ES_L20 Model

# Cut-and-Paste Code below into Window above and Run

#

# ESL20 Model (SPAIN)

#

merge.forecast <- function (fx,n=1) {

x <- splice(fx$pred,fx$forecast[[n]])

colnames(x) <- seriesNames(fx$data$output)

return(x)

} 

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

require(dse)

require(matlab)

#

# Measurement Matrix  (ES_SYS.index)  # (GROWTH) (LU-L-EF) (EF+LU-EG-Q)

#

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

#[1,]         0.3527            0.3500         0.3554         0.3315      0.3541

#[2,]        -0.0307            0.0362        -0.0771        -0.3856      0.0135

#[3,]        -0.0940           -0.3823        -0.2095         0.0683      0.0817

#     SL.UEM.TOTL.ZS     EF    KOF    HDI

#[1,]          0.243  0.300  0.341  0.355

#[2,]          0.778 -0.447  0.153  0.117

#[3,]          0.489  0.684 -0.259 -0.127

#

# Fraction of Variance 

#[1] 0.862 0.948 0.983 0.997 0.999 1.000 1.000 1.000 1.000

#

f <- matrix( c(1.012515245, 0.004650047,  0.01709644,  0.16883530,

                     0.015455666, 0.959520970, -0.15167718, -0.01127248,

                     0.005752657, 0.036998778,  1.05980297,  0.01080932,

0.00000000,  0.0000000,  0.0000000,  1.0000000000

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

# To Stabiize, Uncomment Next Line

# f[1,1] <- f[3,3] <- f[2,2]

#

h <- eye(3,4)

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

ESL20 <- SS(F=f,H=h,K=k,z0=c(0.16883530, -0.01127248,  0.01080932,  1.0000000000),

              output.names=c("ES1","ES2","ES3"))

print(ESL20)

is.SS(ESL20)

stability(ESL20)

# tfplot(simulate(ESL20,sampleT=100,start=1950))

ESL20.data <- simulate(ESL20,sampleT=100,noise=matrix(0,100,3),start=1950)

ESL20.f <- forecast(m <- l(ESL20,ESL20.data),horizon=100)

tfplot(ESL20.f)

AIC(m)

shockDecomposition(toSSChol(ESL20))