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:: Bivariate Granger Causality - Free Statistics Software (Calculator) ::

All rights reserved. The non-commercial (academic) use of this software is free of charge. The only thing that is asked in return is to cite this software when results are used in publications.

This free online software (calculator) computes the bivariate Granger causality test in two directions. Enter the time series in the respective data boxes and specify the Box-Cox tranformation parameter, the degree of non-seasonal differencing, and the degree of seasonal differencing (for each time series) to induce stationarity. The maximum number lags (of the endogenous variable) that is used in the test equation can also be specified.

Enter (or paste) your data delimited by hard returns.

Send output to:
Data X (click to load default data)
 
Data Y:
 
Box-Cox transformation parameter (X series) 
Degree (d) of non-seasonal differencing (X series) 
Degree (D) of seasonal differencing (X series) 
Seasonal Period 
Box-Cox transformation parameter (Y series) 
Degree (d) of non-seasonal differencing (Y series) 
Degree (D) of seasonal differencing (Y series) 
Number of non-seasonal time lags in test 
Chart options
Width:
Height:
Label y-axis:
Label x-axis:







Click here to edit the underlying code of this R Module.

Source code of R module
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Cite this software as:
Wessa P., (2013), Bivariate Granger Causality (v1.0.3) in Free Statistics Software (v1.1.23-r7), Office for Research Development and Education, URL http://www.wessa.net/rwasp_grangercausality.wasp/
The R code is based on :
Anil K Seth (2007) Granger causality.Scholarpedia, 2(7):1667
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Delete history
Server DateModuleCommand
Mon, 01 Sep 2014 12:11:58 +0100Start of session-
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To cite Wessa.net in publications use:
Wessa, P. (2014), Free Statistics Software, Office for Research Development and Education,
version 1.1.23-r7, URL http://www.wessa.net/

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Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. We make no warranties or representations as to the accuracy or completeness of such information (or software), and it assumes no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

Software Version : 1.1.23-r7
Algorithms & Software : Patrick Wessa, PhD
Server : www.wessa.net

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