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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 computationSat, 06 Feb 2021 22:21:39 +0100
Cite this page as followsStatistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2021/Feb/06/t16126466543zxthmqj5h7f9g7.htm/, Retrieved Tue, 18 Jan 2022 13:59:15 +0100
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=, Retrieved Tue, 18 Jan 2022 13:59:15 +0100
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Original text written by user:Granger Causality Test for Germany COVID-19 policies and new cases (weekly)
IsPrivate?No (this computation is public)
User-defined keywordsGermany, COVID-19, pandemic, vectorautocorrelation
Estimated Impact0
Dataseries X:
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
Dataseries Y:
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




Summary of computational transaction
Raw Input view raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R ServerBig 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 time1 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]1 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 Outputview raw output of R engine
Computing time1 seconds
R ServerBig Analytics Cloud Computing Center







Granger Causality Test: Y = f(X)
ModelRes.DFDiff. DFFp-value
Complete model36
Reduced model41-51.183312964142760.336551083832831

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: Y = f(X) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 36 &  &  &  \tabularnewline
Reduced model & 41 & -5 & 1.18331296414276 & 0.336551083832831 \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]36[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]41[/C][C]-5[/C][C]1.18331296414276[/C][C]0.336551083832831[/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)
ModelRes.DFDiff. DFFp-value
Complete model36
Reduced model41-51.183312964142760.336551083832831







Granger Causality Test: X = f(Y)
ModelRes.DFDiff. DFFp-value
Complete model36
Reduced model41-53.819258145002150.00705821167654405

\begin{tabular}{lllllllll}
\hline
Granger Causality Test: X = f(Y) \tabularnewline
Model & Res.DF & Diff. DF & F & p-value \tabularnewline
Complete model & 36 &  &  &  \tabularnewline
Reduced model & 41 & -5 & 3.81925814500215 & 0.00705821167654405 \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]36[/C][C][/C][C][/C][C][/C][/ROW]
[ROW][C]Reduced model[/C][C]41[/C][C]-5[/C][C]3.81925814500215[/C][C]0.00705821167654405[/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)
ModelRes.DFDiff. DFFp-value
Complete model36
Reduced model41-53.819258145002150.00705821167654405



Parameters (Session):
par1 = 1 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 1 ; par7 = 0 ; par8 = 5 ;
Parameters (R input):
par1 = 1 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 1 ; par7 = 0 ; par8 = 5 ;
R code (references can be found in the software module):
par8 <- '4'
par7 <- '0'
par6 <- '1'
par5 <- '1'
par4 <- '1'
par3 <- '0'
par2 <- '1'
par1 <- '1'
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')