Odev 5

library(WDI)
df = WDI(indicator=c(un='SL.UEM.TOTL.ZS', enf='FP.CPI.TOTL.ZG' ), country=c('TR'),  start=1992, end=2020)

library(dynlm)

## Zorunlu paket yükleniyor: zoo

## 
## Attaching package: 'zoo'

## The following objects are masked from 'package:base':
## 
##     as.Date, as.Date.numeric

df.ts <- ts(df, start=c(1992), end=c(2020),frequency=1)

df.ts<-df.ts[,c("un","enf")]

plot(df.ts[,"un"], ylab="işsizlik")

plot(df.ts[,"enf"], ylab="enflasyon")

gecikmeliun <- data.frame(cbind(df.ts[,"un"], lag(df.ts[,"un"],-1)))
names(gecikmeliun) <- c("un","un1gec")
head(gecikmeliun)

##     un un1gec
## 1 8.51     NA
## 2 8.96   8.51
## 3 8.58   8.96
## 4 7.64   8.58
## 5 6.63   7.64
## 6 6.84   6.63

acf(df.ts[,"un"])

acf(df.ts[,"enf"])

enflasyon <- df.ts[,"enf"]
deltaissizlik <- diff(df.ts[,"un"])

plot(enflasyon)

phillips.reg <- dynlm(enflasyon~deltaissizlik)
summary(phillips.reg)

## 
## Time series regression with "ts" data:
## Start = 1993, End = 2020
## 
## Call:
## dynlm(formula = enflasyon ~ deltaissizlik)
## 
## Residuals:
##    Min     1Q Median     3Q    Max 
## -30.44 -24.05 -20.79  27.40  71.41 
## 
## Coefficients:
##               Estimate Std. Error t value Pr(>|t|)    
## (Intercept)     33.002      6.331   5.213 1.92e-05 ***
## deltaissizlik   -2.103      5.163  -0.407    0.687    
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 33.2 on 26 degrees of freedom
## Multiple R-squared:  0.00634,    Adjusted R-squared:  -0.03188 
## F-statistic: 0.1659 on 1 and 26 DF,  p-value: 0.6871

uhat <- resid(phillips.reg)
plot(uhat)

acf(uhat)

library(lmtest)
bgtest(phillips.reg, order=1, type="F")

## 
##  Breusch-Godfrey test for serial correlation of order up to 1
## 
## data:  phillips.reg
## LM test = 131.8, df1 = 1, df2 = 25, p-value = 1.844e-11

library(lmtest)
bgtest(phillips.reg, order=1, type="Chisq")

## 
##  Breusch-Godfrey test for serial correlation of order up to 1
## 
## data:  phillips.reg
## LM test = 23.536, df = 1, p-value = 1.226e-06

library(sandwich)

## Warning: package 'sandwich' was built under R version 4.1.3

coeftest(phillips.reg, vcov.=vcovHAC(phillips.reg))

## 
## t test of coefficients:
## 
##               Estimate Std. Error t value Pr(>|t|)   
## (Intercept)    33.0018    10.0679  3.2779 0.002968 **
## deltaissizlik  -2.1029     4.9319 -0.4264 0.673334   
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1