R Markdown

library(pdfetch)
data1<-pdfetch_FRED(c("CCUSMA02TRA618N", "FPCPITOTLZGTUR"))

1960 ile 2022 arasındaki yıllık veriler

data1<- na.omit(data1)
names(data1)[1] <- "enflasyon"
names(data1)[2]<-"dovizkuru"
library(psych)
describe(data1)
##           vars  n  mean    sd median trimmed   mad  min    max  range skew
## enflasyon    1 62  0.95  1.77   0.00    0.52  0.01 0.00   8.86   8.86 2.56
## dovizkuru    2 62 31.45 28.56  18.23   27.75 17.92 1.12 105.21 104.10 0.87
##           kurtosis   se
## enflasyon     6.94 0.23
## dovizkuru    -0.56 3.63
library(urca)
## Warning: package 'urca' was built under R version 4.2.3
enflasyon.adf<-ur.df(data1$enflasyon,type = "drift",selectlags = "BIC")
dovizkuru.adf<-ur.df(data1$dovizkuru,type = "drift",selectlags = "BIC")
summary(enflasyon.adf)
## 
## ############################################### 
## # Augmented Dickey-Fuller Test Unit Root Test # 
## ############################################### 
## 
## Test regression drift 
## 
## 
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
## 
## Residuals:
##      Min       1Q   Median       3Q      Max 
## -0.39707  0.01850  0.01851  0.02026  0.43164 
## 
## Coefficients:
##             Estimate Std. Error t value Pr(>|t|)    
## (Intercept) -0.01851    0.02306  -0.803 0.425522    
## z.lag.1      0.11953    0.02880   4.150 0.000112 ***
## z.diff.lag   0.56578    0.15126   3.740 0.000428 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 0.1531 on 57 degrees of freedom
## Multiple R-squared:  0.8231, Adjusted R-squared:  0.8169 
## F-statistic: 132.6 on 2 and 57 DF,  p-value: < 2.2e-16
## 
## 
## Value of test-statistic is: 4.1501 8.9163 
## 
## Critical values for test statistics: 
##       1pct  5pct 10pct
## tau2 -3.51 -2.89 -2.58
## phi1  6.70  4.71  3.86
summary(dovizkuru.adf)
## 
## ############################################### 
## # Augmented Dickey-Fuller Test Unit Root Test # 
## ############################################### 
## 
## Test regression drift 
## 
## 
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
## 
## Residuals:
##     Min      1Q  Median      3Q     Max 
## -48.704  -4.922  -1.230   2.996  42.529 
## 
## Coefficients:
##             Estimate Std. Error t value Pr(>|t|)  
## (Intercept)  3.90109    2.61966   1.489   0.1420  
## z.lag.1     -0.11294    0.06176  -1.829   0.0727 .
## z.diff.lag  -0.03898    0.13188  -0.296   0.7686  
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 13.3 on 57 degrees of freedom
## Multiple R-squared:  0.0637, Adjusted R-squared:  0.03084 
## F-statistic: 1.939 on 2 and 57 DF,  p-value: 0.1532
## 
## 
## Value of test-statistic is: -1.8286 1.6856 
## 
## Critical values for test statistics: 
##       1pct  5pct 10pct
## tau2 -3.51 -2.89 -2.58
## phi1  6.70  4.71  3.86