source('/home/pw/wessanet/cretab') myrfcuid = '' y <- c(8.00,4.00,.00,1.00,179.00,1261.00,7800.00,23729.00,38822.00,35855.00,23696.00,16932.00,11621.00,7095.00,6164.00,4607.00,3422.00,2679.00,2627.00,1746.00,4228.00,2938.00,2925.00,2113.00,3261.00,3990.00,5121.00,6712.00,8580.00,9463.00,8432.00,8942.00,10057.00,12398.00,13059.00,16656.00,30187.00,48277.00,77828.00,113712.0,138562.0,128064.0,119435.0,131486.0,134591.0,161817.0,179285.0,121738.0,122456.0,153761.0,103289.0,92428.00,75974.00) x <- c(38.92,38.92,77.77,77.77,152.78,186.57,248.61,463.88,537.95,537.95,537.95,537.95,537.95,526.38,452.30,437.48,418.04,418.04,418.04,418.04,440.30,444.01,435.67,385.63,385.63,385.63,399.53,403.22,398.58,404.14,418.04,365.29,346.78,346.78,346.78,346.78,346.78,402.34,422.70,427.33,437.05,453.67,453.67,459.23,473.13,473.13,576.87,576.87,579.65,590.75,583.31,583.31,249.99) par8 = '5' par7 = '0' par6 = '1' par5 = '1' par4 = '1' par3 = '0' par2 = '1' par1 = '1' ylab = 'y' xlab = 'x' par8 <- '5' par7 <- '0' par6 <- '1' par5 <- '1' par4 <- '1' par3 <- '0' par2 <- '1' par1 <- '1' #'GNU S' R Code compiled by R2WASP v. 1.2.327 (Thu, 22 Sep 2016 20:39:32 +0200) #Author: root #To cite this work: Wessa P., (2016), Bivariate Granger Causality (v1.0.4) 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 # 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) print(x) print(y) (gyx <- grangertest(y ~ x, order=par8)) (gxy <- grangertest(x ~ y, order=par8)) postscript(file="/home/pw/wessanet/rcomp/tmp/16tj91612646498.ps",horizontal=F,onefile=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)')) (r <- ccf(x,y,main='Cross Correlation Function (transformed and differenced)',ylab='CCF',xlab='Lag (k)')) par(op) dev.off() postscript(file="/home/pw/wessanet/rcomp/tmp/20rcs1612646498.ps",horizontal=F,onefile=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() postscript(file="/home/pw/wessanet/rcomp/tmp/3s2h81612646498.ps",horizontal=F,onefile=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() 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="/home/pw/wessanet/rcomp/tmp/4mzpo1612646498.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="/home/pw/wessanet/rcomp/tmp/5j84v1612646498.tab") try(system("convert /home/pw/wessanet/rcomp/tmp/16tj91612646498.ps /home/pw/wessanet/rcomp/tmp/16tj91612646498.png",intern=TRUE)) try(system("convert /home/pw/wessanet/rcomp/tmp/20rcs1612646498.ps /home/pw/wessanet/rcomp/tmp/20rcs1612646498.png",intern=TRUE)) try(system("convert /home/pw/wessanet/rcomp/tmp/3s2h81612646498.ps /home/pw/wessanet/rcomp/tmp/3s2h81612646498.png",intern=TRUE))