Dummy variables for seasonality (Page 500)
library(foreign)
data = read.dta("Dataset/macro.dta")
data = na.omit(data)
lm1 = lm(ermsoft~ersandp+dprod+dcredit+dinflation+dmoney+dspread+rterm+FEB98DUM+FEB03DUM+JANDUM,data=data)
summary(lm1)
##
## Call:
## lm(formula = ermsoft ~ ersandp + dprod + dcredit + dinflation +
## dmoney + dspread + rterm + FEB98DUM + FEB03DUM + JANDUM,
## data = data)
##
## Residuals:
## Min 1Q Median 3Q Max
## -60.001 -4.158 0.848 6.353 24.368
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -2.229e-01 8.980e-01 -0.248 0.8041
## ersandp 1.386e+00 1.433e-01 9.676 < 2e-16 ***
## dprod -1.242e+00 1.206e+00 -1.030 0.3039
## dcredit -3.181e-05 6.969e-05 -0.456 0.6484
## dinflation 1.963e+00 2.242e+00 0.875 0.3820
## dmoney -3.737e-03 3.440e-02 -0.109 0.9136
## dspread 4.282e+00 6.334e+00 0.676 0.4995
## rterm 4.622e+00 2.287e+00 2.021 0.0442 *
## FEB98DUM -6.565e+01 1.160e+01 -5.661 3.41e-08 ***
## FEB03DUM -6.680e+01 1.157e+01 -5.772 1.89e-08 ***
## JANDUM 4.127e+00 2.835e+00 1.456 0.1464
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 11.51 on 313 degrees of freedom
## Multiple R-squared: 0.3505, Adjusted R-squared: 0.3297
## F-statistic: 16.89 on 10 and 313 DF, p-value: < 2.2e-16
Estimating a Markov switching model (Page 513)
data = read.dta("Dataset/UKHP.dta")
data = na.omit(data)
library(MSwM)
lm2 = lm(data$dhp~1)
mod.mswm = msmFit(lm2,k=2,sw=rep(TRUE,2))
summary(mod.mswm)
## Markov Switching Model
##
## Call: msmFit(object = lm2, k = 2, sw = rep(TRUE, 2))
##
## AIC BIC logLik
## 811.9284 830.2924 -403.9642
##
## Coefficients:
##
## Regime 1
## ---------
## Estimate Std. Error t value Pr(>|t|)
## (Intercept)(S) -0.1884 0.1331 -1.4155 0.1569
##
## Residual standard error: 1.180056
## Multiple R-squared: 0
##
## Standardized Residuals:
## Min Q1 Med Q3 Max
## -3.21626368 -0.06468471 0.06928142 0.30928820 3.87777103
##
## Regime 2
## ---------
## Estimate Std. Error t value Pr(>|t|)
## (Intercept)(S) 0.9570 0.1058 9.0454 < 2.2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.9365897
## Multiple R-squared: 0
##
## Standardized Residuals:
## Min Q1 Med Q3 Max
## -1.79190488 -0.30216667 -0.06922273 0.17371448 2.84467795
##
## Transition probabilities:
## Regime 1 Regime 2
## Regime 1 0.97641911 0.02280896
## Regime 2 0.02358089 0.97719104
plotProb(mod.mswm,which=1)
