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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 09:27:26 -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/t1260548876038pvzr3v4viten.htm/, Retrieved Mon, 29 Apr 2024 04:55:57 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=66478, Retrieved Mon, 29 Apr 2024 04:55:57 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact94

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 08:54:13] [b98453cac15ba1066b407e146608df68]
-    D    [Bivariate Granger Causality] [] [2009-12-11 16:27:26] [2f6049721194fa571920c3539d7b729e] [Current]
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
17
14
15
16
16
15
13
12
13
13
12
10
14
14
15
16
16
15
15
13
15
15
15
13
16
16
14
16
15
14
15
15
14
13
12
13
12
9
10
8
11
8
8
8
4
6
8
10
5
6
5
9
8
6
9
11
11
8
11
11
13
Dataseries Y:
Download CSV
Histogram 
22,782
19,169
13,807
29,743
25,591
29,096
26,482
22,405
27,044
17,97
18,73
19,684
19,785
18,479
10,698
31,956
29,506
34,506
27,165
26,736
23,691
18,157
17,328
18,205
20,995
17,382
9,367
31,124
26,551
30,651
25,859
25,1
25,778
20,418
18,688
20,424
24,776
19,814
12,738
31,566
30,111
30,019
31,934
25,826
26,835
20,205
17,789
20,52
22,518
15,572
11,509
25,447
24,09
27,786
26,195
20,516
22,759
19,028
16,971
20,036
22,485

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=66478&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=66478&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=66478&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 model51
Reduced model54-30.2750533254426680.843117412326528

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 51 &  &  &  \tabularnewline
Reduced model & 54 & -3 & 0.275053325442668 & 0.843117412326528 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=66478&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]51[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]54[/C][C]-3[/C][C]0.275053325442668[/C][C]0.843117412326528[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=66478&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=66478&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 model51
Reduced model54-30.2750533254426680.843117412326528






Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model51
Reduced model54-31.970787528795020.130053484844488

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 51 &  &  &  \tabularnewline
Reduced model & 54 & -3 & 1.97078752879502 & 0.130053484844488 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=66478&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]51[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]54[/C][C]-3[/C][C]1.97078752879502[/C][C]0.130053484844488[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=66478&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=66478&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 model51
Reduced model54-31.970787528795020.130053484844488


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 = 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')