R code (Granger Causality)

library(readxl)

data1=read.csv("D:/4-2/research project/trade_value_by_section_and_year_ind_bd_imp_exp (1).csv")

View(data1)

#selecting cases of bangladesh


bangladesh<-data1[data1$Country=="Bangladesh",]
india<-data1[data1$Country=="India",]
View(bangladesh)




library(urca)

library(tseries)



# gdp1<-diff(log(bangladesh$Import.Total))
#
# gdp<-diff(LABOR)
# plot(GDP,type='l')
# adf.test(gdp,k=9)
#
#
#
# #AIC TEST FOR OPTIMAL LAG Length
#
# install.packages('urca')
#
# library(vars)
# VARselect(gdp)
#
#
#
# # Define a custom function
# plot_and_adf_test <- function(data, variable_name) {
#   # Plot the variable
#   # plot(data[[variable_name]], type = 'l', main = variable_name)
#   plot.ts(data[[variable_name]])
#
#   # Perform ADF test
#   adf_result<-adf.test(data[[variable_name]])
#   print(adf_result)
#
#   }
#
#
#
# adf_gdp <- plot_and_adf_test(bangladesh, "GDP.GROWTH..ANNUAL...")
# adf_import<-plot_and_adf_test(bangladesh,"Import.Total")
# adf_export<-plot_and_adf_test(bangladesh, "EXPORT.TOTAL")
# adf_capital<-plot_and_adf_test(bangladesh,"Gross.Capital.Formation")
# adf_labor<-plot_and_adf_test(bangladesh, "Total.Labor")




#adf test of gdp growth, capital, import, export, labor



gdp<-bangladesh$GDP
gdp_X=ur.df(gdp,type="drift",selectlags = "AIC")
gdp_X
plot(gdp,type="l")
summary(gdp_X)
gdp_X@lags




import<-bangladesh$Import.Total
import_x=ur.df(import,type="drift",selectlags ="AIC")
import_x
summary(import_x)
import_x@lags



export<-bangladesh$EXPORT.TOTAL
export_x=ur.df(export,type="drift",selectlags = "AIC")
export_x
plot(export,type=)
summary(export_x)
export_x@lags


labor<-diff(bangladesh$Total.Labor)
labor_x=ur.df(labor, type="drift", selectlags = "AIC")
labor_x
summary(labor_x)
labor_x@lags



capital<-bangladesh$Gross.Capital.Formation
capital_x=ur.df(capital,type="drift",selectlags = "AIC")
capital_x
summary(capital_x)
capital_x@lags


# gdp[1:,]

#granger causality test


#null hypothesis: Time series X does not cause time series Y to Granger-cause itself.



library(lmtest)
grangertest(gdp~import,order=2)





gdp_ind<-diff(india$GDP)
gdp_x_ind=ur.df(gdp_ind,type="drift",selectlags = "AIC")
gdp_x_ind
plot(gdp_ind,type="l")
summary(gdp_x_ind)
gdp_x_ind@lags



import_ind<-diff(india$Import.Total)
import_x_ind=ur.df(import_ind,type="drift",selectlags ="AIC")
import_x_ind
summary(import_x_ind)
import_x_ind@lags


export_ind<-diff(india$EXPORT.TOTAL)
export_x_ind=ur.df(export_ind,type="drift",selectlags ="AIC")
export_x_ind
summary(export_x_ind)
export_x_ind@lags


grangertest(gdp_ind~export_ind,order=2)