{"id":1387,"date":"2023-07-26T14:36:45","date_gmt":"2023-07-26T14:36:45","guid":{"rendered":"https:\/\/statorials.org\/cn\/r%e4%b8%ad%e7%9a%84%e6%a0%bc%e5%85%b0%e6%9d%b0%e5%9b%a0%e6%9e%9c%e6%a3%80%e9%aa%8c\/"},"modified":"2023-07-26T14:36:45","modified_gmt":"2023-07-26T14:36:45","slug":"r%e4%b8%ad%e7%9a%84%e6%a0%bc%e5%85%b0%e6%9d%b0%e5%9b%a0%e6%9e%9c%e6%a3%80%e9%aa%8c","status":"publish","type":"post","link":"https:\/\/statorials.org\/cn\/r%e4%b8%ad%e7%9a%84%e6%a0%bc%e5%85%b0%e6%9d%b0%e5%9b%a0%e6%9e%9c%e6%a3%80%e9%aa%8c\/","title":{"rendered":"\u5982\u4f55\u5728 r \u4e2d\u6267\u884c\u683c\u5170\u6770\u56e0\u679c\u5173\u7cfb\u68c0\u9a8c"},"content":{"rendered":"<p><\/p>\n<hr>\n<p><span style=\"color: #000000;\"><strong>\u683c\u5170\u6770\u56e0\u679c\u68c0\u9a8c<\/strong>\u7528\u4e8e\u786e\u5b9a\u4e00\u4e2a\u65f6\u95f4\u5e8f\u5217\u662f\u5426\u6709\u52a9\u4e8e\u9884\u6d4b\u53e6\u4e00\u4e2a\u65f6\u95f4\u5e8f\u5217\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u8be5\u68c0\u9a8c\u4f7f\u7528\u4ee5\u4e0b\u539f\u5047\u8bbe\u548c\u5907\u62e9\u5047\u8bbe\uff1a<\/span><\/p>\n<p><span style=\"color: #000000;\"><strong>\u539f\u5047\u8bbe (H <sub>0<\/sub> )\uff1a<\/strong>\u65f6\u95f4\u5e8f\u5217<em>x<\/em>\u4e0d\u4f1a\u5bfc\u81f4\u65f6\u95f4\u5e8f\u5217<em>y<\/em>\u53d1\u751f\u683c\u5170\u6770\u5206\u5e03<\/span><\/p>\n<p><span style=\"color: #000000;\"><strong>\u5907\u62e9\u5047\u8bbe ( <sub>HA<\/sub> )\uff1a<\/strong>\u65f6\u95f4\u5e8f\u5217<em>x<\/em>\u683c\u5170\u6770\u539f\u56e0\u65f6\u95f4\u5e8f\u5217<em>y<\/em><\/span><\/p>\n<p><span style=\"color: #000000;\">\u672f\u8bed\u201c\u683c\u5170\u6770\u539f\u56e0\u201d\u662f\u6307\u77e5\u9053\u5177\u6709\u4e00\u5b9a\u6ede\u540e\u6027\u7684\u65f6\u95f4\u5e8f\u5217<em>x<\/em>\u7684\u503c\u5bf9\u4e8e\u9884\u6d4b\u7a0d\u540e\u65f6\u95f4\u5e8f\u5217<em>y<\/em>\u7684\u503c\u662f\u6709\u7528\u7684\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u6b64\u68c0\u9a8c\u751f\u6210\u5177\u6709\u76f8\u5e94 p \u503c\u7684 F \u68c0\u9a8c\u7edf\u8ba1\u91cf\u3002\u5982\u679c p \u503c\u4f4e\u4e8e<\/span><span style=\"color: #000000;\">\u4e00\u5b9a\u7684\u663e\u7740\u6027\u6c34\u5e73\uff08\u5373 \u03b1 = 0.05\uff09\uff0c\u90a3\u4e48\u6211\u4eec\u53ef\u4ee5\u62d2\u7edd\u539f\u5047\u8bbe\u5e76\u5f97\u51fa\u7ed3\u8bba\uff1a\u6211\u4eec\u6709\u8db3\u591f\u7684\u8bc1\u636e\u6765\u65ad\u8a00\u65f6\u95f4\u5e8f\u5217<em>x<\/em> Granger \u5bfc\u81f4\u65f6\u95f4\u5e8f\u5217 y\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u8981\u5728 R \u4e2d\u6267\u884c Granger-Causality \u6d4b\u8bd5\uff0c\u6211\u4eec\u53ef\u4ee5\u4f7f\u7528<a href=\"https:\/\/cran.r-project.org\/web\/packages\/lmtest\/lmtest.pdf\" target=\"_blank\" rel=\"noopener\">lmtest<\/a>\u5305\u4e2d\u7684<strong>grangertest()<\/strong>\u51fd\u6570\uff0c\u8be5\u51fd\u6570\u4f7f\u7528\u4ee5\u4e0b\u8bed\u6cd5\uff1a<\/span><\/p>\n<p><span style=\"color: #000000;\"><strong>\u683c\u5170\u6770\u6d4b\u8bd5\uff08x\uff0cy\uff0c\u987a\u5e8f= 1\uff09<\/strong><\/span><\/p>\n<p><span style=\"color: #000000;\">\u91d1\u5b50\uff1a<\/span><\/p>\n<ul>\n<li> <span style=\"color: #000000;\"><strong>x\uff1a<\/strong>\u7b2c\u4e00\u4e2a\u65f6\u95f4\u5e8f\u5217<\/span><\/li>\n<li><span style=\"color: #000000;\"><strong>y\uff1a<\/strong>\u7b2c\u4e8c\u4e2a\u65f6\u95f4\u5e8f\u5217<\/span><\/li>\n<li><span style=\"color: #000000;\"><strong>order\uff1a<\/strong>\u7b2c\u4e00\u4e2a\u65f6\u95f4\u5e8f\u5217\u4e2d\u4f7f\u7528\u7684\u504f\u79fb\u91cf\u6570\u3002\u9ed8\u8ba4\u503c\u4e3a 1\u3002<\/span><\/li>\n<\/ul>\n<p><span style=\"color: #000000;\">\u4ee5\u4e0b\u5206\u6b65\u793a\u4f8b\u5c55\u793a\u4e86\u5982\u4f55\u5728\u5b9e\u8df5\u4e2d\u4f7f\u7528\u6b64\u529f\u80fd\u3002<\/span><\/p>\n<h3><span style=\"color: #000000;\"><strong>\u6b65\u9aa4 1\uff1a\u5b9a\u4e49\u4e24\u4e2a\u65f6\u95f4\u5e8f\u5217<\/strong><\/span><\/h3>\n<p><span style=\"color: #000000;\">\u5728\u672c\u793a\u4f8b\u4e2d\uff0c\u6211\u4eec\u5c06\u4f7f\u7528 lmtest \u5305\u4e2d\u9884\u52a0\u8f7d\u7684<strong>ChickEgg<\/strong>\u6570\u636e\u96c6\u3002\u8be5\u6570\u636e\u96c6\u503c\u5305\u542b 1930 \u5e74\u81f3 1983 \u5e74\u7f8e\u56fd\u751f\u4ea7\u7684\u9e21\u86cb\u6570\u91cf\u4ee5\u53ca\u9e21\u7684\u6570\u91cf\uff1a<\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong><span style=\"color: #008080;\">#load lmtest package<\/span>\n<span style=\"color: #993300;\">library<\/span> (lmtest)\n\n<span style=\"color: #008080;\">#load ChickEgg dataset\n<\/span>data(ChickEgg)\n\n<span style=\"color: #008080;\">#view first six rows of dataset\n<\/span>head(ChickEgg)\n\n     chicken egg\n[1,] 468491 3581\n[2,] 449743 3532\n[3,] 436815 3327\n[4,] 444523 3255\n[5,] 433937 3156\n[6,] 389958 3081<\/strong><\/pre>\n<h3><span style=\"color: #000000;\"><strong>\u6b65\u9aa4 2\uff1a\u6267\u884c\u683c\u5170\u6770\u56e0\u679c\u5173\u7cfb\u68c0\u9a8c<\/strong><\/span><\/h3>\n<p><span style=\"color: #000000;\"><span style=\"color: #000000;\">\u63a5\u4e0b\u6765\uff0c\u6211\u4eec\u5c06\u4f7f\u7528<strong>grangertest()<\/strong>\u51fd\u6570\u6267\u884c\u683c\u5170\u6770\u56e0\u679c\u5173\u7cfb\u68c0\u9a8c\uff0c\u770b\u770b\u6240\u4ea7\u9e21\u86cb\u7684\u6570\u91cf\u662f\u5426\u53ef\u4ee5\u9884\u6d4b\u672a\u6765\u6bcd\u9e21\u7684\u6570\u91cf\u3002\u6211\u4eec\u5c06\u4f7f\u7528\u4e09\u4e2a\u504f\u79fb\u91cf\u8fd0\u884c\u6d4b\u8bd5\uff1a<\/span><\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong><span style=\"color: #008080;\">#perform Granger-Causality test<\/span>\ngrangertest(chicken ~ egg, order = <span style=\"color: #008000;\">3<\/span> , data = ChickEgg)\n\nGranger causality test\n\nModel 1: chicken ~ Lags(chicken, 1:3) + Lags(egg, 1:3)\nModel 2: chicken ~ Lags(chicken, 1:3)\n  Res.Df Df F Pr(&gt;F)   \n1 44                     \n2 47 -3 5.405 0.002966 **\n---\nSignificant. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1\n<\/strong><\/pre>\n<p><span style=\"color: #000000;\">\u4ee5\u4e0b\u662f\u5982\u4f55\u89e3\u91ca\u7ed3\u679c\uff1a<\/span><\/p>\n<ul>\n<li><span style=\"color: #000000;\"><strong>\u6a21\u578b1\uff1a<\/strong>\u8be5\u6a21\u578b\u5c1d\u8bd5\u4f7f\u7528\u524d\u4e09\u5e74\u7684\u9e21\u6570\u91cf\u548c\u524d\u4e09\u5e74\u7684\u9e21\u86cb\u6570\u91cf\u4f5c\u4e3a\u9884\u6d4b\u53d8\u91cf\u6765\u9884\u6d4b\u9e21\u7684\u6570\u91cf\u3002<\/span><\/li>\n<li><span style=\"color: #000000;\"><strong>\u6a21\u578b 2\uff1a<\/strong>\u8be5\u6a21\u578b\u5c1d\u8bd5\u4ec5\u4f7f\u7528\u524d\u4e09\u5e74\u7684\u9e21\u6570\u91cf\u4f5c\u4e3a\u9884\u6d4b\u53d8\u91cf\u6765\u9884\u6d4b\u9e21\u7684\u6570\u91cf\u3002<\/span><\/li>\n<li> <span style=\"color: #000000;\"><strong>F\uff1a<\/strong>\u8fd9\u662fF\u68c0\u9a8c\u7edf\u8ba1\u91cf\u3002\u7ed3\u679c\u662f 5.405\u3002<\/span><\/li>\n<li> <span style=\"color: #000000;\"><strong>Pr(&gt;F)\uff1a<\/strong>\u8fd9\u662f\u5bf9\u5e94\u4e8e F \u68c0\u9a8c\u7edf\u8ba1\u91cf\u7684 p \u503c\u3002\u7ed3\u679c\u662f 0.002966\u3002<\/span><\/li>\n<\/ul>\n<p><span style=\"color: #000000;\">\u7531\u4e8e p \u503c\u5c0f\u4e8e 0.05\uff0c\u6211\u4eec\u53ef\u4ee5\u62d2\u7edd\u68c0\u9a8c\u7684\u539f\u5047\u8bbe\uff0c\u5e76\u5f97\u51fa\u7ed3\u8bba\uff1a\u77e5\u9053\u9e21\u86cb\u7684\u6570\u91cf\u6709\u52a9\u4e8e\u9884\u6d4b\u672a\u6765\u6bcd\u9e21\u7684\u6570\u91cf\u3002<\/span><\/p>\n<h3><span style=\"color: #000000;\"><strong>\u6b65\u9aa4 3\uff1a\u53cd\u5411\u6267\u884c\u683c\u5170\u6770\u56e0\u679c\u5173\u7cfb\u68c0\u9a8c<\/strong><\/span><\/h3>\n<p><span style=\"color: #000000;\"><span style=\"color: #000000;\">\u5c3d\u7ba1\u6211\u4eec\u62d2\u7edd\u4e86\u68c0\u9a8c\u7684\u539f\u5047\u8bbe\uff0c\u4f46\u5b9e\u9645\u4e0a\u6709\u53ef\u80fd\u53d1\u751f\u53cd\u5411\u56e0\u679c\u5173\u7cfb\u7684\u60c5\u51b5\u3002\u6362\u53e5\u8bdd\u8bf4\uff0c\u6bcd\u9e21\u7684\u6570\u91cf\u6709\u53ef\u80fd\u5bfc\u81f4\u9e21\u86cb\u6570\u91cf\u7684\u53d8\u5316\u3002<\/span><\/span><\/p>\n<p><span style=\"color: #000000;\">\u4e3a\u4e86\u6392\u9664\u8fd9\u79cd\u53ef\u80fd\u6027\uff0c\u6211\u4eec\u9700\u8981\u53cd\u5411\u6267\u884c\u683c\u5170\u6770\u56e0\u679c\u68c0\u9a8c\uff0c\u4f7f\u7528\u9e21\u4f5c\u4e3a\u9884\u6d4b\u53d8\u91cf\uff0c\u9e21\u86cb\u4f5c\u4e3a<a href=\"https:\/\/statorials.org\/cn\/\u53d8\u91cf\u89e3\u91ca\u6027\u53cd\u5e94\/\" target=\"_blank\" rel=\"noopener\">\u54cd\u5e94\u53d8\u91cf<\/a>\uff1a<\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong><span style=\"color: #008080;\">#perform Granger-Causality test in reverse<\/span>\ngrangertest(egg ~ chicken, order = <span style=\"color: #008000;\">3<\/span> , data = ChickEgg)\n\nGranger causality test\n\nModel 1: egg ~ Lags(egg, 1:3) + Lags(chicken, 1:3)\nModel 2: egg ~ Lags(egg, 1:3)\n  Res.Df Df F Pr(&gt;F)\n1 44                 \n2 47 -3 0.5916 0.6238\n<\/strong><\/pre>\n<p><span style=\"color: #000000;\">\u68c0\u9a8c\u7684 p \u503c\u4e3a 0.6238\u3002\u7531\u4e8e\u8be5\u503c\u4e0d\u5c0f\u4e8e 0.05\uff0c\u56e0\u6b64\u6211\u4eec\u4e0d\u80fd\u62d2\u7edd\u539f\u5047\u8bbe\u3002\u6362\u53e5\u8bdd\u8bf4\uff0c\u6bcd\u9e21\u7684\u6570\u91cf\u5e76\u4e0d\u80fd\u9884\u6d4b\u672a\u6765\u9e21\u86cb\u7684\u6570\u91cf\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u56e0\u6b64\uff0c\u6211\u4eec\u53ef\u4ee5\u5f97\u51fa\u7ed3\u8bba\uff0c\u77e5\u9053\u9e21\u86cb\u7684\u6570\u91cf\u6709\u52a9\u4e8e\u9884\u6d4b\u672a\u6765\u6bcd\u9e21\u7684\u6570\u91cf\u3002<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u683c\u5170\u6770\u56e0\u679c\u68c0\u9a8c\u7528\u4e8e\u786e\u5b9a\u4e00\u4e2a\u65f6\u95f4\u5e8f\u5217\u662f\u5426\u6709\u52a9\u4e8e\u9884\u6d4b\u53e6\u4e00\u4e2a\u65f6\u95f4\u5e8f\u5217\u3002 \u8be5\u68c0\u9a8c\u4f7f\u7528\u4ee5\u4e0b\u539f\u5047\u8bbe\u548c\u5907\u62e9\u5047\u8bbe\uff1a \u539f\u5047\u8bbe ( [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[11],"tags":[],"class_list":["post-1387","post","type-post","status-publish","format-standard","hentry","category-11"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v21.5 - 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