Tugas Multi

####### DATA GNP
gnp = read.table('gnp96.dat')
gnp.ts = ts(gnp[,2], frequency = 4, start = 1947)
##(1)## PLOT DATA

plot(gnp.ts)
acf(gnp.ts)
##(2)## TRANSFORMASI DATA

plot(diff(gnp.ts))
##increasing variance with time (suggest log- or square root transformation)
##difference of log has nice interpretation (=growth rate)
plot(diff(log(gnp.ts)))
##STASIONERITAS
gnp.gr = diff(log(gnp.ts))
##(3)## IDENTIFIKASI P DAN Q

par(mfrow = c(2,1))
acf(gnp.gr)
pacf(gnp.gr)
par(mfrow = c(1,1))
## ACF DAN PACF TIDAK BAGUS UNTUK DIBANDINGKAN

par(mfrow=c(2,1))
acf(gnp.gr,12,xlim=c(1/4,3), ylim=c(-.2,0.5), xlab="Lag = years",
main="ACF(diff(log(GNP)))")
##AXIS
pacf(gnp.gr,12,ylim=c(-.2,0.5), xlab="Lag = years",
main="PACF(diff(log(GNP)))")
par(mfrow=c(1,1))
##Kemungkinan: - ACF: cuts of after 2nd lag, PACF declines exponentially [ARMA(0,2)]
## - PACF cuts off after 1st lag, ACF declines exponentially [ARMA(1,0)]
## - both ACF and PACF decline exponentially [for example ARMA(1,1)]
## ESTIMASI
gnp.gr.AR = arima(gnp.gr, order = c(1,0,0))
gnp.gr.AR
gnp.gr.AR2 = ar.ols(gnp.gr, order = 1)
gnp.gr.AR2
gnp.gr.AR3 = ar.yw(gnp.gr, order = 1)
gnp.gr.AR3
gnp.gr.AR4 = ar.mle(gnp.gr, order = 1)
gnp.gr.AR4
gnp.gr.MA = arima(gnp.gr, order = c(0,0,2))

gnp.gr.MA
##ROBUSTNESS CHECK
gnp.gr.MA2 = arima(gnp.gr, order = c(0,0,2), method = "CSS")
gnp.gr.MA2
gnp.gr.ARMA = arima(gnp.gr, order = c(1,0,1))

gnp.gr.ARMA
## DIAGNOSTICS
plot(gnp.gr.AR$resid)
par(mfrow = c(2,1))
hist(gnp.gr.AR$resid)
qqnorm(gnp.gr.AR$resid)
par(mfrow = c(1,1))
shapiro.test(gnp.gr.AR$resid)
##R-COMMAND UNTUK CEK DIAGNOSTIC

tsdiag(gnp.gr.MA)
##AUTOKORELASI RESIDUAL
plot(gnp.gr.MA$resid)
par(mfrow = c(2,1))
hist(gnp.gr.MA$resid)
par(mfrow = c(1,1))
shapiro.test(gnp.gr.MA$resid)
## R-COMMAND UNTUK CEK DIAGNOSTIC

tsdiag(gnp.gr.MA)
## SELEKSI MODEL
N = length(gnp.gr.AR$resid)
##BANDINGKAN NILAI AIC

gnp.gr.AR$aic
gnp.gr.MA$aic
gnp.gr.ARMA$aic
##BANDINGKAN NILAI AICC

log(gnp.gr.AR$sigma2)+(N+1)/(N-1-2)
log(gnp.gr.MA$sigma2)+(N+2)/(N-2-2)
##BANDINGKAN NILAI SIC

log(gnp.gr.AR$sigma2)+(1*log(N))/N
log(gnp.gr.MA$sigma2)+(2*log(N))/N
#SYNTAX PAS PRAKTIKUM
####### DATA GNP
gnp = read.table('gnp96.dat')
gnp.ts = ts(gnp[,2], frequency = 4, start = 1947)
##(1)## PLOT DATA
plot(gnp.ts)
acf(gnp.ts)
library(forecast)
BoxCox.lambda(gnp.ts,upper=0)
[1] -0.9999339
#boxcox harus sama dengan 1 biar stabil
DT=BoxCox(gnp.ts,BoxCox.lambda(gnp.ts,upper=0))
DT1=log(gnp.ts)
#timeseris harus stationer dlm rata2 dan variasn: varians dulu baru rata2
##(2)## TRANSFORMASI DATA
plot(diff(gnp.ts))
##increasing variance with time (suggest log- or square root transformation)
##difference of log has nice interpretation (=growth rate)
plot(diff(log(gnp.ts)))
##STASIONERITAS
gnp.gr = diff(log(gnp.ts))
##(3)## IDENTIFIKASI P DAN Q

par(mfrow = c(2,1))
acf(gnp.gr)
pacf(gnp.gr)
par(mfrow = c(1,1))
## ACF DAN PACF TIDAK BAGUS UNTUK DIBANDINGKAN
par(mfrow=c(2,1))
acf(DT1,12,xlim=c(1/4,3), ylim=c(-.2,0.5), xlab="Lag = years",

##AXIS
pacf(DT1,12,ylim=c(-.2,0.5), xlab="Lag = years", main="PACF(diff(log(GNP)))")
par(mfrow=c(1,1))
##Kemungkinan: - ACF: cuts of after 2nd lag, PACF declines exponentially

[ARMA(0,2)]
## - PACF cuts off after 1st lag, ACF declines exponentially

[ARMA(1,0)]
## - both ACF and PACF decline exponentially [for example

ARMA(1,1)]
## ESTIMASI
gnp.gr.AR = arima(DT1, order = c(1,0,0))
gnp.gr.AR
gnp.gr.AR2 = ar.ols(gnp.gr, order = 1)
gnp.gr.AR2
gnp.gr.AR3 = ar.yw(gnp.gr, order = 1) #yule wall
gnp.gr.AR3
gnp.gr.AR4 = ar.mle(gnp.gr, order = 1)

gnp.gr.AR4
gnp.gr.MA = arima(DT1, order = c(0,0,2))
gnp.gr.MA
##ROBUSTNESS CHECK
gnp.gr.MA2 = arima(gnp.gr, order = c(0,0,2), method = "CSS")
gnp.gr.MA2
gnp.gr.ARMA = arima(gnp.gr, order = c(1,0,1))
gnp.gr.ARMA
## DIAGNOSTICS
plot(DT1.AR$resid)
par(mfrow = c(2,1))
hist(gnp.gr.AR$resid)
par(mfrow = c(1,1))
shapiro.test(gnp.gr.AR$resid)
##R-COMMAND UNTUK CEK DIAGNOSTIC
tsdiag(gnp.gr.MA)
##AUTOKORELASI RESIDUAL
plot(gnp.gr.MA$resid)
par(mfrow = c(2,1))
hist(gnp.gr.MA$resid)
par(mfrow = c(1,1))
shapiro.test(gnp.gr.MA$resid)
## R-COMMAND UNTUK CEK DIAGNOSTIC
tsdiag(gnp.gr.MA)
## SELEKSI MODEL
N = length(DT1$resid)
##BANDINGKAN NILAI AIC
DT1.AR$aic
DT1$aic
DT1MA$aic
##BANDINGKAN NILAI AICC
log(gnp.gr.AR$sigma2)+(N+1)/(N-1-2)
log(gnp.gr.MA$sigma2)+(N+2)/(N-2-2)
##BANDINGKAN NILAI SIC
log(gnp.gr.AR$sigma2)+(1*log(N))/N
log(gnp.gr.MA$sigma2)+(2*log(N))/N
output r
> GNP=read.table("E:tour.text")
Error in file(file, "rt") : cannot open the connection
In addition: Warning message:
In file(file, "rt") : cannot open file 'E:tour.text': Permission denied
> GNP=read.table("E:tour.txt")
In file(file, "rt") : cannot open file 'E:tour.txt': Permission denied
> GNP=read.table("E:tour.txt")
In file(file, "rt") : cannot open file 'E:tour.txt': Permission denied
> GNP=read.table("D:tour.txt")
> GNP
V1
1 2565289
2 2443603
3 3400808
4 3107737
5 3243037
6 3147353
7 4278520
8 4255329
9 3503282
10 3530139
11 2786362
12 3034125
13 2689328
14 2618174
15 3670249
16 3325419
17 3568482
18 3517073
19 4832796
20 4851935
21 3740513
22 3470398
23 2901506
24 3026328
25 2824423
26 2632421
27 3333021
28 3516849
29 3531727
30 3276059
31 4454271
32 4314430
33 3432739
34 3329209
35 2773192
36 3072958
37 2662506
38 2616495
39 3503346
40 3356722
41 3607195
42 3447131
43 4764381
44 4607091
45 3796606
46 3672352
47 3123702
48 2993308
49 2863913
50 2945797
51 3706650
52 4095762
53 3701004
54 3590225
55 4945166
56 4645940
57 3870719
58 3648532
59 3198909
60 3395933
61 3033546
62 2864022
63 3584633
64 3869685
65 3509407
66 3481220
67 4742157
68 4639969
69 2608006
70 2237335
71 2095665
72 2501658
73 2236118
74 2245127
75 3266150
76 2804249
77 2991154
78 2934672
79 3973737
80 3969950
81 3106540
82 2902652
83 2532041
84 2968221
85 2357402
86 2199181
87 2603060
88 2629720
89 2638792
90 2717481
91 3810804
92 3871664
93 2998364
94 2923432
95 2712359
96 2996099
97 2395029
98 2483862
99 3120231
100 3360606
101 3177203
102 3062783
103 4242509
104 4026394
105 3192481
106 3118695
107 2782482
108 3209833
109 2630190
110 2592882
111 3785309
112 3231539
113 3421369
114 3312134
115 4647303
116 4289177
117 3463853
118 3304422
119 3006121
120 3464238
121 2921118
122 2624018
123 3500718
124 3939351
125 3467672
126 3343628
127 4852445
128 4597807
129 3653145
130 3572079
131 3334861
132 3695369
133 3075704
134 2852998
135 3942704
136 4004560
137 3822145
138 3760085
139 5267816
140 5271333
141 4144142
142 4109749
143 3896808
144 4211074
145 3401064
146 3278560
147 4705090
148 4081128
149 4345931
150 4049690
> gnp.ts = ts(gnp[,2], frequency = 4, start = 1947)
Error in is.data.frame(data) : object 'gnp' not found
> gnp.ts = ts(GNP[,2], frequency = 4, start = 1947)
Error in `[.data.frame`(GNP, , 2) : undefined columns selected
> gnp.ts = ts(GNP, frequency = 4, start = 1947)
> gnp.ts
Qtr1 Qtr2 Qtr3 Qtr4
1947 2565289 2443603 3400808 3107737
1948 3243037 3147353 4278520 4255329
1949 3503282 3530139 2786362 3034125
1950 2689328 2618174 3670249 3325419
1951 3568482 3517073 4832796 4851935
1952 3740513 3470398 2901506 3026328
1953 2824423 2632421 3333021 3516849
1954 3531727 3276059 4454271 4314430
1955 3432739 3329209 2773192 3072958
1956 2662506 2616495 3503346 3356722
1957 3607195 3447131 4764381 4607091
1958 3796606 3672352 3123702 2993308
1959 2863913 2945797 3706650 4095762
1960 3701004 3590225 4945166 4645940
1961 3870719 3648532 3198909 3395933
1962 3033546 2864022 3584633 3869685
1963 3509407 3481220 4742157 4639969
1964 2608006 2237335 2095665 2501658
1965 2236118 2245127 3266150 2804249
1966 2991154 2934672 3973737 3969950
1967 3106540 2902652 2532041 2968221

1968 2357402 2199181 2603060 2629720
1969 2638792 2717481 3810804 3871664
1970 2998364 2923432 2712359 2996099
1971 2395029 2483862 3120231 3360606
1972 3177203 3062783 4242509 4026394
1973 3192481 3118695 2782482 3209833
1974 2630190 2592882 3785309 3231539
1975 3421369 3312134 4647303 4289177
1976 3463853 3304422 3006121 3464238
1977 2921118 2624018 3500718 3939351
1978 3467672 3343628 4852445 4597807
1979 3653145 3572079 3334861 3695369
1980 3075704 2852998 3942704 4004560
1981 3822145 3760085 5267816 5271333
1982 4144142 4109749 3896808 4211074
1983 3401064 3278560 4705090 4081128
1984 4345931 4049690
> ##(1)## PLOT DATA
> plot(gnp.ts)
> acf(gnp.ts)
> plot(gnp.ts)
> acf(gnp.ts)
> boxplot(gnp)
Error in boxplot(gnp) : object 'gnp' not found
> boxplot(GNP)
> BoxCox.lambda(gnp.ts,upper=0)
Error: could not find function "BoxCox.lambda"
> library(forecast)
Error in library(forecast) : there is no package called ‘forecast’
> local({pkg <- select.list(sort(.packages(all.available =

TRUE)),graphics=TRUE)
+ if(nchar(pkg)) library(pkg, character.only=TRUE)})
> utils:::menuInstallPkgs()
--- Please select a CRAN mirror for use in this session ---
also installing the dependencies ‘stringi’, ‘xts’, ‘TTR’, ‘curl’, ‘stringr’,

‘RColorBrewer’, ‘dichromat’, ‘munsell’, ‘labeling’, ‘R6’, ‘viridisLite’,
‘rlang’, ‘quadprog’, ‘quantmod’, ‘digest’, ‘gtable’, ‘plyr’, ‘reshape2’,
‘scales’, ‘tibble’, ‘lazyeval’, ‘tseries’, ‘fracdiff’, ‘Rcpp’, ‘colorspace’,
‘ggplot2’, ‘magrittr’, ‘lmtest’, ‘zoo’, ‘timeDate’, ‘RcppArmadillo’
There is a binary version available but the source version is later:
binary source needs_compilation
stringi 1.1.5 1.1.6 TRUE
Do you want to install from sources the package which needs compilation?
y/n: y
trying URL 'https://repo.bppt.go.id/cran/bin/windows/contrib/3.3/xts_0.10-

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The downloaded binary packages are in
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installing the source package ‘stringi’
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* installing *source* package 'stringi' ...
** package 'stringi' successfully unpacked and MD5 sums checked
Warning: running command 'sh ./configure.win' had status 127
ERROR: configuration failed for package 'stringi'
* removing 'C:/Users/User/Documents/R/win-library/3.3/stringi'
The downloaded source packages are in
‘C:\Users\User\AppData\Local\Temp\RtmpYFKmot\downloaded_packages’
Warning messages:
1: running command '"C:/PROGRA~1/R/R-33~1.1/bin/i386/R" CMD INSTALL -l

"C:\Users\User\Documents\R\win-library\3.3"
C:\Users\User\AppData\Local\Temp\RtmpYFKmot/downloaded_packages/stringi_1.1.6
.tar.gz' had status 1
2: In install.packages(NULL, .libPaths()[1L], dependencies = NA, type = type)

:
installation of package ‘stringi’ had non-zero exit status
> library(forecast)
Warning message:
package ‘forecast’ was built under R version 3.3.3
[1] -0.9999339
> #boxcox harus sama DT=BoxCox(gnp.ts,BoxCox.lambda(gnp.ts,upper=0)dengan 1
biar stabil
> DT=BoxCox(gnp.ts,BoxCox.lambda(gnp.ts,upper=0)
+ )
> DT
Qtr1 Qtr2 Qtr3 Qtr4
1947 1.000066 1.000066 1.000066 1.000066
1948 1.000066 1.000066 1.000066 1.000066
1949 1.000066 1.000066 1.000066 1.000066
1950 1.000066 1.000066 1.000066 1.000066
1951 1.000066 1.000066 1.000066 1.000066
1952 1.000066 1.000066 1.000066 1.000066
1953 1.000066 1.000066 1.000066 1.000066
1954 1.000066 1.000066 1.000066 1.000066
1955 1.000066 1.000066 1.000066 1.000066
1956 1.000066 1.000066 1.000066 1.000066
1957 1.000066 1.000066 1.000066 1.000066
1958 1.000066 1.000066 1.000066 1.000066
1959 1.000066 1.000066 1.000066 1.000066
1960 1.000066 1.000066 1.000066 1.000066
1961 1.000066 1.000066 1.000066 1.000066
1962 1.000066 1.000066 1.000066 1.000066
1963 1.000066 1.000066 1.000066 1.000066
1964 1.000066 1.000066 1.000066 1.000066
1965 1.000066 1.000066 1.000066 1.000066
1966 1.000066 1.000066 1.000066 1.000066
1967 1.000066 1.000066 1.000066 1.000066
1968 1.000066 1.000066 1.000066 1.000066
1969 1.000066 1.000066 1.000066 1.000066

1970 1.000066 1.000066 1.000066 1.000066
1971 1.000066 1.000066 1.000066 1.000066
1972 1.000066 1.000066 1.000066 1.000066
1973 1.000066 1.000066 1.000066 1.000066
1974 1.000066 1.000066 1.000066 1.000066
1975 1.000066 1.000066 1.000066 1.000066
1976 1.000066 1.000066 1.000066 1.000066
1977 1.000066 1.000066 1.000066 1.000066
1978 1.000066 1.000066 1.000066 1.000066
1979 1.000066 1.000066 1.000066 1.000066
1980 1.000066 1.000066 1.000066 1.000066
1981 1.000066 1.000066 1.000066 1.000066
1982 1.000066 1.000066 1.000066 1.000066
1983 1.000066 1.000066 1.000066 1.000066
1984 1.000066 1.000066
> DT1=log(gnp.ts)
> DT1
Qtr1 Qtr2 Qtr3 Qtr4
1947 14.75758 14.70898 15.03952 14.94941
1948 14.99202 14.96207 15.26912 15.26368
1949 15.06921 15.07685 14.84025 14.92543
1950 14.80480 14.77799 15.11577 15.01711
1951 15.08765 15.07314 15.39094 15.39489
1952 15.13473 15.05978 14.88074 14.92286
1953 14.85381 14.78341 15.01939 15.07308
1954 15.07730 15.00215 15.30937 15.27748
1955 15.04887 15.01825 14.83551 14.93815
1956 14.79478 14.77735 15.06923 15.02648

1957 15.09844 15.05305 15.37668 15.34311
1958 15.14962 15.11634 14.95453 14.91189
1959 14.86770 14.89589 15.12564 15.22546
1960 15.12411 15.09373 15.41392 15.35150
1961 15.16895 15.10984 14.97832 15.03809
1962 14.92524 14.86774 15.09217 15.16868
1963 15.07096 15.06289 15.37200 15.35022
1964 14.77410 14.62080 14.55538 14.73246
1965 14.62025 14.62427 14.99912 14.84665
1966 14.91117 14.89211 15.19522 15.19426
1967 14.94902 14.88114 14.74454 14.90347
1968 14.67307 14.60360 14.77220 14.78239
1969 14.78583 14.81522 15.15335 15.16919
1970 14.91358 14.88827 14.81333 14.91282
1971 14.68891 14.72533 14.95342 15.02763
1972 14.97151 14.93483 15.26067 15.20838
1973 14.97631 14.95293 14.83885 14.98173
1974 14.78257 14.76828 15.14664 14.98847
1975 15.04555 15.01310 15.35180 15.27161
1976 15.05789 15.01077 14.91616 15.05800
1977 14.88748 14.78022 15.06848 15.18653
1978 15.05899 15.02257 15.39499 15.34109
1979 15.11110 15.08866 15.01994 15.12259
1980 14.93904 14.86388 15.18738 15.20294
1981 15.15632 15.13995 15.47713 15.47779
1982 15.23721 15.22887 15.17567 15.25323
1983 15.03960 15.00291 15.36416 15.22188
1984 15.28475 15.21415

> ts.plot(DT1)
> #sebelum diferencing
> library(TSA)
Error in library(TSA) : there is no package called ‘TSA’
> install.packages("TSA")
Installing package into ‘C:/Users/User/Documents/R/win-library/3.3’
(as ‘lib’ is unspecified)
also installing the dependencies ‘leaps’, ‘locfit’
trying URL
'https://repo.bppt.go.id/cran/bin/windows/contrib/3.3/leaps_3.0.zip'
downloaded 320 KB
trying URL 'https://repo.bppt.go.id/cran/bin/windows/contrib/3.3/locfit_1.5-

9.1.zip'
downloaded 581 KB
trying URL
'https://repo.bppt.go.id/cran/bin/windows/contrib/3.3/TSA_1.01.zip'
downloaded 363 KB
package ‘leaps’ successfully unpacked and MD5 sums checked
package ‘locfit’ successfully unpacked and MD5 sums checked
package ‘TSA’ successfully unpacked and MD5 sums checked
The downloaded binary packages are in

C:\Users\User\AppData\Local\Temp\RtmpYFKmot\downloaded_packages
> library(TSA)
Loading required package: leaps
Loading required package: locfit
locfit 1.5-9.1 2013-03-22
Loading required package: mgcv
Loading required package: nlme
Attaching package: ‘nlme’
The following object is masked from ‘package:forecast’:
getResponse
This is mgcv 1.8-12. For overview type 'help("mgcv-package")'.
Loading required package: tseries
‘tseries’ version: 0.10-42
‘tseries’ is a package for time series analysis and computational
finance.
See ‘library(help="tseries")’ for details.
Attaching package: ‘TSA’
The following objects are masked from ‘package:stats’:

acf, arima
The following object is masked from ‘package:utils’:
tar
Warning messages:
1: package ‘TSA’ was built under R version 3.3.3
2: package ‘leaps’ was built under R version 3.3.3
3: package ‘locfit’ was built under R version 3.3.3
4: package ‘tseries’ was built under R version 3.3.3
> adf.test(DT1) #STATIONER RT2
Augmented Dickey-Fuller Test
data: DT1
Dickey-Fuller = -7.0132, Lag order = 5, p-value = 0.01
alternative hypothesis: stationary
Warning message:
In adf.test(DT1) : p-value smaller than printed p-value
> #h1:STATIONER
> #tidak usah di diferencing
> #apakah pelu menstabilkan bvariasn
> #hitung pake boxcox lambda
> #hitung pake boxcox lambda : yg tadi DT1
> #3
> boxplot(gnp.ts ~ cycle(gnp.ts))
> #siklus/frekuensi nya 4 = per tiga bulanan
> #asumsi tidak ada outlier, dari boxplot dilihat bahwa pada quarter pertama
stabil, dsl.
> #kemungkinan quarter 1 dan 4 normal, 2 dan 3 tidak normal
> #4
> par(mfrow=c(2,1)), acf(gnp.ts), pacf(gnp.ts)par(mfrow = c(2,1))
Error: unexpected ',' in "par(mfrow=c(2,1)),"
> par(mfrow=c(2,1)), acf(gnp.ts), pacf(gnp.ts)
Error: unexpected ',' in "par(mfrow=c(2,1)),"
> par(mfrow = c(2,1))
> acf(gnp.gr)
Error in as.ts(x) : object 'gnp.gr' not found
> pacf(gnp.gr)
Error in pacf(gnp.gr) : object 'gnp.gr' not found
> #gunakan data pake DT1
> acf(DT1)
> pacf(DT1)
> #ACF BUAT MA, pacf buat
> acf(DT1)
> #ACF ada orde seasonal buat MA, orde seasonal = 5.
> pacf(DT1)
> ## ACF DAN PACF TIDAK BAGUS UNTUK DIBANDINGKAN
> par(mfrow=c(2,1))
> acf(DT1,12,xlim=c(1/4,3), ylim=c(-.2,0.5), xlab="Lag = years",

Error in plot.default(y = x$acf, x = x$lag, type = type, xlab = xlab, :

formal argument "ylim" matched by multiple actual arguments
> ##AXIS
> pacf(gnp.gr,12,ylim=c(-.2,0.5), xlab="Lag = years",

Error in pacf(gnp.gr, 12, ylim = c(-0.2, 0.5), xlab = "Lag = years", main =
"PACF(diff(log(GNP)))") :
object 'gnp.gr' not found
> par(mfrow=c(1,1))
> ##AXIS
> pacf(DT1,12,ylim=c(-.2,0.5), xlab="Lag = years",

> par(mfrow=c(1,1))
> plot(DT1,ylim(0,100)
+ )
Error in plotts(x = x, y = y, plot.type = plot.type, xy.labels = xy.labels,

:
could not find function "ylim"
> plot(DT1,ylim=c(0,100)
+ )
> DDT=diff(DT1,1)
> DDT
Qtr1 Qtr2 Qtr3 Qtr4
1947 -0.0485975534 0.3305394610 -0.0901182419
1948 0.0426154279 -0.0299484543 0.3070453733 -0.0054350756
1949 -0.1944718364 0.0076370035 -0.2366004446 0.0851862775
1950 -0.1206317315 -0.0268142201 0.3377823789 -0.0986638260
1951 0.0705446141 -0.0145111857 0.3177960726 0.0039524123
1952 -0.2601548267 -0.0749534830 -0.1790393722 0.0421200909
1953 -0.0690459075 -0.0704001409 0.2359751449 0.0536863183
1954 0.0042215682 -0.0751458108 0.3072222356 -0.0318981927

1955 -0.2286067337 -0.0306237465 -0.1827357349 0.1026416123
1956 -0.1433728311 -0.0174321487 0.2918828759 -0.0427536093
1957 0.0719655595 -0.0453881711 0.3236253322 -0.0335709848
1958 -0.1934891286 -0.0332751810 -0.1618134918 -0.0426397065
1959 -0.0441902588 0.0281905371 0.2297490951 0.0998242768
1960 -0.1013486464 -0.0303892596 0.3201956591 -0.0624168138
1961 -0.1825534420 -0.0591153830 -0.1315150807 0.0597687250
1962 -0.1128463069 -0.0575053017 0.2244291672 0.0765170106
1963 -0.0977260310 -0.0080642703 0.3091092884 -0.0217844103
1964 -0.5761217405 -0.1533005192 -0.0654145000 0.1770827866
1965 -0.1122123853 0.0040207630 0.3748498315 -0.1524761543
1966 0.0645234992 -0.0190635738 0.3031112694 -0.0009534616
1967 -0.2452439335 -0.0678847648 -0.1365991050 0.1589370866
1968 -0.2304026182 -0.0694751469 0.1686026577 0.0101897006
1969 0.0034438600 0.0293841116 0.3381348422 0.0158441983
1970 -0.2556175822 -0.0253085380 -0.0749395326 0.0994923732
1971 -0.2239157698 0.0364192676 0.2280924306 0.0742142773
1972 -0.0561200649 -0.0366772702 0.3258308597 -0.0522836532
1973 -0.2320728289 -0.0233837124 -0.1140713099 0.1428755757
1974 -0.1991628239 -0.0142860885 0.3783575232 -0.1581690273
1975 0.0570822690 -0.0324480687 0.3386943567 -0.0801921783
1976 -0.2137133197 -0.0471199818 -0.0946110281 0.1418421517
1977 -0.1705262753 -0.1072596889 0.2882613595 0.1180478986
1978 -0.1275325135 -0.0364270304 0.3724262566 -0.0539032509
1979 -0.2299910103 -0.0224406612 -0.0687167799 0.1026494148
1980 -0.1835465960 -0.0751634469 0.3234964111 0.0155669295
1981 -0.0466219285 -0.0163702198 0.3371742919 0.0006674163
1982 -0.2405875010 -0.0083338147 -0.0532041996 0.0775599656

1983 -0.2136293982 -0.0366840222 0.3612405998 -0.1422714806
1984 0.0628665842 -0.0705996701
> plot(DDT,type="l")
> #ARma(p=1,q=0)
> ## ESTIMASI
> gnp.gr.AR = arima(DT1, order = c(1,0,0))
> gnp.gr.AR
Call:
arima(x = DT1, order = c(1, 0, 0))
Coefficients:
ar1 intercept
0.6311 15.0253
s.e. 0.0635 0.0337
sigma^2 estimated as 0.02367: log likelihood = 67.66, aic = -131.32
> gnp.gr.MA = arima(DT1, order = c(0,0,2))
> gnp.gr.MA
Call:
arima(x = DT1, order = c(0, 0, 2))
Coefficients:
ma1 ma2 intercept
0.7091 0.3708 15.0262
s.e. 0.0811 0.1162 0.0261

sigma^2 estimated as 0.02383: log likelihood = 67.11, aic = -128.22
> ##R-COMMAND UNTUK CEK DIAGNOSTIC
> tsdiag(gnp.gr.MA)
> ## SELEKSI MODEL
> N = length(DT1$resid)
Error in DT1$resid : $ operator is invalid for atomic vectors
>
> ##BANDINGKAN NILAI AIC
> DT1.AR$aic
Error: object 'DT1.AR' not found
> DT1$aic
Error in DT1$aic : $ operator is invalid for atomic vectors
> DT1MA$aic
Error: object 'DT1MA' not found
> ## DIAGNOSTICS
> plot(DT1.AR$resid)
Error in plot(DT1.AR$resid) : object 'DT1.AR' not found
>

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####### DATA GNP

##(1)## PLOT DATA

##(2)## TRANSFORMASI DATA

##(3)## IDENTIFIKASI P DAN Q

## ACF DAN PACF TIDAK BAGUS UNTUK DIBANDINGKAN

gnp.gr.MA = arima(gnp.gr, order = c(0,0,2))

gnp.gr.ARMA = arima(gnp.gr, order = c(1,0,1))

##R-COMMAND UNTUK CEK DIAGNOSTIC

## R-COMMAND UNTUK CEK DIAGNOSTIC

##BANDINGKAN NILAI AIC

##BANDINGKAN NILAI AICC

##BANDINGKAN NILAI SIC

####### DATA GNP

gnp.ts = ts(gnp[,2], frequency = 4, start = 1947)

##(1)## PLOT DATA

#boxcox harus sama dengan 1 biar stabil

##(2)## TRANSFORMASI DATA

##increasing variance with time (suggest log- or square root transformation)

##difference of log has nice interpretation (=growth rate)

##(3)## IDENTIFIKASI P DAN Q

## ACF DAN PACF TIDAK BAGUS UNTUK DIBANDINGKAN

acf(DT1,12,xlim=c(1/4,3), ylim=c(-.2,0.5), xlab="Lag = years",

pacf(DT1,12,ylim=c(-.2,0.5), xlab="Lag = years", main="PACF(diff(log(GNP)))")

##Kemungkinan: - ACF: cuts of after 2nd lag, PACF declines exponentially

## - PACF cuts off after 1st lag, ACF declines exponentially

## - both ACF and PACF decline exponentially [for example

gnp.gr.AR = arima(DT1, order = c(1,0,0))

gnp.gr.AR2 = ar.ols(gnp.gr, order = 1)

gnp.gr.AR3 = ar.yw(gnp.gr, order = 1) #yule wall

gnp.gr.AR4 = ar.mle(gnp.gr, order = 1)

gnp.gr.MA = arima(DT1, order = c(0,0,2))

gnp.gr.MA2 = arima(gnp.gr, order = c(0,0,2), method = "CSS")

gnp.gr.ARMA = arima(gnp.gr, order = c(1,0,1))

##R-COMMAND UNTUK CEK DIAGNOSTIC

## R-COMMAND UNTUK CEK DIAGNOSTIC

##BANDINGKAN NILAI AIC

##BANDINGKAN NILAI AICC

##BANDINGKAN NILAI SIC

Error in file(file, "rt") : cannot open the connection

In addition: Warning message:

In file(file, "rt") : cannot open file 'E:tour.text': Permission denied

Error in file(file, "rt") : cannot open the connection

In addition: Warning message:

In file(file, "rt") : cannot open file 'E:tour.txt': Permission denied

Error in file(file, "rt") : cannot open the connection

In addition: Warning message:

In file(file, "rt") : cannot open file 'E:tour.txt': Permission denied

Error in is.data.frame(data) : object 'gnp' not found

> gnp.ts = ts(GNP[,2], frequency = 4, start = 1947)

Error in `[.data.frame`(GNP, , 2) : undefined columns selected

> gnp.ts = ts(GNP, frequency = 4, start = 1947)

Qtr1 Qtr2 Qtr3 Qtr4

1947 2565289 2443603 3400808 3107737

1948 3243037 3147353 4278520 4255329

1949 3503282 3530139 2786362 3034125

1950 2689328 2618174 3670249 3325419

1951 3568482 3517073 4832796 4851935

1952 3740513 3470398 2901506 3026328

1953 2824423 2632421 3333021 3516849

1954 3531727 3276059 4454271 4314430

1955 3432739 3329209 2773192 3072958

1956 2662506 2616495 3503346 3356722

1957 3607195 3447131 4764381 4607091