library(vars)

#　カナダの予測
data(Canada)
Canada



# Canadaの1999以降は切って、予測をテストする
Canada.1998<-window(Canada,end=c(1998,4))
Canada.1998
Canada

plot(Canada)

# 次数の決定
VARselect(Canada.1998, lag.max = 5, type="const")	# constで定数
VARselect(Canada.1998, lag.max = 5, type="both")	#　トレンド入り

lag1<-VARselect(Canada.1998, lag.max = 5, type="const")$selection[1]
var.1<-VAR(Canada.1998,p=lag1,type="const")
var.1

yosoku<-predict(var.1, n.ahead = 8, ci = 0.95, dumvar = NULL)
yosoku
kekka<-ts(yosoku$fcst$e[,1],start=1999,frequency=4)
kekka
sita<-ts(yosoku$fcst$e[,2],start=1999,frequency=4)
ue<-ts(yosoku$fcst$e[,3],start=1999,frequency=4)

win.graph()
ts.plot(Canada[,1])
lines(kekka,type="l",col=1,lwd=2)
lines(ue,type="l",col=2,lwd=2)
lines(sita,type="l",col=2,lwd=2)


yosoku<-predict(var.1, n.ahead = 100, ci = 0.95, dumvar = NULL)
yosoku
kekka<-ts(yosoku$fcst$e[,1],start=1999,frequency=4)
kekka
plot(kekka)


# U の結果
yosoku<-predict(var.1, n.ahead = 8, ci = 0.95, dumvar = NULL)
yosoku
kekka<-ts(yosoku$fcst$U[,1],start=1999,frequency=4)
kekka
sita<-ts(yosoku$fcst$U[,2],start=1999,frequency=4)
ue<-ts(yosoku$fcst$U[,3],start=1999,frequency=4)

win.graph()
ts.plot(Canada[,4],ylim=c(5,13))
lines(kekka,type="l",col=1,lwd=2)
lines(ue,type="l",col=2,lwd=2)
lines(sita,type="l",col=2,lwd=2)


yosoku<-predict(var.1, n.ahead = 100, ci = 0.95, dumvar = NULL)
kekka<-ts(yosoku$fcst$U[,1],start=1999,frequency=4)
plot(kekka)



# modelをトレンド付にする
lag2<-VARselect(Canada.1998, lag.max = 5, type="both")$selection[1]
var.2<-VAR(Canada.1998,p=lag2,type="both")
var.2

yosoku2<-predict(var.2,n.ahead = 8, ci = 0.95, dumvar = NULL)
yosoku2
kekka2<-ts(yosoku2$fcst$e[,1],start=1999,frequency=4)
kekka2
sita2<-ts(yosoku2$fcst$e[,2],start=1999,frequency=4)
ue2<-ts(yosoku2$fcst$e[,3],start=1999,frequency=4)

win.graph()
ts.plot(Canada[,1])
lines(kekka2,type="l",col=1,lwd=2)
lines(ue2,type="l",col=2,lwd=2)
lines(sita2,type="l",col=2,lwd=2)


yosoku2<-predict(var.2, n.ahead = 100, ci = 0.95, dumvar = NULL)
yosoku2
kekka2<-ts(yosoku2$fcst$e[,1],start=1999,frequency=4)
kekka2
plot(kekka2)


# U の結果
yosoku2<-predict(var.2, n.ahead = 8, ci = 0.95, dumvar = NULL)
yosoku2
kekka2<-ts(yosoku2$fcst$U[,1],start=1999,frequency=4)
kekka2
sita2<-ts(yosoku2$fcst$U[,2],start=1999,frequency=4)
ue2<-ts(yosoku2$fcst$U[,3],start=1999,frequency=4)

win.graph()
ts.plot(Canada[,4],ylim=c(5,13))
lines(kekka2,type="l",col=1,lwd=2)
lines(ue2,type="l",col=2,lwd=2)
lines(sita2,type="l",col=2,lwd=2)


yosoku2<-predict(var.2, n.ahead = 100, ci = 0.95, dumvar = NULL)
yosoku2
kekka2<-ts(yosoku2$fcst$U[,1],start=1999,frequency=4)
kekka2
plot(kekka2)