#EE435 Final Take home exam 6004820012
cat(rep("\n",50)) #clear R console
setwd("C:/Users/lenovo/OneDrive/เอกสาร/EE435 6004820012 Q3")
library(quantmod)
library(fGarch)
getSymbols("CLVMNACSCAB1GQUK",src="FRED")
getSymbols("GDPC1",src="FRED")
getSymbols("NAEXKP01CAQ189S",src="FRED")
UK=CLVMNACSCAB1GQUK[21:146]
US=GDPC1[133:258]
CANADA=NAEXKP01CAQ189S[77:202]
#3.1
require(MTS)
GOT7=cbind(as.numeric(UK),as.numeric(US),as.numeric(CANADA))
dim(data)
library(urca)
hope=ur.df(log(UK),type="drift",lags=2)
summary(hope)

hope=ur.df(log(CANADA),type="drift",lags=2)
hope=ur.df(log(UK),type="drift",lags=2)
summary(hope)

hope=ur.df(log(CANADA),type="drift",lags=2)



colnames(GOT7)=c("UK","US","CANADA")
GOT7=log(GOT7)
install.packages('urca')
VARorder(GOT7)
ton=VAR(GOT7,3)
ton1 = refVAR(ton,thres=1.645)
par(mar=c(1,1,1,1))
MTSdiag(ton1)


require(urca)
ts.plot(UK)
ts.plot(CANADA)
ts.plot(US)

BTS=ca.jo(GOT7,ecdet="const",type="trace",K=3,spec="transitory")
summary(BTS)

#3.2 
#3.2
detach("package:MTS", unload = TRUE)
require(vars)

demi=VAR(GOT7,p=3)
summary(demi)
m1=irf(demi)
plot(m1)
#3.3
fevd(demi,n.ahead=5)
#3.4 use 3.1 output
#3.5
require(MTS)
ny=ECMvar1(GOT7,3,bp,include.const = T)
nya=refECMvar1(ny,thres = 1)
MTSdiag(nya)
nya$coef