UKL20 Model

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

#

# UKL20 BAU Model   (Growth-CO2-LU) (CO2+E-Q)    (L+N+LU+EF-HDI)

#

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

require(dse)

require(matlab)

#

# Measurement Matrix (Growth-CO2-LU) (CO2+E-Q)    (LU+L+N+EF-KOF-HDI)

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

#[1,]         -0.319             0.211         0.4169          0.315      0.4042         -0.324  0.3864

#[2,]          0.392             0.558         0.0249         -0.321     -0.0222         -0.126  0.0656

#[3,]         -0.127             0.225         0.0473          0.417      0.3184          0.712 -0.2282

 #        EF    HDI

#[1,] 0.0113  0.403

#[2,] 0.6356  0.083

#[3,] 0.2818 -0.128

#

# Fraction of Variance 

#[1] 0.634 0.880 0.934 0.977 0.989 0.997 0.999 1.000 1.000

#

f <- matrix( c( 1.00000000,  0.000000000,  0.0000000000,  0.000000000,

                     0.15156250,  1.018572111,  0.0002269249,  0.005172694,

                    -0.06983131, -0.126397980,  1.0576660915, -0.275455949,

                     0.04382693, -0.001373313, -0.0298119308 , 0.926069637

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

#

# To Stabilize Model, uncomment next line.

# f[2,2] <- 0.99; f[3,3] <- f[4,4] <- 0.86

#

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])

UKL20 <- SS(F=f,H=h,K=k,z0=c(0.18523710,  0.12768160, -0.07483881,  1.0000000000),

              output.names=c("UK1","UK2","UK3"))

print(UKL20)

is.SS(UKL20)

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

#tfplot(simulate(UKL20,sampleT=150,start=1960))

UKL20.data <- simulate(UKL20,sampleT=150,noise=matrix(0,50,3),start=1960)

UKL20.f <- forecast(l(UKL20,UKL20.data),horizon=150)

tfplot(UKL20.f)

AIC(m <- l(UKL20,UKL20.data))

shockDecomposition(m)