Thanks to visit codestin.com
Credit goes to www.scribd.com

Scribd
Upload
19 views10 pages

Code

Uploaded by

Roidar khan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
19 views10 pages

Code

Uploaded by

Roidar khan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 10

Assignment

2024-06-19
# Install necessary packages if not already installed

# Load necessary libraries


library(readxl)

## Warning: package 'readxl' was built under R version 4.3.3

library(ggplot2)

## Warning: package 'ggplot2' was built under R version 4.3.1

library(urca)

## Warning: package 'urca' was built under R version 4.3.3

library(vars)

## Warning: package 'vars' was built under R version 4.3.3

## Loading required package: MASS

## Loading required package: strucchange

## Warning: package 'strucchange' was built under R version 4.3.3

## Loading required package: zoo

## Warning: package 'zoo' was built under R version 4.3.2

##
## Attaching package: 'zoo'

## The following objects are masked from 'package:base':


##
## as.Date, as.Date.numeric

## Loading required package: sandwich

## Warning: package 'sandwich' was built under R version 4.3.3

## Loading required package: lmtest

## Warning: package 'lmtest' was built under R version 4.3.3

library(lmtest)
library(sandwich)
library(aod)
## Warning: package 'aod' was built under R version 4.3.3

# Load the dataset


file_path <- "HAdata.xlsx"
data <- read_excel(file_path, sheet = "Tabelle1")

# Convert data to time series format


data$Quarterly <- as.Date(data$Quarterly)
ts_data <- ts(data[, -1], start = c(1985, 1), frequency = 4)

# 1. Plot the time series of GDP and SPREAD


# Create individual plots
gdp_plot <- ggplot(data, aes(x = Quarterly)) +
geom_line(aes(y = GDP), color = "blue") +
labs(title = "Time Series of GDP", x = "Quarterly", y = "GDP") +
theme_minimal()

spread_plot <- ggplot(data, aes(x = Quarterly)) +


geom_line(aes(y = SPREAD), color = "red") +
labs(title = "Time Series of SPREAD", x = "Quarterly", y = "SPREAD") +
theme_minimal()

# Print plots
print(gdp_plot)

print(spread_plot)
# 2. Perform an ADF test for all variables
adf_gdp <- ur.df(log(data$GDP), type = "trend", lags = 4)
adf_spread <- ur.df(data$SPREAD, type = "trend", lags = 4)

summary(adf_gdp)

##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.100909 -0.003043 0.000605 0.004519 0.063065
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.3521178 0.1574980 2.236 0.0269 *
## z.lag.1 -0.0402397 0.0186461 -2.158 0.0326 *
## tt 0.0004361 0.0002122 2.055 0.0417 *
## z.diff.lag1 -0.0521032 0.0818492 -0.637 0.5254
## z.diff.lag2 0.0976401 0.0818038 1.194 0.2346
## z.diff.lag3 0.0784984 0.0819449 0.958 0.3397
## z.diff.lag4 0.0268430 0.0820036 0.327 0.7439
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.01198 on 145 degrees of freedom
## Multiple R-squared: 0.05272, Adjusted R-squared: 0.01352
## F-statistic: 1.345 on 6 and 145 DF, p-value: 0.241
##
##
## Value of test-statistic is: -2.1581 9.6872 2.699
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -3.99 -3.43 -3.13
## phi2 6.22 4.75 4.07
## phi3 8.43 6.49 5.47

summary(adf_spread)

##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1.19709 -0.25711 -0.03748 0.21175 1.06278
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.2150709 0.0835822 2.573 0.011081 *
## z.lag.1 -0.1218045 0.0321123 -3.793 0.000218 ***
## tt -0.0008051 0.0007555 -1.066 0.288401
## z.diff.lag1 0.4447543 0.0787861 5.645 8.41e-08 ***
## z.diff.lag2 -0.0559768 0.0872612 -0.641 0.522220
## z.diff.lag3 0.1277958 0.0863573 1.480 0.141083
## z.diff.lag4 0.1058927 0.0829093 1.277 0.203569
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.4063 on 145 degrees of freedom
## Multiple R-squared: 0.234, Adjusted R-squared: 0.2023
## F-statistic: 7.384 on 6 and 145 DF, p-value: 6.598e-07
##
##
## Value of test-statistic is: -3.7931 4.9719 7.4371
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -3.99 -3.43 -3.13
## phi2 6.22 4.75 4.07
## phi3 8.43 6.49 5.47

# 3. ADL(p,q) model for first difference of log(GDP)


dlog_gdp <- diff(log(data$GDP))
spread <- data$SPREAD[-1]

# Determine p and q using AIC and BIC


VARselect(cbind(dlog_gdp, spread), lag.max = 4, type = "both")

## $selection
## AIC(n) HQ(n) SC(n) FPE(n)
## 4 2 2 4
##
## $criteria
## 1 2 3 4
## AIC(n) -1.043748e+01 -1.059308e+01 -1.059077e+01 -1.060344e+01
## HQ(n) -1.037283e+01 -1.049610e+01 -1.046146e+01 -1.044181e+01
## SC(n) -1.027833e+01 -1.035435e+01 -1.027247e+01 -1.020556e+01
## FPE(n) 2.931362e-05 2.509118e-05 2.515193e-05 2.483982e-05

# 4. ADL(1,1) model estimation


adldata <- data.frame(
DY = dlog_gdp,
DY_lag = c(NA, dlog_gdp[-length(dlog_gdp)]),
SPREAD = spread,
SPREAD_lag = c(NA, spread[-length(spread)])
)

adldata <- na.omit(adldata)

model <- lm(DY ~ DY_lag + SPREAD + SPREAD_lag, data = adldata)


summary(model)

##
## Call:
## lm(formula = DY ~ DY_lag + SPREAD + SPREAD_lag, data = adldata)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.096566 -0.003576 0.000331 0.004532 0.063239
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.012731 0.001703 7.474 5.86e-12 ***
## DY_lag -0.085643 0.081366 -1.053 0.2942
## SPREAD -0.004771 0.002148 -2.221 0.0278 *
## SPREAD_lag 0.005045 0.002155 2.341 0.0206 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.01185 on 151 degrees of freedom
## Multiple R-squared: 0.03757, Adjusted R-squared: 0.01845
## F-statistic: 1.965 on 3 and 151 DF, p-value: 0.1217

# Plot autocorrelogram of residuals


acf(residuals(model))

# Autocorrelation test on residuals


bgtest(model, order = 4)

##
## Breusch-Godfrey test for serial correlation of order up to 4
##
## data: model
## LM test = 3.0389, df = 4, p-value = 0.5513
# If residuals are autocorrelated, re-estimate with Newey-West variance
estimator
coeftest(model, vcov = NeweyWest(model))

##
## t test of coefficients:
##
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.0127310 0.0018711 6.8040 2.235e-10 ***
## DY_lag -0.0856430 0.1523950 -0.5620 0.57496
## SPREAD -0.0047712 0.0024259 -1.9667 0.05105 .
## SPREAD_lag 0.0050452 0.0026871 1.8776 0.06237 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

# Perform Wald test


wald.test(b = coef(model), Sigma = vcovHC(model, type = "HC0"), Terms = c(2,
3))

## Wald test:
## ----------
##
## Chi-squared test:
## X2 = 3.9, df = 2, P(> X2) = 0.14

# Print all results


print(summary(adf_gdp))

##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.100909 -0.003043 0.000605 0.004519 0.063065
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.3521178 0.1574980 2.236 0.0269 *
## z.lag.1 -0.0402397 0.0186461 -2.158 0.0326 *
## tt 0.0004361 0.0002122 2.055 0.0417 *
## z.diff.lag1 -0.0521032 0.0818492 -0.637 0.5254
## z.diff.lag2 0.0976401 0.0818038 1.194 0.2346
## z.diff.lag3 0.0784984 0.0819449 0.958 0.3397
## z.diff.lag4 0.0268430 0.0820036 0.327 0.7439
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.01198 on 145 degrees of freedom
## Multiple R-squared: 0.05272, Adjusted R-squared: 0.01352
## F-statistic: 1.345 on 6 and 145 DF, p-value: 0.241
##
##
## Value of test-statistic is: -2.1581 9.6872 2.699
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -3.99 -3.43 -3.13
## phi2 6.22 4.75 4.07
## phi3 8.43 6.49 5.47

print(summary(adf_spread))

##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1.19709 -0.25711 -0.03748 0.21175 1.06278
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.2150709 0.0835822 2.573 0.011081 *
## z.lag.1 -0.1218045 0.0321123 -3.793 0.000218 ***
## tt -0.0008051 0.0007555 -1.066 0.288401
## z.diff.lag1 0.4447543 0.0787861 5.645 8.41e-08 ***
## z.diff.lag2 -0.0559768 0.0872612 -0.641 0.522220
## z.diff.lag3 0.1277958 0.0863573 1.480 0.141083
## z.diff.lag4 0.1058927 0.0829093 1.277 0.203569
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.4063 on 145 degrees of freedom
## Multiple R-squared: 0.234, Adjusted R-squared: 0.2023
## F-statistic: 7.384 on 6 and 145 DF, p-value: 6.598e-07
##
##
## Value of test-statistic is: -3.7931 4.9719 7.4371
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -3.99 -3.43 -3.13
## phi2 6.22 4.75 4.07
## phi3 8.43 6.49 5.47

print(VARselect(cbind(dlog_gdp, spread), lag.max = 4, type = "both"))

## $selection
## AIC(n) HQ(n) SC(n) FPE(n)
## 4 2 2 4
##
## $criteria
## 1 2 3 4
## AIC(n) -1.043748e+01 -1.059308e+01 -1.059077e+01 -1.060344e+01
## HQ(n) -1.037283e+01 -1.049610e+01 -1.046146e+01 -1.044181e+01
## SC(n) -1.027833e+01 -1.035435e+01 -1.027247e+01 -1.020556e+01
## FPE(n) 2.931362e-05 2.509118e-05 2.515193e-05 2.483982e-05

print(summary(model))

##
## Call:
## lm(formula = DY ~ DY_lag + SPREAD + SPREAD_lag, data = adldata)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.096566 -0.003576 0.000331 0.004532 0.063239
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.012731 0.001703 7.474 5.86e-12 ***
## DY_lag -0.085643 0.081366 -1.053 0.2942
## SPREAD -0.004771 0.002148 -2.221 0.0278 *
## SPREAD_lag 0.005045 0.002155 2.341 0.0206 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.01185 on 151 degrees of freedom
## Multiple R-squared: 0.03757, Adjusted R-squared: 0.01845
## F-statistic: 1.965 on 3 and 151 DF, p-value: 0.1217

print(bgtest(model, order = 4))

##
## Breusch-Godfrey test for serial correlation of order up to 4
##
## data: model
## LM test = 3.0389, df = 4, p-value = 0.5513

print(coeftest(model, vcov = NeweyWest(model)))

##
## t test of coefficients:
##
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.0127310 0.0018711 6.8040 2.235e-10 ***
## DY_lag -0.0856430 0.1523950 -0.5620 0.57496
## SPREAD -0.0047712 0.0024259 -1.9667 0.05105 .
## SPREAD_lag 0.0050452 0.0026871 1.8776 0.06237 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

print(wald.test(b = coef(model), Sigma = vcovHC(model, type = "HC0"), Terms =


c(2, 3)))

## Wald test:
## ----------
##
## Chi-squared test:
## X2 = 3.9, df = 2, P(> X2) = 0.14

You might also like