setwd("D:/uni year 3/EE435")
#install.packages("quantmod")  
#install.packages("fBasics") 
#install.packages("sn")  
#install.packages("PerformanceAnalytics") 
#install.packages("car") 
#install.packages("tseries")  
#install.packages("forecast") 
#install.packages("fGarch")
#install.packages("vars")
require(vars)
library(fGarch)
library(quantmod) 
library(fBasics)
library(sn)
library(PerformanceAnalytics)
library(car)
library(tseries)
library(forecast)
require(quantmod)

#1 
da1 = read.table("m-unrate-MIILIN.txt", header = T)
head(da1)
unemp_mi = da1$MI
unemp_il = da1$IL
unemp_in = da1$IN
dim(da1)
x = cbind(unemp_mi, unemp_il, unemp_in)
x = log(x)
zt = diff(x)*100
colnames(zt) = c("unemp_mi","unemp_il", "unemp_in")
m1 = VAR(zt, p = 2)
summary(m1)
impresp = irf(m1)
plot(impresp)


#2
da2 = read.table("m-m1cnwti.txt")
head(da2)
x2 = cbind(da2$V1, da2$V2)
colnames(x2) = c("M1","Crude oil")
m2 = VAR(x2,p = 3)
summary(m2)
impresp2 = irf(m2)
plot(impresp2)
var.prd = predict(m2, n.ahead = 6, ci = 0.95)
fanchart(var.prd)
fevd(m2, n.head = 15)