Comment coder trois problèmes selon J
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Comment coder trois problèmes selon J
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$aic))
noms <- c("ARC","MAC","ARMAC")
rownames(testAIC) <- col
best <- max(testAIC)
library("stats")
install.packages("urca")
library("urca")
#1
FCHI <- GetData("^FCHI")
CAC <- matrix(get.hist.quote("^FCHI",compression="m",quote="Close",start="2000-01-01",end="2005-12-31"))
DLCAC <- matrix(diff(log(CAC)))
#2
acf(CAC)
pacf(CAC)
acf(DLCAC)
pacf(DLCAC)
#3
##a
?ur.df
summary(ur.df(DLCAC, type ="trend", lags = 1, selectlags = c("Fixed", "AIC", "BIC")))
summary(ur.df(DLCAC, type ="drift", lags = 1, selectlags = c("Fixed", "AIC", "BIC")))
summary(ur.df(DLCAC, type ="none", lags = 1, selectlags = c("Fixed", "AIC", "BIC")))
##b
ARC <- arima(DLCAC,order=c(1,0,0))
MAC <- arima(DLCAC,order=c(0,0,1))
ARMAC <- arima(DLCAC,order=c(1,0,1))
##c
testAIC <- matrix(c(ARC$aic,MAC$aic,ARMAC$aic))
noms <- c("ARC","MAC","ARMAC")
rownames(testAIC) <- col
best <- max(testAIC)
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