Dear Bernhard, thank you very much for the response. Yes, I am using the packsges "vars" with fuchrions VAR() and causality().
1)Giving colnames to the objects does unfortunately not change anything. 2) I am not sure if I understood you right. Did you mean to insert Countml$Granger$p.value rather than Count$ml$Granger$p.value? This returns: Error: Object 'Countms' not found. By the way, str(Count) produces the following: > str(Count) List of 4 $ ml:List of 2 ..$ Granger:List of 5 .. ..$ statistic: num [1, 1] 0.277 .. .. ..- attr(*, "names")= chr "F-Test" .. ..$ parameter: Named num [1:2] 1 122 .. .. ..- attr(*, "names")= chr [1:2] "df1" "df2" .. ..$ p.value : num [1, 1] 0.6 .. ..$ method : chr "Granger causality H0: y1 do not Granger-cause x" .. ..$ data.name: chr "VAR object x" .. ..- attr(*, "class")= chr "htest" ..$ Instant:List of 5 .. ..$ statistic: num [1, 1] 19.7 .. .. ..- attr(*, "names")= chr "Chi-squared" .. ..$ parameter: Named int 1 .. .. ..- attr(*, "names")= chr "df" .. ..$ p.value : num [1, 1] 8.86e-06 .. ..$ method : chr "H0: No instantaneous causality between: y1 and x" .. ..$ data.name: chr "VAR object x" .. ..- attr(*, "class")= chr "htest" $ jp:List of 2 . . . . Best Regards, Ivan On Fri, Apr 15, 2011 at 10:13 AM, Pfaff, Bernhard Dr. <bernhard_pf...@fra.invesco.com> wrote: > Dear Ivan, > > first, it would pay-off in terms of readability to employ line breaks and > second to provide a reproducable code snippet and third which package you > have used. Now to your questions: > 1) What happens if you provide colnames for your objects? > 2) What happens if you omit the $ after count? > > Best, > Bernhard > > ps: the function seems to have been ported from the package 'vars'. In this > package the function causality() is included which returns a named list with > elements of class htest. > >> -----Ursprüngliche Nachricht----- >> Von: r-help-boun...@r-project.org >> [mailto:r-help-boun...@r-project.org] Im Auftrag von ivan >> Gesendet: Donnerstag, 14. April 2011 19:37 >> An: r-help@r-project.org >> Betreff: [R] Automatically extract info from Granger causality output >> >> Dear Community, >> >> this is my first programming in R and I am stuck with a >> problem. I have the following code which automatically >> calculates Granger causalities from a variable, say e.g. "bs" >> as below, to all other variables in the data frame: >> >> log.returns<-as.data.frame( lapply(daten, function(x) >> diff(log(ts(x))))) y1<-log.returns$bs >> y2<- log.returns[,!(names(log.returns) %in% "bs")] >> Granger<- function(y1,y2) {models=lapply(y2, function(x) >> VAR(cbind(x,y1),ic="SC") ); results=lapply(models,function(x) >> causality(x,cause="y1")); print(results)} >> Count<-Granger(y1,y2) >> >> which produces the following output (I have printed only part >> of it (for Granger causality of bs on ml)): >> >> $ml >> $ml$Granger >> >> Granger causality H0: y1 do not Granger-cause x >> >> data: VAR object x >> F-Test = 0.2772, df1 = 1, df2 = 122, p-value = 0.5995 >> >> >> $ml$Instant >> >> H0: No instantaneous causality between: y1 and x >> >> data: VAR object x >> Chi-squared = 19.7429, df = 1, p-value = 8.859e-06 >> >> My questions: >> >> 1)How can I edit the function above so that the output writes: Granger >> causality H0: bs do not Granger-cause ml rather than Granger >> causality H0: y1 do not Granger-cause x? >> >> 2) I want to extract the p-values of the tests into a data >> frame for instance. The problem is that the output has a 3 >> layer structure. >> Thus, for the above p-value I need to write count$ml$Granger$p.value. >> I thought of a loop of something like for(i in >> 1:length(count)) {z=count$[[i]]$Granger$p.value} but it didn't work. >> >> Thank you very much for your help. >> >> Best Regards. >> >> ______________________________________________ >> R-help@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide >> http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. >> > ***************************************************************** > Confidentiality Note: The information contained in this message, > and any attachments, may contain confidential and/or privileged > material. It is intended solely for the person(s) or entity to > which it is addressed. Any review, retransmission, dissemination, > or taking of any action in reliance upon this information by > persons or entities other than the intended recipient(s) is > prohibited. If you received this in error, please contact the > sender and delete the material from any computer. > ***************************************************************** > > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
