handbook-regressions.R

library(tstools)
library(lmtest)
macro <- readRDS("quarterlymacro.RDS")
fit.pre84 <- tsreg(macro[, "drgdp"], ts.combine(lags(macro[, "drgdp"], 1:4), lags(macro[, "doil_q"], 1:4)), end=c(1984,4))
ar.pre84 <- tsreg(macro[, "drgdp"], lags(macro[, "drgdp"], 1:4), end=c(1984,4))
print(summary(fit.pre84))
print(names(fit.pre84))
print(waldtest(fit.pre84, ar.pre84))

fit.after84 <- tsreg(macro[, "drgdp"], ts.combine(lags(macro[, "drgdp"], 1:4), lags(macro[, "doil_q"], 1:4)), start=c(1985,1))
ar.after84 <- tsreg(macro[, "drgdp"], lags(macro[, "drgdp"], 1:4), start=c(1985,1))
print(summary(fit.after84))
print(waldtest(fit.after84, ar.after84))

nopi.full <- tsreg(macro[, "drgdp"], ts.combine(lags(macro[, "drgdp"], 1:4), lags(macro[, "nopi_q"], 1:4)))
print(summary(nopi.full))
nopi.after84 <- tsreg(macro[, "drgdp"], ts.combine(lags(macro[, "drgdp"], 1:4), lags(macro[, "nopi_q"], 1:4)), start=c(1985,1))
print(summary(nopi.after84))