library(vars)
library(dse)
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)

dy=diff(ly)
dm=diff(lm)

dydm<-data.frame(dy, dm)

VARselect(dydm, lag.max=8, type="const")
VARselect(dydm, lag.max=8, type="const")$select

eqdy<-dynlm(dy~L(dy,c(1,2,3,4))+L(dm,c(1,2,3,4)))
eqdm<-dynlm(dm~L(dy,c(1,2,3,4))+L(dm,c(1,2,3,4)))
stargazer(eqdy, eqdm, type="text")

VAR.res<-VAR(dydm, type="const", lag=4)
summary(VAR.res)

grangertest(dy~dm, order=4)
grangertest(dm~dy, order=4)

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")