IL_L20 Model

# Cut-and-Paste Code Below into Window Above and Run

# Israel (IL_L20 Model)

#

require(dse)

require(matlab)

# Measurement Matrix   # (Growth) (LU -EF-KOF) (Q +LU +EF - KOF - HDI)

#     EN.ATM.CO2E.KT EG.USE.COMM.KT.OE NY.GDP.MKTP.KD SL.TLF.TOTL.IN SP.POP.TOTL

#[1,]        0.33525          0.334060        0.33486        0.33453     0.33805

#[2,]       -0.06754         -0.089830       -0.14147        0.03349    -0.02945

#[3,]        0.03037         -0.002553       -0.03488        0.29939    -0.15992

#     SL.UEM.TOTL.ZS SL.UEM.TOTL.NE.ZS     KOF      EF      HDI

#[1,]         0.2834           0.27625  0.3203  0.2619  0.33151

#[2,]         0.5137           0.54539 -0.2381 -0.5818  0.09392

#[3,]         0.4500          -0.06347 -0.5155  0.5189 -0.37566

#

# Fraction of Variance 

 #[1] 0.8687 0.9678 0.9828 0.9931 0.9959 0.9979 0.9991 0.9997 0.9999 1.0000

#

AIC <- function(model) {informationTestsCalculations(model)[3]}

f <- matrix( c(  1.000000000,  0.00000000,  0.00000000, 0.0000000,

                        0.203101651,  1.02477066, -0.04186422, 0.1442990,

                       -0.027395845, -0.02772018,  0.98263183, 0.1247217,

                        0.006998265,  0.01788219, -0.04205730, 0.9284307

),byrow=TRUE,nrow=4,ncol=4)

# To Stabilize Model, Uncomment Next Line

# f[2,2] <- 0.92

h <- matrix(c(0,    1,    0,    0,

                      0,   0,    1,    0,

                      0,    0,    0,    1

),byrow=TRUE,nrow=3,ncol=4)

k <- f[1:4,2:4,drop=FALSE]

IL20 <- SS(F=f,H=h,K=k,z0=c( 1.0000000, -4.2691740, -0.4891376,  0.7376881),

              output.names=c("IL1","IL2","IL3"))

stability(SS(F=f[2:4,2:4],H=eye(3),R=eye(3),Q=eye(3,3)))

shockDecomposition(toSSChol(IL20))

#

IL20.data <- simulate(IL20,sampleT=150,start=1960,noise=matrix(0,150,3))

m <- l(IL20,IL20.data)

#tfplot(m)

IL20.f <- forecast(m,horizon=150)

tfplot(IL20.f)

AIC(m)