UAL20 Ukraine

#

# UAL20 BAU Model (Cut-and-Paste Code below into window above and Run (Cmd-Enter))

#

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

#

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

#[1,]       -0.44492             0.320        -0.0949         -0.431

#[2,]       -0.00332             0.378         0.5446          0.116

#[3,]        0.09127            -0.256         0.3296         -0.134

#     SP.POP.TOTL SL.UEM.TOTL.ZS   HDI     EF    KOF

#[1,]       0.193         0.3270 0.238 0.3941  0.385

#[2,]       0.385        -0.3784 0.412 0.0947 -0.277

#[3,]      -0.695        -0.0499 0.512 0.1592  0.161

#

 #Fraction of Variance 

#[1] 0.555 0.876 0.962 0.991 0.996 0.999 1.000 1.000 1.000

#

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

require(dse)

require(matlab)

f <- matrix( c(0.98126945,  0.02960859, 0.00616209, 0.12596852,

                    -0.05621155 , 0.96535464, 0.14721358, 0.03040828,

                       0.03222901, -0.05755769, 1.05202408, 0.04012898,

0.00000000,  0.0000000,  0.0000000,  1.0000000000

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

#

# To stabilize, uncomment next line

# f[3,3] <- .9

#

h <- eye(3,4)

k <- (f[,1:3,drop=FALSE])

UAL20 <- SS(F=f,H=h,K=k,z0=c(0.12596852, 0.03040828, 0.04012898,  1.0000000000),

              output.names=c("UA1","UA2","US3"))

print(UAL20)

is.SS(UAL20)

stability(UAL20)

# tfplot(simulate(UAL20,sampleT=100))

UAL20.data <- simulate(UAL20,sampleT=20,noise=matrix(0,100,3),start=1960)

UAL20.f <- forecast(l(UAL20,UAL20.data),horizon=100)

tfplot(UAL20.f)

AIC(l(UAL20,UAL20.data))

m <- toSSChol(UAL20)

shockDecomposition(m)

#
# UAL20 Random Walk

#

UAL20r <- SS(F=eye(4),H=h,Q=eye(4,3),R=eye(3),z0=c(0.12596852, 0.03040828, 0.04012898,  1.0000000000),

              output.names=c("UA1","UA2","US3"))

UAL20r.data <- simulate(UAL20r,sampleT=100,start=1960)

UAL20r.model <- l(UAL20r,UAL20r.data)

tfplot(UAL20r.model)