Nothing
require("dse")
data("eg1.DSE.data", package = "dse")
data("eg1.DSE.data.diff", package = "dse")
cat("Retrieve data from file eg1.dat and build a TSdata object.\n")
#eg1.dat <- t(matrix(scan("eg1.dat", sep="")),5, 364))[, 2:5]
#eg1.dat <- TSdata(input = eg1.dat[,1,drop = F],
# output = eg1.dat[, 2:4, drop = F])
#eg1.dat <-tframed(eg1.dat, list(start=c(1961,3), frequency=12))
eg1.dat <-tframed(eg1.DSE.data, list(start=c(1961,3), frequency=12))
seriesNamesInput(eg1.dat) <- "R90"
seriesNamesOutput(eg1.dat) <- c("M1","GDPl2", "CPI")
cat("This should be the same as eg1.DSE.data\n")
if (testEqual(eg1.dat, eg1.DSE.data))
cat("Data compares ok.\n") else
cat("Data does not compare.\n")
cat("Note: The first part of this demo uses the total sample. BoC Working\n")
cat(" Paper 93-4 was estimated with a sub-sample and used estVARXar!\n")
# VARmodel <- estVARXar(eg1.DSE.data.diff, re.add.means=F)
VARmodel <- estVARXls(eg1.DSE.data.diff, re.add.means=F)
summary(VARmodel)
roots(VARmodel)
stability(VARmodel)
tfplot(VARmodel)
# cat("Use a TSmodel and evaluate it using a \n")
# cat("different data set (the first 240 observations from eg1.DSE.data.diff).\n")
# summary(l(VARmodel, eg1.DSE.data.diff, sampleT=240, predictT=240))
cat("Use a TSmodel and evaluate it using a different data set.\n")
summary(l(VARmodel, eg1.DSE.data.diff, sampleT=363, predictT=363))
cat(" toSS and evaluate with the same data set...\n")
SSmodel <- l(toSS(VARmodel), TSdata(VARmodel))
abs(VARmodel$estimates$like[1] - SSmodel$estimates$like[1])
cat(" toARMA and evaluate with the same data set...\n")
ARMAmodel <- l(toARMA(SSmodel), TSdata(VARmodel))
abs(VARmodel$estimates$like[1] - ARMAmodel$estimates$like[1])
cat(" McMillanDegree...\n")
McMillanDegree(VARmodel, verbose=F)$distinct
cat(" Working Paper 93-4 comparisons:\n")
cat(" VAR model likelihood...\n")
sub.sample <- tfwindow(eg1.DSE.data.diff,end=c(1981,2))
VARmodel <- estVARXar(sub.sample, re.add.means=F)
summary(VARmodel)
cat(" VAR model \n")
roots(VARmodel, by.poly=T)
cat(" State Space model\n")
SS1.model <- l(balanceMittnik(toSS(VARmodel), n=9), sub.sample)
summary(SS1.model)
roots(SS1.model)
cat(" ARMA model \n")
ARMA.model<- l(toARMA(SS1.model), sub.sample)
summary(ARMA.model)
cat(" ARMA model roots (calculated two ways) ...\n")
roots(ARMA.model, fuzz=1e-4)
roots(ARMA.model, fuzz=1e-4, by.poly=T)
stability(ARMA.model, fuzz=1e-4)
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