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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 computationSun, 12 Dec 2010 14:35:01 +0000
Cite this page as followsStatistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2010/Dec/12/t129216437887e5cz1rbq6zjnf.htm/, Retrieved Tue, 07 May 2024 06:33:36 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=108480, Retrieved Tue, 07 May 2024 06:33:36 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact196

Tree of Dependent Computations

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
-     [Bivariate Data Series] [Bivariate dataset] [2008-01-05 23:51:08] [74be16979710d4c4e7c6647856088456]
- RMPD  [Bivariate Explorative Data Analysis] [Ws4 part 1.1 s090...] [2009-10-27 21:56:53] [e0fc65a5811681d807296d590d5b45de]
-  M D    [Bivariate Explorative Data Analysis] [Paper; bivariate ...] [2009-12-19 19:10:37] [e0fc65a5811681d807296d590d5b45de]
- RMPD      [Cross Correlation Function] [cross correlation...] [2010-12-08 19:50:23] [74be16979710d4c4e7c6647856088456]
- RMPD        [Bivariate Granger Causality] [] [2010-12-09 09:27:32] [b98453cac15ba1066b407e146608df68]
-   PD            [Bivariate Granger Causality] [workshop 10] [2010-12-12 14:35:01] [c1f1b5e209adb4577289f490325e36f2] [Current]
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
1.3031
1.3241
1.2961
1.2865
1.2305
1.2101
1.2125
1.2350
1.2014
1.1992
1.1791
1.1832
1.2159
1.1922
1.2114
1.2614
1.2812
1.2786
1.2772
1.2815
1.2679
1.2765
1.3247
1.3191
1.3029
1.3234
1.3354
1.3651
1.3453
1.3534
1.3706
1.3638
1.4268
1.4485
1.4635
1.4587
1.4876
1.5189
1.5783
1.5633
1.5554
1.5757
1.5593
1.4660
1.4065
1.2759
1.2705
1.3954
1.2793
1.2694
1.3282
1.3230
1.4135
1.4042
1.4253
1.4322
1.4632
1.4713
1.5016
1.4318
Dataseries Y:
Download CSV
Histogram 
0.6923
0.6886
0.6855
0.6745
0.6769
0.6758
0.6896
0.6843
0.6818
0.6774
0.6821
0.6885
0.6829
0.6796
0.6976
0.6924
0.6849
0.6921
0.6839
0.6727
0.6776
0.6692
0.6738
0.6740
0.6635
0.6737
0.6788
0.6828
0.6795
0.6740
0.6744
0.6764
0.6987
0.6967
0.7116
0.7357
0.7455
0.7639
0.7958
0.7864
0.7853
0.7903
0.7866
0.8039
0.7916
0.7903
0.8242
0.9567
0.8850
0.8865
0.9258
0.8948
0.8762
0.8527
0.8536
0.8805
0.9155
0.8961
0.9127
0.8857

Tables (Output of Computation)





Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'RServer@AstonUniversity' @ vre.aston.ac.uk

\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 & 3 seconds \tabularnewline
R Server & 'RServer@AstonUniversity' @ vre.aston.ac.uk \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=108480&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]3 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'RServer@AstonUniversity' @ vre.aston.ac.uk[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=108480&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=108480&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 time3 seconds
R Server'RServer@AstonUniversity' @ vre.aston.ac.uk






Granger Causality Test: Y = f(X)
ModelRes.DFDiff. DFFp-value
Complete model55
Reduced model56-14.556619583748060.0372633726541464

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 55 &  &  &  \tabularnewline
Reduced model & 56 & -1 & 4.55661958374806 & 0.0372633726541464 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=108480&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]55[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]56[/C][C]-1[/C][C]4.55661958374806[/C][C]0.0372633726541464[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=108480&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=108480&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 model55
Reduced model56-14.556619583748060.0372633726541464






Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model55
Reduced model56-11.226176111019440.27297141806926

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 55 &  &  &  \tabularnewline
Reduced model & 56 & -1 & 1.22617611101944 & 0.27297141806926 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=108480&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]55[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]56[/C][C]-1[/C][C]1.22617611101944[/C][C]0.27297141806926[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=108480&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=108480&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 model55
Reduced model56-11.226176111019440.27297141806926


Figures (Output of Computation)

Input Parameters & R Code

Parameters (Session):
par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 0 ; par7 = 0 ; par8 = 1 ;
Parameters (R input):
par1 = 0.0 ; par2 = 1 ; par3 = 0 ; par4 = 12 ; par5 = 0.0 ; par6 = 1 ; par7 = 0 ; par8 = 1 ;
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')