[Rライブラリ探索]Rライブラリの探索3（時系列モデル、経済）

使えそうなライブラリ：forecast, wavelets, vars

今日はVAST2010のためにTime Seriesグループのパッケージをやった。

• forecast：ARIMAモデルでの推定
• wavelets：waveletモデルを使った成分分割
• vars：多変量経時データの解析（例：カナダの経済データ）

varsパッケージが特に面白そう。

コードはこちら↓

library(forecast)
example(plot.ets)
example(dm.test)		#Diebold-Mariano Test
example(accuracy)		#以降の予測
example(arfima)
example(Arima)			#ARIMAモデル
example(arima.errors)
example(BoxCox)
example(croston)		#crostonもでる
example(fitted.Arima)
example(forecast.Arima)
example(forecast.HoltWinters)
example(forecast.StructTS)
example(meanf)
example(monthdays)
example(na.interp)
example(rwf)			#random walk forecast
example(seasadj)
example(seasonaldummy)
example(seasonplot)
example(ses)
example(sindexf)
example(splinef)
example(thetaf)
example(tsdisplay)


library(wavelets)
example(dwt)			#Discrete Wavelet Transform
example(modwt)			#Maximal Overlap Discrete Wavelet Transform
example(extend.series)
example(figure108.wt.filter)
example(figure98.wt.filter)
example(idwt)			#dwtの逆変換
example(plot.dwt)
example(plot.dwt.multiple)
example(plot.modwt)
example(squaredgain.wt.filter)	#Plot Squared Gain Function
example(stackplot)
example(wt.filter)


library(tsDyn)			#Nonlinear time seriese model; Non-linear time series models in empirical finance, Philip Hans Franses and Dick van Dijk, Cambridge:Cambridge University Press (2000)
example(AAR)			#Additive nonlinear autoregressive
example(autotriples.rgl)	#3Dグラフ
example(BIC)
example(LINEAR)			#Linear autoregressive model
example(llar)			#Casdagli test of nonlinearity via locally linear forecasts
example(LSTAR)			#Logistic Smooth Transition AutoRegressive
example(NNET)			#Neural Network nonlinear autoregressive
example(selectSETAR)		#selection of SETAR hyper-param
example(SETAR)			#Self Threshold Autoregressive
example(TVAR)			#Multivariate Treshold Autoregressive
example(TVAR.LRtest)		#Linearity test; http://www.ssc.wisc.edu/~bhansen/papers/cv.htm
example(TVECM)			#Treshold Vector Error Correction model (VECM)


library(MSVAR)			#2 stage Markov Switching VAR (Vector Autoregressive)
example(MS_Var)			#Estimating MS-VAR (時間がかかる)


library(mAr)			#Multivariate AutoRegressive
example(mAr.eig)		#推定された係数の固有値
example(mAr.est)		#Stepwise least-squares estimation
example(mAr.pca)		#estimation in reduced PCA space


library(vars)
example(Acoef)			#coefficient of lagged endogenous variables
example(causality)		#Granger- and Instantaneous causality
example(coef)
example(normality.test)

example(plot)			#様々なプロット
data(Canada)			#OECDが発表したカナダの経済データ
var.2c <- VAR(Canada, p = 2, type = "const")
plot(var.2c)
#Canadian unemployment rate in % 444113DSA
#Canadian manufacturing real wage 444321KSA
#Canadian consumer price index 445241K
#Canadian nominal GDP CAN1008S1
#Canadian civil employment in 1000 persons 445005DSA

#prod := 100*(ln(CAN1008S1/445241K)-ln(445005DSA))
#e := 100*ln(445005DSA)
#U := 444113DSA
#rw := 100*ln(100*444321KSA)

example(restrict)
example(stability)
example(SVAR)			#Estimates an SVAR (either ‘A-model’, ‘B-model’ or ‘AB-model’) by using a scoring algorithm
example(VAR)
example(VARselect)