Comment coder trois problèmes selon J

par **Admin** Mer 18 Mar - 1:20

install.packages("stats")
library("stats")
install.packages("urca")
library("urca")

#1
FCHI <- GetData("^FCHI")
CAC <- matrix(get.hist.quote("^FCHI",compression="m",quote="Close",start="2000-01-01",end="2005-12-31"))
DLCAC <- matrix(diff(log(CAC)))

#2
acf(CAC)
pacf(CAC)

acf(DLCAC)
pacf(DLCAC)

#3

##a
?ur.df
summary(ur.df(DLCAC, type ="trend", lags = 1, selectlags = c("Fixed", "AIC", "BIC")))
summary(ur.df(DLCAC, type ="drift", lags = 1, selectlags = c("Fixed", "AIC", "BIC")))
summary(ur.df(DLCAC, type ="none", lags = 1, selectlags = c("Fixed", "AIC", "BIC")))

##b
ARC <- arima(DLCAC,order=c(1,0,0))
MAC <- arima(DLCAC,order=c(0,0,1))
ARMAC <- arima(DLCAC,order=c(1,0,1))

##c
testAIC <- matrix(c(ARC$aic,MAC$aic,ARMAC$aic))
noms <- c("ARC","MAC","ARMAC")
rownames(testAIC) <- col
best <- max(testAIC)