#ESTIMATIONS TIME VARYING BOHN TEST ############# library(mgcv) ############# # run alg_dataimport.txt first! # prepare the dataset dat.pan.w<-read.csv("dat_pan_w1.csv") dat.pan.w<-pdata.frame(dat.pan.w,index=c("idn","time")) dat.pan.w$nfl.l1<-lag(dat.pan.w$nfl) dat.pan.w$vol.l1<-lag(dat.pan.w$vol) dat.pan.w$tdd.l1<-lag(dat.pan.w$tdd) dat.pan.w$reeru.l1<-lag(dat.pan.w$reeru) dat.pan.w$nfl.d1<-diff(dat.pan.w$nfl) write.csv(dat.pan.w,"dat_pan_w.csv",row.names=F) dat.pan.w<-read.csv("dat_pan_w.csv") dat.w.north<-subset(dat.pan.w, id=="bd" | id=="fr" | id=="fn" | id=="bg" | id=="nl" | id=="oe") dat.w.south<-subset(dat.pan.w, id=="it" | id=="es" | id=="pt") dat.w.nonemu<-subset(dat.pan.w, id=="uk" | id=="sd" | id=="no" | id=="dk") #ESTIMATION BOHN VOL #how does the response of ta to nfl change with volatility in the real exchange rate for the northern and southern block? gam.w.north<-gam(ta~s(vol,by=nfl.l1)+tdd.l1+reeru.l1-1,data=dat.w.north); summary(gam.w.north) gam.w.south<-gam(ta~s(vol,by=nfl.l1)+tdd.l1+reeru.l1-1,data=dat.w.south); summary(gam.w.south) gam.w.nonemu<-gam(ta~s(vol,by=nfl.l1)+tdd.l1+reeru.l1-1,data=dat.w.nonemu); summary(gam.w.nonemu) #plot for north and south and nonemu postscript("bohn_splines_rhovol.eps", paper="special", width=8, height=2.5, horizontal=FALSE) par(mfrow=c(1,3),mar=c(4, 4, 2, 1) ) plot(gam.w.north,ylab="rho(v)",xlab="v",main="North",ylim=c(-0.1,0.07)) plot(gam.w.south,ylab="rho(v)",xlab="v",main="South",ylim=c(-0.1,0.07)) plot(gam.w.nonemu,ylab="rho(v)",xlab="v",main="non-EMU",ylim=c(-0.1,0.07)) dev.off()