library(dse) library(vars) library(dynlm) library(stargazer) sample1<-("http://kanggc.iptime.org/book/data/korea(77-93).txt") sample1_dat<-read.delim(sample1,header=T) gnp<-ts(sample1_dat$gnp, start=c(1977,1), frequency=4) m2<-ts(sample1_dat$m2, start=c(1977,1), frequency=4) ly<-log(gnp) lm<-log(m2) plot(ly, type="l", col="red", ylim=c(8, 12), xlab="Time", ylab="GNP & M2") lines(lm, lty=2, col="blue") dy=diff(ly) dm=diff(lm) eqdy<-dynlm(dy~L(dy)+L(dm)) eqdm<-dynlm(dm~L(dy)+L(dm)) stargazer(eqdy, eqdm, type="text") dydm<-data.frame(dy, dm) VAR.res<-VAR(dydm, type="const", lag=1) summary(VAR.res) grangertest(dy~dm, lag=1) grangertest(dm~dy, lag=1) ym.irf <- irf(VAR.res, response = c("dy", "dm"), n.ahead = 16, boot = TRUE) plot(ym.irf) fevd.dy <- fevd(VAR.res, n.ahead = 16)$dy fevd.dy*100 fevd.dm <- fevd(VAR.res, n.ahead = 16)$dm fevd.dm*100 args(vars:::predict.varest) var4.pred<-predict(VAR.res, n.ahead=4, ci=0.95) var4.pred class(var4.pred) args(fanchart) plot(var4.pred, names="dy") plot(var4.pred, names="dm") fanchart(var4.pred, names="dy") fanchart(var4.pred, names="dm")