library(dynlm)
## Warning: package 'dynlm' was built under R version 3.6.2
library(car)
library(sandwich)
library(knitr)
library(broom)
library(readxl)
######################################
data<-read_excel("D:/My projects/ex9_2.xlsx")
attach(data)
head(data)
## # A tibble: 6 x 2
## sales adv
## <dbl> <dbl>
## 1 37.8 1.6
## 2 39.2 1.67
## 3 39.2 1.73
## 4 39.0 1.59
## 5 38.7 1.71
## 6 36.7 1.77
check.ts<-is.ts(data)
sales.ts<-ts(data,start=c(1998,1),end=c(2006,9),frequency = 12)
plot(sales.ts[,"sales"],ylab="Sales")
plot(sales.ts[,"adv"],ylab="Advertisement revenue")
sales1.dyn=dynlm(sales~L(adv,0:2),data=sales.ts)
kable(tidy(summary(sales1.dyn)), digits=4,
caption="The distributed lag model with three lags")
The distributed lag model with three lags
| (Intercept) |
25.3435 |
1.5999 |
15.8403 |
0.0000 |
| L(adv, 0:2)0 |
1.8418 |
1.1809 |
1.5596 |
0.1220 |
| L(adv, 0:2)1 |
3.8016 |
1.4699 |
2.5863 |
0.0112 |
| L(adv, 0:2)2 |
2.2655 |
1.1922 |
1.9002 |
0.0603 |
ehat <- resid(sales1.dyn)
corrgm <- acf(ehat)
sales2.dyn=dynlm(sales~lag(sales,-1)+lag(adv,0)+lag(adv,-1)+lag(adv,-2),data=sales.ts)
kable(tidy(summary(sales2.dyn)), digits=4,
caption="The distributed lag model with three lags")
The distributed lag model with three lags
| (Intercept) |
27.6089 |
3.0818 |
8.9588 |
0.0000 |
| lag(sales, -1) |
-0.0851 |
0.0989 |
-0.8605 |
0.3916 |
| lag(adv, 0) |
1.8547 |
1.1826 |
1.5683 |
0.1200 |
| lag(adv, -1) |
3.9377 |
1.4803 |
2.6601 |
0.0091 |
| lag(adv, -2) |
2.7215 |
1.3061 |
2.0836 |
0.0398 |
dhat <- resid(sales2.dyn)
model=c("first","second")
glL3 <- glance(sales1.dyn)[c("r.squared","statistic","AIC","BIC")]
glL2 <- glance(sales2.dyn)[c("r.squared","statistic","AIC","BIC")]
table <- rbind(glL3, as.numeric(glL2))
table=cbind(model,table)
kable(table, caption="Goodness-of-fit")
Goodness-of-fit
| first |
0.4000894 |
22.00819 |
387.9270 |
401.1006 |
| second |
0.4045882 |
16.64799 |
389.1516 |
404.9600 |