/*EC572 Time Series Analysis

Final project:
The impact of monetary and fiscal policies on manufacturing industry*/

*Clear the console

clear all
set more off

*Specify the working directory

cd "/Users/nune/Desktop/PSU/MS Economics/Winter 2018/EC572/Project"

*Upload the data (import in csv format)

insheet using "Data.csv", clear

*Format data and set data as time series

gen mdate = mofd(date(date, "DMY"))
format mdate %tm
tsset mdate

*Transforming data to avoid big numbers

gen lmpit=ln(mpit)
gen lmpitex=ln(mpitex)
gen lmpimt=ln(mpimt)
gen lmpiel=ln(mpiel)
gen lgexp=ln(gexp)
gen lgtr=ln(gtr)
gen ler=ln(er)
gen lbm=ln(bm)

*Create variable lists

global ylist mpit mpitex mpimt mpiel
global xlist gexp gtr er bm
global dylist d.mpit d.mpitex d.mpimt d.mpiel

global lylist lmpit lmpitex lmpimt lmpiel

global lxlist lgexp lgtr ler lbm
global dlylist d.lmpit d.lmpitex d.lmpimt d.lmpiel

*Descriptive statistics
summarize $ylist $xlist
summarize $lylist $lxlist
*Plotting the data
tsline $ylist, name(levels, replace)
tsline gexp, name(levels, replace)
tsline gtr, name(levels, replace)
tsline er, name(levels, replace)
tsline bm, name(levels, replace)

tsline $dylist, name(levels, replace)

tsline d.gexp, name(levels, replace)
tsline d.gtr, name(levels, replace)
tsline d.er, name(levels, replace)
tsline d.bm, name(levels, replace)

tsline $lylist, name(levels, replace)

tsline lgexp, name(levels, replace)
tsline lgtr, name(levels, replace)
tsline ler, name(levels, replace)
tsline lbm, name(levels, replace)

tsline $dlylist, name(levels, replace)

tsline d.lgexp, name(levels, replace)
tsline d.lgtr, name(levels, replace)
tsline d.ler, name(levels, replace)
tsline d.lbm, name(levels, replace)

*Dickey-Fuller test for unit root

dfuller lmpit, regress lags(4)
dfuller lmpitex, regress lags(4)
dfuller lmpimt, regress lags(4)
dfuller lmpiel, regress lags(4) /*Reject at lag 4 but accept at 12*/

dfuller lgexp, regress lags(4)

dfuller lgtr, regress lags(4)
dfuller ler, regress lags(4)
dfuller lbm, regress lags(4)

*Dickey-Fuller test on differenced variables

dfuller d.lmpit, regress lags(4)
dfuller d.lmpitex, regress lags(4)
dfuller d.lmpimt, regress lags(4)
dfuller d.lmpiel, regress lags(4)
dfuller d.lgexp, regress lags(4)
dfuller d.lgtr, regress lags(4)
dfuller d.ler, regress lags(4)
dfuller d.lbm, regress lags(4)
/*All reject the null = stationary*/

*Test for cointegration

/*H0: No cointegration and Ha: Cointegration is present*/
/*Johansen test*/
vecrank lmpit $lxlist /*max3*/
vecrank lmpitex $lxlist /*max2*/
vecrank lmpimt $lxlist /*max3*/
vecrank lmpiel $lxlist /*max3*/

*Test for VAR/VECM order

varsoc lmpit $lxlist
varsoc lmpitex $lxlist
varsoc lmpimt $lxlist
varsoc lmpiel $lxlist
/*Mostly VAR(1) based on BIC and HQIC,
but some suggest VAR(4) based on LR, FPE and AIC*/

*Vector error correlation model

vec lmpit $lxlist, lags(1) /*SBIC=-10.57805 and AIC=-10.98605*/
vec lmpitex $lxlist, lags(1) /*SBIC=-13.23552 and AIC=-13.64352*/
vec lmpimt $lxlist, lags(1) /*SBIC=-11.44372 and AIC=-11.85172*/
vec lmpiel $lxlist, lags(1) /*SBIC=-13.21190 and AIC=-13.61990*/

vec lmpit $lxlist, lags(4) /*SBIC=-9.50039 and AIC=-12.15039*/

vec lmpitex $lxlist, lags(4) /*SBIC=-12.58311 and AIC=-15.23311*/
vec lmpimt $lxlist, lags(4) /*SBIC=-10.69183 and AIC=-13.34184*/
vec lmpiel $lxlist, lags(4) /*SBIC=-12.63055 and AIC=-15.28056*/
/*first lag perform better in-sample, based on BIC;
However, MPIMT's GTR becomes negative sign with statistical significance*/

vec lmpit $lxlist, lags(4) rank(2) /*Perform worse than rank(1)*/