library(tseries)
library(vars)
library(dynlm)
library(urca)
library(tsDyn)

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)

n<-length(gnp)

ly<-log(gnp)
lm<-log(m2)

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

lylm<-data.frame(ly, lm)
dydm<-data.frame(dy, dm)

VAR.res<-VAR(dydm, type="const", lag=1)
summary(VAR.res)

lm.res<-lm(ly~lm-1)
summary(lm.res)

summary(ur.df(lm.res$resid, type="none", selectlags = c("AIC")))

ect<-resid(lm.res)
lect<-ect[1:n-1]

summary(dynlm(d(ly)~L(d(ly))+L(d(lm))+lect))
summary(dynlm(d(lm)~L(d(ly))+L(d(lm))+lect))

VECM.res<-VECM(lylm, lag=1, include=c("const"), estim="2OLS")
summary(VECM.res)

ly.irf <- irf(VECM.res, impulse="ly", response = c("ly", "lm"), n.ahead = 16, boot = TRUE)
plot(ly.irf)

lm.irf <- irf(VECM.res, impulse="lm", response = c("ly", "lm"), n.ahead = 16, boot = TRUE)
plot(lm.irf)

fevd.ly <- fevd(VECM.res, n.ahead = 16)$ly
fevd.ly*100
fevd.lm <- fevd(VECM.res, n.ahead = 16)$lm
fevd.lm*100