{"id":66,"date":"2020-04-06T18:19:40","date_gmt":"2020-04-06T18:19:40","guid":{"rendered":"http:\/\/ricovictor.com\/?p=66"},"modified":"2020-05-15T16:34:58","modified_gmt":"2020-05-15T16:34:58","slug":"modelos-var-vectores-autoregresivos-en-r","status":"publish","type":"post","link":"https:\/\/ricovictor.com\/index.php\/2020\/04\/06\/modelos-var-vectores-autoregresivos-en-r\/","title":{"rendered":"Modelos VAR (Vectores Autoregresivos) en R."},"content":{"rendered":"\n<p>\ud83d\udc4d Los Vectores Autoregresivos son un tipo de modelo econom\u00e9trico muy conocido de car\u00e1cter multivariante, que son una extensi\u00f3n de los modelos autoregresivos univariantes como los ARIMA. <\/p>\n\n\n\n<p>\ud83d\udc49 La particularidad que tenemos en este tipo de modelos es que lo que haremos es considerar las relaciones existentes entre las variables de manera que no tendremos una variable dependiente y otras independientes,sino que todas las consideraremos en igualdad de condiciones.  <\/p>\n\n\n\n<p>\ud83d\ude01Estos modelos son usados mucho en pron\u00f3sticos, y para ver los efectos que tienen los movimientos de unas variables sobre otras( Impulso- respuesta).<\/p>\n\n\n\n<p>\ud83d\udd90\ufe0f En \u00e9ste v\u00eddeo explico este tipo de modelos y hago un ejemplo en R studio usando el series financieras. <\/p>\n\n\n\n<p><\/p>\n\n\n\n<figure class=\"wp-block-embed-youtube wp-block-embed is-type-video is-provider-youtube wp-embed-aspect-16-9 wp-has-aspect-ratio\"><div class=\"wp-block-embed__wrapper\">\n<div class=\"ast-oembed-container \" style=\"height: 100%;\"><iframe loading=\"lazy\" title=\"Modelos VAR (Vectores Autoregresivos) en R.\" width=\"500\" height=\"281\" src=\"https:\/\/www.youtube.com\/embed\/Bn5QyeYiUns?start=572&#038;feature=oembed\" frameborder=\"0\" allow=\"accelerometer; autoplay; clipboard-write; encrypted-media; gyroscope; picture-in-picture; web-share\" allowfullscreen><\/iframe><\/div>\n<\/div><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<p><strong>C\u00d3DIGO EN R<\/strong><\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>\n\n# Video Vectores Autoregresivos\n\n\n# Modelos VAR \n\n\n# Caracteristicas :\n\n\n# Multivariados\n# Diremos que son una extensi\u00f3n de los Modelos Autoregresivos Univariantes\n# Particularidad = No hay variables end\u00f3genas y ex\u00f3genas\n# Sistemas de ecuaciones para obtener par\u00e1metros\n# Base de JOHANSEN\n# Uso para pron\u00f3stico e IMpulso-Respuesta\n\n\n\n# VAR reducidos y Estructurales(SVAR)\n\n\n\n#install.packages(\"quantmod\")\nlibrary(quantmod)\n#install.packages(\"tseries\")\nlibrary(tseries)\n#install.packages(\"fImport\")\nlibrary(fImport)\n\n\n#Modelos de cointegracion\n\n\n#Cargar la libreria urca\nlibrary(urca)\nlibrary(car)\n\n#install.packages(\"vars\")\nlibrary(\"vars\") \n\n\n#\"DEXUSEU\",\"DEXUSUK\",\"DEXJPUS\",\"DEXUSNZ\",\"DEXCAUS\"\n\ngetSymbols(\"EXUSEU\",src=\"FRED\")   #EURSUD mensual\ngetSymbols(\"EXUSUK\",src=\"FRED\")   #GBPUSD m\ngetSymbols(\"EXCAUS\",src=\"FRED\")   #USDCAD m\n\n\n\nEURUSD=EXUSEU&#91;\"2010-01::2019-12\"]\nGBPUSD=EXUSUK&#91;\"2010-01::2019-12\"]\nUSDCAD=EXCAUS&#91;\"2010-01::2019-12\"]\n\n\n\n## 1. Comprobar estacionariedad\n\n\nplot(EURUSD,type=\"l\")\nplot(GBPUSD,type=\"l\")\nplot(USDCAD,type=\"l\")\n\n\n## Siempre uso dickey fuller(video con otros m\u00e9todos)\n\nadf.test(EURUSD)    \nadf.test(GBPUSD)\nadf.test(USDCAD)\n\n\n## Transformar series si no son estacionarias\n\n\nrEURUSD&lt;-na.omit(returns(EURUSD))\nplot(rEURUSD,type=\"l\")\nadf.test(rEURUSD)\n\n\nrGBPUSD&lt;-na.omit(returns(GBPUSD))\nplot(rGBPUSD,type=\"l\")\nrUSDCAD&lt;- na.omit(returns(USDCAD))\nplot(rUSDCAD,type=\"l\")\n\n\nforex&lt;- data.frame(rEURUSD,rGBPUSD,rUSDCAD)\nforex\n\n\n### Aplicamos el VAR Reducido\n\n\n#varF &lt;- VAR(forex,ic=\"AIC\")\n#varF\n\n#summary(varF)\n\n\nVARselect(forex,type=\"none\")\n\n\n\nvarF &lt;- VAR(forex,p=1,type=\"none\",ic=\"AIC\")\nvarF\nsummary(varF)\n\n?VAR\n\n#varF &lt;- VAR(forex,type=\"both\",ic=\"AIC\")\n#varF\n#summary(varF)\n\n\n\nplot(varF)     # #Diagram of fit and residuals for each variables\ncoef(varF)     # coeficientes\n\nresiduals(varF) #residuos\n\nfitted(varF)    #fitted values\n\n\nvarF$varresult$EXUSEU\n\n\n### F\u00f3rmula para hacer Predicciones\n\npredVAR&lt;- predict(varF)\npredVAR\n\nplot(predVAR)\n\n\n### IMPULSO RESPUESTA\n\n## Para ver c\u00f3mo se comportan las dem\u00e1s series despues de \n## un shock en la la ota serie\n\n\nimpul &lt;- irf(varF)\nimpul\nplot(impul)\n\nsummary(impul)\n\n\n\n\n# Calculate impulse response acumulada\n\nir.ac &lt;- irf(varF,n.ahead = 10,ortho = FALSE,\n            cumulative = TRUE)\n\nplot(ir.ac)\n\n\n\n## VAR ESTRUCTURAL\n\n\n# 1 Fijamos la matriz\n\nmatriz &lt;- diag(3)\n\nmatriz&#91;2,1] &lt;- NA\nmatriz&#91;2,3] &lt;- NA\nmatriz&#91;3,1] &lt;- NA\n\nmatriz\n\n# erusud no tiene efecto contempor\u00e1neo en gbpusd\n  \nVARst &lt;- SVAR(varF,estmethod= \"direct\",Amat = matriz) \nVARst\nsummary(VARst)\n?SVAR\n\nirf.VARst &lt;- irf(VARst)\nplot(irf.VARst)\n\npredVARst&lt;- predict(VARst)\npredVARst\n\nfevd(VARst)\n?fevd\n\n\n\n<\/code><\/pre>\n","protected":false},"excerpt":{"rendered":"<p>\ud83d\udc4d Los Vectores Autoregresivos son un tipo de modelo econom\u00e9trico muy conocido de car\u00e1cter multivariante, que son una extensi\u00f3n de los modelos autoregresivos univariantes como los ARIMA. \ud83d\udc49 La particularidad que tenemos en este tipo de modelos es que lo que haremos es considerar las relaciones existentes entre las variables de manera que no tendremos &hellip;<\/p>\n<p class=\"read-more\"> <a class=\"\" href=\"https:\/\/ricovictor.com\/index.php\/2020\/04\/06\/modelos-var-vectores-autoregresivos-en-r\/\"> <span class=\"screen-reader-text\">Modelos VAR (Vectores Autoregresivos) en R.<\/span> Leer m\u00e1s &raquo;<\/a><\/p>\n","protected":false},"author":1,"featured_media":39,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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