Hi,
I am trying to learn time series, and I am attending a colleague's
course on Econometrics. However, he uses e-views, and I use R. I am
trying to reproduce his examples in R, but I am having problems
specifying a AR(1) model. Would anyone help me with my code?
Thanks in advance!
Reproducible code follows:
download.file("https://sites.google.com/a/proxima.adm.br/main/ex_32.csv
--no-check-certificate", "ex_32.csv", method="wget")
ex32=read.csv("ex_32.csv")
lm_ex32=lm(gc ~ yd, data=ex32)
summary(lm_ex32)
# Durbin-Watson (slide 26)
library(lmtest)
dwtest(gc ~ yd, data=ex32)
# or
dwtest(lm_ex32)
# Breusch-Godfrey
bgtest(lm_ex32, order=2)
# AR(1)
# In e-views, the specification was:
# GC = YD AR(1)
# and the output was:
# Dependent Variable: GC
# Method: Least Squares
# Sample: 1970Q2 1995Q2
# Included observations: 101
# Convergence achieved after 6 interations
# =========================================================
# Variable Coefficient Std.Error t-Statistic Prob.
# C -56.99706 19.84692 -2.871835 0.0050
# YD 0.937035 0.006520 143.7170 0.0000
# AR(1) 0.752407 0.066565 11.30338 0.0000
# =========================================================
# R-squared 0.999691 Mean dependent var 2345.867
# Adjusted R-squared 0.999685 S.D. dependent var 1284.675
# S.E. of regression 22.81029 Akaike info criterion 9.121554
# Sum squared resid 50990.32 Schwarz criterion 9.199231
# Log likelihood -457.6385 F-statistic 158548.1
# Durbin-Watson stat 2.350440 Prob(F-statistic) 0.000000
# following code based on
http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm
# "And now for some regression with autocorrelated errors."
# I've tried to follow the example in Pinheiro & Bates (2004), p.
239-244, with no success.
gc_ts = ts(ex32[66:166,"gc"])
yd_ts = ts(ex32[66:166,"yd"])
library(nlme)
trend = time(gc_ts)
fit_lm = lm(gc_ts ~ trend + yd_ts)
acf(resid(fit_lm))
pacf(resid(fit_lm))
gls_ex32_ar1 = gls(gc_ts ~ trend + yd_ts, correlation = corAR1(form=
~yd_ts),method="ML")
summary(gls_ex32_ar1)
_____________________________________________
Dr. Iuri Gavronski
Assistant Professor
Programa de Pós-Graduação em Administração
Universidade do Vale do Rio dos Sinos – UNISINOS
Av. Unisinos, 950 – São Leopoldo – RS – Brasil
Sala (Room) 5A 406 D
93022-000
www.unisinos.br
TEL +55-51-3591-1122 ext. 1589
FAX +55-51-3590-8447
Email: igavron...@unisinos.br
CV Lattes: http://lattes.cnpq.br/8843390959025944
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