#EE435 
setwd("/Users/mew/Desktop")
cat(rep("\n",50))  #clear R Console
#install.packages("quantmod")  
#install.packages("fBasics") 
#install.packages("sn")  
#install.packages("PerformanceAnalytics") 
#install.packages("car") 
#install.packages("tseries")  
#install.packages("forecast")
library(quantmod) 
library(fBasics)
library(sn)
library(PerformanceAnalytics)
library(car)
library(tseries)
library(forecast)
#1
getSymbols("IPDCONGD",src = "FRED")
dim(IPDCONGD)
tail(IPDCONGD)
getSymbols("IPNCONGD",src = "FRED")
dim(IPNCONGD)
getSymbols("IPBUSEQ",src = "FRED")
dim(IPBUSEQ)
getSymbols("IPMAT",src = "FRED")
dim(IPMAT)
IP=cbind(as.numeric(IPDCONGD),as.numeric(IPNCONGD),as.numeric(IPBUSEQ),as.numeric(IPMAT[-c(1:96)]))
dim(IP)
colnames(IP) <- c("IPD","IPN","IPB","IPM")
#1.1
require(MTS)
x=log(IP)
zt=diff(x)*100
MTSplot(zt)
#1.2
VARorder(zt)
m1=VAR(zt,2)
m2=refVAR(m1,thres = 1.645)
#1.3 uninstall MTS
require(vars)
varfit=VAR(zt,p=2)
impresp=irf(varfit)
plot(impresp)
#1.4
fevd(varfit,n.ahead = 10)
#1.5
predict(varfit,6)
varfit.prd <- predict(varfit, n.ahead = 20, ci = 0.95)
fanchart(varfit.prd)