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Author's title

Author

*Unverified author*

R Software Module

rwasp_grangercausality.wasp

Title produced by software

Bivariate Granger Causality

Date of computation

Mon, 14 May 2018 05:15:40 +0200

Cite this page as follows

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2018/May/14/t1526268489yvjq36ogtm4l34d.htm/, Retrieved Mon, 06 May 2024 18:50:13 +0200

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=, Retrieved Mon, 06 May 2024 18:50:13 +0200

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Estimated Impact

Dataseries X:

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Histogram

Boxplots

1.890800132
1.898999271
1.924002224
1.950173539
2.051978963
2.139260473
2.168529051
2.234625735
2.303157472
2.378787112
2.438061794

Dataseries Y:

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Histogram

2.61326026
2.808852822
2.869863921
2.994641322
3.074239923
3.068746
3.067740203
3.101365524
3.077218875
3.105516997
3.101747074

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	3 seconds
R Server	Big Analytics Cloud Computing Center

\begin{tabular}{lllllllll}
\hline
Summary of computational transaction \tabularnewline
Raw Input view raw input (R code)  \tabularnewline
Raw Outputview raw output of R engine  \tabularnewline
Computing time3 seconds \tabularnewline
R ServerBig Analytics Cloud Computing Center \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=&T=0

[TABLE]
[ROW]

Summary of computational transaction[/C][/ROW] [ROW]

Raw Input[/C]

view raw input (R code) [/C][/ROW] [ROW]

Raw Output[/C]

view raw output of R engine [/C][/ROW] [ROW]

Computing time[/C]

3 seconds[/C][/ROW] [ROW]

R Server[/C]

Big Analytics Cloud Computing Center[/C][/ROW] [/TABLE] Source: https://freestatistics.org/blog/index.php?pk=&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=&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 Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	3 seconds
R Server	Big Analytics Cloud Computing Center

Granger Causality Test: Y = f(X)
Model	Res.DF	Diff. DF	F	p-value
Complete model	2
Reduced model	4	-2	15.9245796767859	0.0590856623382867

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 2 &  &  &  \tabularnewline
Reduced model & 4 & -2 & 15.9245796767859 & 0.0590856623382867 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=&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]2[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]4[/C][C]-2[/C][C]15.9245796767859[/C][C]0.0590856623382867[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=&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)
Model	Res.DF	Diff. DF	F	p-value
Complete model	2
Reduced model	4	-2	15.9245796767859	0.0590856623382867

Granger Causality Test: X = f(Y)
Model	Res.DF	Diff. DF	F	p-value
Complete model	2
Reduced model	4	-2	0.333174883502906	0.750089138622615

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 2 &  &  &  \tabularnewline
Reduced model & 4 & -2 & 0.333174883502906 & 0.750089138622615 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=&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]2[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]4[/C][C]-2[/C][C]0.333174883502906[/C][C]0.750089138622615[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=&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)
Model	Res.DF	Diff. DF	F	p-value
Complete model	2
Reduced model	4	-2	0.333174883502906	0.750089138622615

Figure 1

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Postscript link

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Figure 2

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Figure 3

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Postscript link

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Parameters (Session):

par1 = 1.5 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 1.5 ; par6 = 1 ; par7 = 1 ; par8 = 2 ;

Parameters (R input):

par1 = 1.5 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 1.5 ; par6 = 1 ; par7 = 1 ; par8 = 2 ;

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)
print(x)
print(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')

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Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code