#EE435 Final Take home exam
cat(rep("\n",50)) #clear R console
setwd("C:/Users/lenovo/OneDrive/เอกสาร/EE435 Q1 6004820012")
library(quantmod)
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)
EC=cbind(as.numeric(IPDCONGD),as.numeric(IPNCONGD),as.numeric(IPBUSEQ),as.numeric(IPMAT[-c(1:96)]))
dim(IP)
colnames(EC)=c("IPD","IPN","IPB","IPM")
#1.1
require(MTS)
EC=log(EC)
mt=diff(EC)
MTSplot(mt)
#1.2
VARorder(mt)
m1=VAR(mt,2)
m2=refVAR(m1,thres = 1.645)
#1.3 uninstall MTS first then use vars
require(vars)
varfit=VAR(mt,p=2)
impresp=irf(varfit)
plot(impresp)
#1.4
fevd(varfit,n.ahead = 6)
#1.5
predict(varfit,6)