Odev5

library(WDI)
df = WDI(indicator=c(isz='SL.UEM.TOTL.ZS', enf='FP.CPI.TOTL.ZG' ), country=c('TR'),  start=2000, 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(2000), end=c(2020),frequency=1)

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

plot(df.ts[,"isz"], ylab="nüfus")

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

plot(df.ts[,"isz"], ylab="nüfus")

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

gecikmeliun <- data.frame(cbind(df.ts[,"isz"], lag(df.ts[,"isz"],-1)))
names(gecikmeliun) <- c("isz","nfs1gec")
head(gecikmeliun)

##     isz nfs1gec
## 1  6.50      NA
## 2  8.38    6.50
## 3 10.36    8.38
## 4 10.54   10.36
## 5 10.84   10.54
## 6 10.64   10.84

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

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

enflasyon <- df.ts[,"enf"]
deltanüfus <- diff(df.ts[,"isz"])
plot(enflasyon)

plot(deltanüfus)

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

## 
## Time series regression with "ts" data:
## Start = 2001, End = 2020
## 
## Call:
## dynlm(formula = enflasyon ~ deltanüfus)
## 
## Residuals:
##     Min      1Q  Median      3Q     Max 
## -17.522  -6.818  -2.826   2.956  34.300 
## 
## Coefficients:
##             Estimate Std. Error t value Pr(>|t|)    
## (Intercept)   12.908      2.762   4.673 0.000189 ***
## deltanüfus     3.826      2.011   1.903 0.073220 .  
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 11.99 on 18 degrees of freedom
## Multiple R-squared:  0.1674, Adjusted R-squared:  0.1212 
## F-statistic:  3.62 on 1 and 18 DF,  p-value: 0.07322

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

Hata payını ölçelim

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 = 5.2813, df1 = 1, df2 = 17, p-value = 0.03452

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

## 
##  Breusch-Godfrey test for serial correlation of order up to 1
## 
## data:  phillips.reg
## LM test = 4.7406, df = 1, p-value = 0.02946

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)  12.9081     2.7187  4.7479 0.0001607 ***
## deltanüfus    3.8256     3.1559  1.2122 0.2410963    
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

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

## 
## t test of coefficients:
## 
##             Estimate Std. Error t value  Pr(>|t|)    
## (Intercept)  12.9081     1.8314  7.0480 1.417e-06 ***
## deltanüfus    3.8256     1.9348  1.9773   0.06353 .  
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

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

## 
## t test of coefficients:
## 
##             Estimate Std. Error t value  Pr(>|t|)    
## (Intercept)  12.9081     2.1310  6.0573 1.002e-05 ***
## deltanüfus    3.8256     2.1161  1.8079   0.08737 .  
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1