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data(intdef, package=’wooldridge’)
str(intdef)
(intdef)

 

A <- intdef[,c(1,2,3,6)]

windows()
plot(A)

 

# Linear regression of static model:
summary( out <- lm(i3~inf+def,data=intdef) )

 

A$res <- out$residuals ###把殘差存回A資料集
A

windows()
plot(A$year,A$res)

windows()
pacf( out$residuals)

windows()
acf( out$residuals)

 

# Define Yearly time series beginning in 1948
tsdata <- ts(A, start=1948)
plot(tsdata)

# Libraries for dynamic lm, regression table and F tests
library(dynlm);library(lmtest);library(car)

out2 <- dynlm(i3 ~ inf+def+L(i3,1) , data=tsdata)
windows()
pacf( out2$residuals)

windows()
acf( out2$residuals)


coeftest(out2)

 

out3 <- dynlm(i3 ~ inf+def+L(i3,1) + L(i3,2) , data=tsdata)
windows()
pacf( out3$residuals)


windows()
acf( out3$residuals)


coeftest(out3)


library(lmtest)
bptest(out)


bptest(out2)


bptest(out3)

221201 計量經濟學_2
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