下記は、株価指数の対数値と各世代人口について、、Rを用いて1次の2変量VARモデルにより分析した結果である。80歳以上から分析を始めたところ、55-59世代人口で初めて株価指数にプラスの影響が出た。つまり、60歳以上の人口は、グランジャーの因果性は認められないものの、株価指数にとって負の影響を与えるということである。


> library(vars)
>  J<-read.table("c:\\JAPAN.txt",header=T)
> n<-J[,1]
> p80<-J[,18]
> J2<-data.frame(n,p80)
> var2.p<-VAR(J2,p=1,type="const")
> B(var2.p)
         n.l1        p80.l1      const
n   0.9439823 -1.471845e-05  0.5797968
p80 1.2049264  1.052066e+00 -8.2186900
 警告メッセージ: 
Function 'B' is deprecated; use 'Acoef' instead.
See help("vars-deprecated") and help("B-deprecated") for more information. 
> causality(var2.p,cause="p80")
$Granger

        Granger causality H0: p80 do not Granger-cause n

data:  VAR object var2.p 
F-Test = 0.6104, df1 = 1, df2 = 116, p-value = 0.4362


$Instant

        H0: No instantaneous causality between: p80 and n

data:  VAR object var2.p 
Chi-squared = 0.8211, df = 1, p-value = 0.3649


>  impulse<-irf(var2.p,impulse="p80",response=c("n"),boot=FALSE)
>  plot(impulse)
 
80
 

> p75<-J[,17]
> J2<-data.frame(n,p75)
> var2.p<-VAR(J2,p=1,type="const")
>  B(var2.p)
         n.l1        p75.l1       const
n   0.9415225 -1.554662e-05   0.6013296
p75 6.6539352  1.025235e+00 -31.5003987
 警告メッセージ: 
Function 'B' is deprecated; use 'Acoef' instead.
See help("vars-deprecated") and help("B-deprecated") for more information. 
> causality(var2.p,cause="p75")
$Granger

        Granger causality H0: p75 do not Granger-cause n

data:  VAR object var2.p 
F-Test = 0.2931, df1 = 1, df2 = 116, p-value = 0.5893


$Instant

        H0: No instantaneous causality between: p75 and n

data:  VAR object var2.p 
Chi-squared = 1.637, df = 1, p-value = 0.2007

> impulse<-irf(var2.p,impulse="p75",response=c("n"),boot=FALSE)
> plot(impulse)
80
>  p70<-J[,16]
>  J2<-data.frame(n,p70)
> var2.p<-VAR(J2,p=1,type="const")
> B(var2.p)
          n.l1        p70.l1        const
n    0.9385841 -9.537914e-06    0.6207369
p70 21.6744240  1.005485e+00 -107.9120516
 警告メッセージ: 
Function 'B' is deprecated; use 'Acoef' instead.
See help("vars-deprecated") and help("B-deprecated") for more information. 
>  causality(var2.p,cause="p70")
$Granger

        Granger causality H0: p70 do not Granger-cause n

data:  VAR object var2.p 
F-Test = 0.144, df1 = 1, df2 = 116, p-value = 0.705


$Instant

        H0: No instantaneous causality between: p70 and n

data:  VAR object var2.p 
Chi-squared = 0.1523, df = 1, p-value = 0.6963


> impulse<-irf(var2.p,impulse="p70",response=c("n"),boot=FALSE)
> plot(impulse)
80
> impulse<-irf(var2.p,impulse="p70",response=c("n"),boot=FALSE)
> plot(impulse)
>   p65<-J[,15]
>  J2<-data.frame(n,p65)
> var2.p<-VAR(J2,p=1,type="const")
> B(var2.p)
          n.l1        p65.l1        const
n    0.9456698 -1.465275e-05    0.5918841
p65 30.3599273  1.000981e+00 -151.2865065
 警告メッセージ: 
Function 'B' is deprecated; use 'Acoef' instead.
See help("vars-deprecated") and help("B-deprecated") for more information. 
>  causality(var2.p,cause="p65")
$Granger

        Granger causality H0: p65 do not Granger-cause n

data:  VAR object var2.p 
F-Test = 0.364, df1 = 1, df2 = 116, p-value = 0.5474


$Instant

        H0: No instantaneous causality between: p65 and n

data:  VAR object var2.p 
Chi-squared = 0.1892, df = 1, p-value = 0.6635

> impulse<-irf(var2.p,impulse="p65",response=c("n"),boot=FALSE)
> plot(impulse)
80
> p60<-J[,14]
> J2<-data.frame(n,p60)
> var2.p<-VAR(J2,p=1,type="const")
> B(var2.p)
          n.l1        p60.l1        const
n    0.9477402 -1.432969e-05    0.5863088
p60 33.5159642  9.995020e-01 -156.4685729
 警告メッセージ: 
Function 'B' is deprecated; use 'Acoef' instead.
See help("vars-deprecated") and help("B-deprecated") for more information. 
>  causality(var2.p,cause="p60")
$Granger

        Granger causality H0: p60 do not Granger-cause n

data:  VAR object var2.p 
F-Test = 0.3973, df1 = 1, df2 = 116, p-value = 0.5297


$Instant

        H0: No instantaneous causality between: p60 and n

data:  VAR object var2.p 
Chi-squared = 1.4929, df = 1, p-value = 0.2218


> impulse<-irf(var2.p,impulse="p60",response=c("n"),boot=FALSE)
> plot(impulse)
80
>  p55<-J[,13]
> J2<-data.frame(n,p55)
> var2.p<-VAR(J2,p=1,type="const")
> B(var2.p)
          n.l1       p55.l1        const
n    0.9229312 0.0000048768    0.6906682
p55 59.4894354 0.9564413453 -146.0923330
 警告メッセージ: 
Function 'B' is deprecated; use 'Acoef' instead.
See help("vars-deprecated") and help("B-deprecated") for more information. 
> causality(var2.p,cause="p55")
$Granger

        Granger causality H0: p55 do not Granger-cause n

data:  VAR object var2.p 
F-Test = 0.0391, df1 = 1, df2 = 116, p-value = 0.8435


$Instant

        H0: No instantaneous causality between: p55 and n

data:  VAR object var2.p 
Chi-squared = 2.7008, df = 1, p-value = 0.1003


> impulse<-irf(var2.p,impulse="p55",response=c("n"),boot=FALSE)
> plot(impulse)
80