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Description of Statistical Computation

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 computationFri, 11 Dec 2009 07:24:35 -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/11/t1260541537yrak58o5gfs69th.htm/, Retrieved Sun, 28 Apr 2024 19:51:29 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=66231, Retrieved Sun, 28 Apr 2024 19:51:29 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact116

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] [] [2009-12-07 08:57:35] [b98453cac15ba1066b407e146608df68]
- R  D    [Bivariate Granger Causality] [] [2009-12-11 14:24:35] [c588bf81b9040ce04d6292d0d83341a9] [Current]
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
22
22
20
21
20
21
21
21
19
21
21
22
19
24
22
22
22
24
22
23
24
21
20
22
23
23
22
20
21
21
20
20
17
18
19
19
20
21
20
21
19
22
20
18
16
17
18
19
18
20
21
18
19
19
19
21
19
19
17
16
16
17
16
15
16
16
16
18
19
16
16
16
Dataseries Y:
Download CSV
Histogram 
20
16
10
12
10
12
12
13
17
12
15
12
14
19
16
17
16
19
17
17
20
18
16
19
18
23
20
20
15
17
16
15
10
13
10
19
21
17
16
17
14
18
17
14
15
16
11
15
13
17
16
9
17
15
12
12
12
12
4
7
4
3
3
0
5
3
4
3
10
4
1
1

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'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=66231&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=66231&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=66231&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'Gwilym Jenkins' @ 72.249.127.135






Granger Causality Test: Y = f(X)
ModelRes.DFDiff. DFFp-value
Complete model38
Reduced model49-111.332196016073150.245154813867283

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 38 &  &  &  \tabularnewline
Reduced model & 49 & -11 & 1.33219601607315 & 0.245154813867283 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=66231&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]38[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]49[/C][C]-11[/C][C]1.33219601607315[/C][C]0.245154813867283[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=66231&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=66231&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 model38
Reduced model49-111.332196016073150.245154813867283






Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model38
Reduced model49-111.171105649906850.338539797851513

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 38 &  &  &  \tabularnewline
Reduced model & 49 & -11 & 1.17110564990685 & 0.338539797851513 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=66231&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]38[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]49[/C][C]-11[/C][C]1.17110564990685[/C][C]0.338539797851513[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=66231&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=66231&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 model38
Reduced model49-111.171105649906850.338539797851513


Figures (Output of Computation)

Input Parameters & R Code

Parameters (Session):
par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 11 ;
Parameters (R input):
par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 11 ;
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')