,5
2,5
2,64
2,75
2,93
3
3,17
3,25
3,39
3,5
3,5
3,65
3,75
3,75
3,9
4
4
4
4
4
4
4
4
4
4
4
4
4,18
4,25
4,25
3,97
3,42
2,75
Dataseries Y:
1,4
1,2
1
1,7
2,4
2
2,1
2
1,8
2,7
2,3
1,9
2
2,3
2,8
2,4
2,3
2,7
2,7
2,9
3
2,2
2,3
2,8
2,8
2,8
2,2
2,6
2,8
2,5
2,4
2,3
1,9
1,7
2
2,1
1,7
1,8
1,8
1,8
1,3
1,3
1,3
1,2
1,4
2,2
2,9
3,1
3,5
3,6
4,4
4,1
5,1
5,8
5,9
5,4
5,5
4,8
3,2
2,7




Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 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=65665&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=65665&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=65665&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 Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135







Granger Causality Test: Y = f(X)
ModelRes.DFDiff. DFFp-value
Complete model50
Reduced model53-31.114305180482320.352145799516802

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 50 &  &  &  \tabularnewline
Reduced model & 53 & -3 & 1.11430518048232 & 0.352145799516802 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=65665&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]50[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]53[/C][C]-3[/C][C]1.11430518048232[/C][C]0.352145799516802[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=65665&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=65665&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)
ModelRes.DFDiff. DFFp-value
Complete model50
Reduced model53-31.114305180482320.352145799516802







Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model50
Reduced model53-32.660258998669320.0581537748182923

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 50 &  &  &  \tabularnewline
Reduced model & 53 & -3 & 2.66025899866932 & 0.0581537748182923 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=65665&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]50[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]53[/C][C]-3[/C][C]2.66025899866932[/C][C]0.0581537748182923[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=65665&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=65665&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)
ModelRes.DFDiff. DFFp-value
Complete model50
Reduced model53-32.660258998669320.0581537748182923



Parameters (Session):
par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 3 ;
Parameters (R input):
par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 3 ;
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')