SDF4.rts <- as.rts(SDF4)
SDF4time <- time(SDF4.rts)
ts.plot(log(SDF4.rts),reference.grid=F,main="cobre desest y con log")
serie.acf=acf(log(SDF4.rts))
serie.pacf=acf(log(SDF4.rts),type="partial")
library(finmetrics)
nonlinearTest(log(SDF4.rts), method="threshold", p=2, d=1:2)
nonlinearTest(log(SDF1.rts),
nonlinearTest(log(SDF1.rts),
nonlinearTest(log(SDF1.rts),
nonlinearTest(log(SDF1.rts),
nonlinearTest(log(SDF1.rts),
nonlinearTest(log(SDF1.rts),
nonlinearTest(log(SDF1.rts),
nonlinearTest(log(SDF1.rts),
nonlinearTest(log(SDF1.rts),
nonlinearTest(log(SDF1.rts),
nonlinearTest(log(SDF1.rts),
nonlinearTest(log(SDF4.rts),
method="threshold",
method="threshold",
method="threshold",
method="threshold",
method="threshold",
method="threshold",
method="threshold",
method="threshold",
method="threshold",
method="threshold",
method="threshold",
method="threshold",
p=13, d=1:13)
p=12, d=1:12)
p=11, d=1:11)
p=10, d=1:10)
p=9, d=1:9)
p=8, d=1:8)
p=7, d=1:7)
p=6, d=1:6)
p=5, d=1:5)
p=4, d=1:4)
p=3, d=1:3)
p=2, d=1:2)
ndx.test = nonlinearTest(log(SDF4.rts), method="threshold", p=2, d=1,
save.RLS=T)
names(ndx.test)
#####grafico de umbrales###
par(mfrow=c(2,1))
plot(ndx.test$yd, ndx.test$tRatio[,1], xlab="Y_{t-1}",ylab="t-ratio
of AR(1)",col="blue")
plot(ndx.test$yd, ndx.test$tRatio[,2], xlab="Y_{t-1}",ylab="t-ratio
of AR(2)",col="green")
nonlinearTest(log(SDF4.rts), method="sup-LR", p=2, d=1,
n.boot=1000)
nonlinearTest(log(SDF4.rts), method="sup-LR", p=2, d=1,
n.boot=1000, hetero=T)
ndx.setar.r = TAR(log(SDF4.rts), p=2, d=1)
ndx.setar.r
###estimacion del setar###
library(finmetrics)
ndx.setar = SETAR(log(SDF4.rts), c(4.9859), p=2, d=1)
summary(ndx.setar)
ndx.resid=resid(ndx.setar)
ndx.resid
histogram(ndx.resid,probability=T,ylim=c(0,30))
dens<- density(ndx.resid,n=130)
points(dens,type="1")
AutoccoResid = acf(ndx.resid,col="blue",main="ACF de los residuos")
ndx.fitted = fitted(ndx.setar)
tsplot(cbind(ndx.fitted))
tsplot(log(SDF4.rts),ndx.fitted)
4.6
4.8
5.0
5.2
5.4
Produccion de cobre en Perъ(2007-2018)
0
20
40
60
80
100
120
140
Time
-0.2
0.0
0.2
ACF
0.4
0.6
0.8
1.0
Series : log(SDF4.rts)
0
5
10
Lag
15
20
1
2
3
of AR(2)
t-ratio
4
0
2
4
of AR(1)
t-ratio
6
8
-0.2
0.0
0.2
Partial ACF
0.4
0.6
0.8
1.0
Series : log(SDF4.rts)
0
5
4.8
4.8
10
Lag
5.0
5.0
Y_{t-1}
15
20
Y_{t-1}
5.2
5.4
5.2
5.4
-0.2
0.0
0.2
ACF
0.4
0.6
0.8
1.0
ACF de los residuos
5
10
Lag
15
20
4.6
4.8
5.0
5.2
5.4
0
0
20
40
60
80
Time
100
120
140
200
400
600
800
1000
Produccion de hierro en Peru(2007-2018)
0
20
40
60
80
100
120
140
Time
serie tratada
5.0
5.5
6.0
6.5
7.0
Produccion de hierro en Peru(2007-2018)
0
20
40
60
80
Time
100
120
140
0.5
1.0
1.5
of AR(2)
t-ratio
2.0
0
1
2
of AR(1)
t-ratio
3
4
-0.2
-0.1
Partial ACF
0.1
0.3
ACF
0.2 0.4 0.6 0.8 1.0
ACF
0
5
6.0
6.0
10
Lag
6.2
6.2
ACP
15
20
0
6.4
6.4
Y_{t-1}
5
10
Lag
15
Y_{t-1}
6.6
6.8
6.6
6.8
20
-0.2
0.0
0.2
ACF
0.4
0.6
0.8
1.0
ACF de los residuos
0
5
10
Lag
15
20