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CPI VT

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Thục Đoan
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24 views11 pages

CPI VT

ss

Uploaded by

Thục Đoan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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library(readxl)

CPI_U <- read_excel("C:/Users/DELL/Desktop/CPI.U.xlsx")

r<-CPI_U$r
library(carData)
library(zoo)

##
## Attaching package: 'zoo'

## The following objects are masked from 'package:base':


##
## as.Date, as.Date.numeric

library(foreign)
library(dynlm)
library(sandwich)
library(car)
library(ggplot2)
library(forecast)

## Registered S3 method overwritten by 'quantmod':


## method from
## as.zoo.data.frame zoo

library(tseries)
library(urca)

r=ts(r, start=c(1995,8), end=c(2023,12),frequency = 12 )

summary(r)

## Min. 1st Qu. Median Mean 3rd Qu. Max.


## -0.344160 -0.055253 -0.002271 0.003145 0.050269 0.280229

plot(r)
r.ts=decompose(r, type = c("additive"), filter = NULL)
autoplot(r.ts)
r.ts1=decompose(r, type = c("multiplicative"), filter = NULL)
autoplot(r.ts1)

Box.test(r)

##
## Box-Pierce test
##
## data: r
## X-squared = 1.3714, df = 1, p-value = 0.2416

adf.test(r)

## Warning in adf.test(r): p-value smaller than printed p-value

##
## Augmented Dickey-Fuller Test
##
## data: r
## Dickey-Fuller = -11.482, Lag order = 6, p-value = 0.01
## alternative hypothesis: stationary

acf(r)
pacf(r)

summary(ur.df(r, type = "trend",lags=12))


##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.265628 -0.037502 -0.000972 0.039352 0.211840
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 6.265e-03 7.374e-03 0.850 0.396224
## z.lag.1 -2.024e+00 3.986e-01 -5.077 6.59e-07 ***
## tt -4.280e-06 3.637e-05 -0.118 0.906401
## z.diff.lag1 7.504e-01 3.838e-01 1.955 0.051489 .
## z.diff.lag2 5.959e-01 3.558e-01 1.675 0.094968 .
## z.diff.lag3 5.091e-01 3.243e-01 1.570 0.117496
## z.diff.lag4 2.281e-01 2.939e-01 0.776 0.438227
## z.diff.lag5 1.686e-01 2.613e-01 0.645 0.519096
## z.diff.lag6 -5.974e-02 2.295e-01 -0.260 0.794752
## z.diff.lag7 -1.975e-01 1.973e-01 -1.001 0.317807
## z.diff.lag8 -3.658e-01 1.679e-01 -2.179 0.030083 *
## z.diff.lag9 -4.530e-01 1.364e-01 -3.322 0.000999 ***
## z.diff.lag10 -6.373e-01 1.098e-01 -5.801 1.61e-08 ***
## z.diff.lag11 -6.222e-01 8.297e-02 -7.499 6.69e-13 ***
## z.diff.lag12 -1.265e-01 5.522e-02 -2.290 0.022673 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.06234 on 313 degrees of freedom
## Multiple R-squared: 0.7701, Adjusted R-squared: 0.7598
## F-statistic: 74.89 on 14 and 313 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic is: -5.0773 8.5954 12.8896
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -3.98 -3.42 -3.13
## phi2 6.15 4.71 4.05
## phi3 8.34 6.30 5.36

acf(diff(r,12),lag.max = 25, plot=TRUE,na.action = na.contiguous)


pacf(diff(r,12),lag.max = 25, plot=TRUE,na.action = na.contiguous)
reg1=arima((window(r, end= c(2023,12))),order=c(1,1,1), seasonal=
list(order = c(1,1,1), period = 12),method=c("CSS-ML", "ML", "CSS"),
optim.control = list(maxit= 1000))
summary(reg1)

##
## Call:
## arima(x = (window(r, end = c(2023, 12))), order = c(1, 1, 1),
seasonal = list(order = c(1,
## 1, 1), period = 12), method = c("CSS-ML", "ML", "CSS"),
optim.control = list(maxit = 1000))
##
## Coefficients:
## ar1 ma1 sar1 sma1
## -0.2962 -1.0000 0.2027 -0.9216
## s.e. 0.0530 0.0121 0.0657 0.0456
##
## sigma^2 estimated as 0.003386: log likelihood = 453.4, aic = -
896.8
##
## Training set error measures:
## ME RMSE MAE MPE MAPE
MASE
## Training set -0.001008867 0.05707262 0.04176693 9.931916 184.0122
0.4199934
## ACF1
## Training set -0.07742582

reg2=arima((window(r, end= c(2023,12))),order=c(1,1,2), seasonal=


list(order = c(1,1,1), period = 12),method=c("CSS-ML", "ML", "CSS"),
optim.control = list(maxit= 1000))
summary(reg2)

##
## Call:
## arima(x = (window(r, end = c(2023, 12))), order = c(1, 1, 2),
seasonal = list(order = c(1,
## 1, 1), period = 12), method = c("CSS-ML", "ML", "CSS"),
optim.control = list(maxit = 1000))
##
## Coefficients:
## ar1 ma1 ma2 sar1 sma1
## 0.2136 -1.6121 0.6121 0.2111 -0.9504
## s.e. 0.1101 0.0895 0.0885 0.0650 0.0588
##
## sigma^2 estimated as 0.003133: log likelihood = 463.33, aic = -
914.66
##
## Training set error measures:
## ME RMSE MAE MPE MAPE
MASE
## Training set -0.0005491916 0.05489814 0.04009895 8.325093 181.8746
0.4032208
## ACF1
## Training set 0.002681089

reg3=arima((window(r, end= c(2023,12))),order=c(2,1,2), seasonal=


list(order = c(1,1,1), period = 12),method=c("CSS-ML", "ML", "CSS"),
optim.control = list(maxit= 1000))
summary(reg3)

##
## Call:
## arima(x = (window(r, end = c(2023, 12))), order = c(2, 1, 2),
seasonal = list(order = c(1,
## 1, 1), period = 12), method = c("CSS-ML", "ML", "CSS"),
optim.control = list(maxit = 1000))
##
## Coefficients:
## ar1 ar2 ma1 ma2 sar1 sma1
## 0.0760 -0.0952 -1.4672 0.4672 0.2055 -0.9553
## s.e. 0.2668 0.1196 0.2684 0.2680 0.0660 0.0638
##
## sigma^2 estimated as 0.003115: log likelihood = 463.76, aic = -
913.53
##
## Training set error measures:
## ME RMSE MAE MPE MAPE
MASE
## Training set -0.0006654801 0.05474198 0.0398714 8.575361 180.2003
0.4009326
## ACF1
## Training set 0.002218171

reg4=arima((window(r, end= c(2023,12))),order=c(2,1,1), seasonal=


list(order = c(1,1,1), period = 12),method=c("CSS-ML", "ML", "CSS"),
optim.control = list(maxit= 1000))
summary(reg4)

##
## Call:
## arima(x = (window(r, end = c(2023, 12))), order = c(2, 1, 1),
seasonal = list(order = c(1,
## 1, 1), period = 12), method = c("CSS-ML", "ML", "CSS"),
optim.control = list(maxit = 1000))
##
## Coefficients:
## ar1 ar2 ma1 sar1 sma1
## -0.3713 -0.2506 -1.0000 0.1851 -0.9413
## s.e. 0.0540 0.0539 0.0139 0.0649 0.0521
##
## sigma^2 estimated as 0.003138: log likelihood = 463.84, aic = -
915.68
##
## Training set error measures:
## ME RMSE MAE MPE MAPE
MASE
## Training set -0.0008899748 0.05493885 0.03989064 12.3036 179.5279
0.4011261
## ACF1
## Training set 0.0003392887

acf(reg1$residuals)

pacf(reg1$residuals)
adf.test(reg1$residuals)

## Warning in adf.test(reg1$residuals): p-value smaller than printed


p-value

##
## Augmented Dickey-Fuller Test
##
## data: reg1$residuals
## Dickey-Fuller = -8.5031, Lag order = 6, p-value = 0.01
## alternative hypothesis: stationary

Box.test(reg1$residuals)

##
## Box-Pierce test
##
## data: reg1$residuals
## X-squared = 2.0442, df = 1, p-value = 0.1528

autoplot(reg1)
plot(forecast(reg1,h=60))
lines(r)

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