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| *======================================================================================== | |
| *Praktek untuk model VAR dan VECM | |
| *======================================================================================== | |
| clear | |
| set more off | |
| clear | |
| set more off | |
| *-------------------------------------------------------------------------------- | |
| *Mengambil data dari worldbank data | |
| *-------------------------------------------------------------------------------- | |
| wbopendata, language(en - English) country() topics() /// | |
| indicator(NY.GDP.MKTP.CD - GDP (current US$), NY.GDP.MKTP.KN - GDP (constant LCU);SL.TLF.TOTL.IN - Labor force, total;BX.KLT.DINV.CD.WD - Foreign direct investment, net inflows (BoP, current US$);SL.UEM.TOTL.ZS - Unemployment, total (% of total labor force) (modeled ILO estimate);NY.GDP.MKTP.KD.ZG - GDP growth (annual %)) clear long | |
| keep if countryname=="Indonesia" | |
| drop | |
| gen lny_gdp_mktp_cd=ln(ny_gdp_mktp_cd) | |
| gen lsl_tlf_totl_in=ln(sl_tlf_totl_in) | |
| gen lbx_klt_dinv_cd_wd=ln( bx_klt_dinv_cd_wd) | |
| tset year | |
| tw (tsline lny_gdp_mktp_cd) (tsline lsl_tlf_totl_in) | |
| dfuller d.ny_gdp_mktp_cd | |
| dfuller d.lsl_tlf_totl_in | |
| dfuller d.lbx_klt_dinv_cd_wd | |
| var ny_gdp_mktp_kd_zg d.lsl_tlf_totl_in d.lbx_klt_dinv_cd_wd d.lbx_klt_dinv_cd_wd , lags(1/3) | |
| *forcasting dengan var | |
| fcast compute m1_, step(5) | |
| fcast graph m1_ny_gdp_mktp_kd_zg m1_D_lsl_tlf_totl_in m1_D_lbx_klt_dinv_cd_wd | |
| *granger caisality | |
| vargranger | |
| *selection order criteria | |
| varsoc | |
| *eigen value stability conditiin | |
| varstable | |
| varstable, graph | |
| *--------------------------------------------------------------------------------------------- | |
| *membuat test Cointegration | |
| vecrank lny_gdp_mktp_cd lsl_tlf_totl_in,trend(none) lag(3) | |
| *VECM Model | |
| vec lny_gdp_mktp_cd lsl_tlf_totl_in | |
| fcast compute m1_, step(5) | |
| fcast graph m1_lny_gdp_mktp_cd m1_lsl_tlf_totl_in | |
| *Eigenvalue stability condition | |
| vecstable | |
| vecstable, graph | |
| *IRF | |
| irf set "vec1" | |
| irf create vec1, step(60) | |
| irf graph oirf, irf(vec1) impulse(lny_gdp_mktp_cd lsl_tlf_totl_in) response(lny_gdp_mktp_cd lsl_tlf_totl_in) | |
| ssc install asdoc | |
| asdoc irf table oirf, irf(vec1) impulse(lny_gdp_mktp_cd lsl_tlf_totl_in) response(lny_gdp_mktp_cd lsl_tlf_totl_in) | |
| *decomposition | |
| irf ograph (vec1 lny_gdp_mktp_cd lsl_tlf_totl_in oirf) | |
| irf table fevd, irf(vec1) impulse(lny_gdp_mktp_cd lsl_tlf_totl_in) response(lny_gdp_mktp_cd) | |
| *-------------------------------------------------------------------------------- | |
| * Perang dunia sekarang | |
| *-------------------------------------------------------------------------------- | |
| wbopendata, language(en - English) country() topics() /// | |
| indicator(NY.GDP.MKTP.CD - GDP (current US$), NY.GDP.MKTP.KN - GDP (constant LCU);SL.TLF.TOTL.IN - Labor force, total;BX.KLT.DINV.CD.WD - Foreign direct investment, net inflows (BoP, current US$);SL.UEM.TOTL.ZS - Unemployment, total (% of total labor force) (modeled ILO estimate)) clear long | |
| keep if countryname=="Indonesia" | countryname=="Malaysia" | countryname=="Thailand" | countryname=="Ukraine" | countryname =="Russian Federation" | |
| gen lny_gdp_mktp_cd=ln(ny_gdp_mktp_cd) | |
| gen lsl_tlf_totl_in=ln(sl_tlf_totl_in) | |
| gen lbx_klt_dinv_cd_wd=ln( bx_klt_dinv_cd_wd) | |
| tw (tsline lny_gdp_mktp_cd) (tsline lsl_tlf_totl_in) | |
| dfuller d.lny_gdp_mktp_cd | |
| dfuller d.lsl_tlf_totl_in | |
| dfuller d.lbx_klt_dinv_cd_wd | |
| drop countrycode | |
| drop region regionname adminregion adminregionname incomelevel incomelevelname lendingtype lendingtypename | |
| reshape wide ny_gdp_mktp_cd sl_tlf_totl_in bx_klt_dinv_cd_wd lny_gdp_mktp_cd lsl_tlf_totl_in lbx_klt_dinv_cd_wd, i( year) j( countryname) str | |
| tset year | |
| foreach i in ny_gdp_mktp_cdIndonesia lny_gdp_mktp_cdIndonesia ny_gdp_mktp_cdMalaysia lny_gdp_mktp_cdMalaysia ny_gdp_mktp_cdThailand lny_gdp_mktp_cdThailand ny_gdp_mktp_cdUkraine lny_gdp_mktp_cdUkraine{ | |
| di as text "--------------proses untuk dfuller pada variabel `i'-------------------" | |
| dfuller d.`i' | |
| } | |
| var d.lny_gdp_mktp_cdIndonesia d.lny_gdp_mktp_cdMalaysia d.lny_gdp_mktp_cdThailand d.lny_gdp_mktp_cdUkraine , lags(1/5) | |
| *granger caisality | |
| vargranger | |
| *selection order criteria | |
| varsoc | |
| *eigen value stability conditiin | |
| varstable | |
| varstable, graph |
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