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library(dLagM)

## Loading required package: nardl

## Registered S3 method overwritten by 'quantmod':

## method from
## as.zoo.data.frame zoo

## Loading required package: dynlm

## Loading required package: zoo

##
## Attaching package: 'zoo'

## The following objects are masked from 'package:base':

##
## as.Date, as.Date.numeric

data(seaLevelTempSOI)
level.ts <- ts(seaLevelTempSOI[1499:1595,1], start = c
(2005,5), freq = 12)
temp.ts <- ts(seaLevelTempSOI[1499:1595,2], start = c
(2005,5), freq = 12)
rolCorPlot(y = level.ts, x = temp.ts, width = c(3, 5, 7, 11),level =
0.95,SDtest = TRUE)
## $rolCor
## [,1] [,2] [,3] [,4]
## [1,] NA NA NA NA
## [2,] NA NA NA NA
## [3,] -0.80829258 NA NA NA
## [4,] -0.98506943 NA NA NA
## [5,] -0.98353272 -0.96690888 NA NA
## [6,] -0.96599857 -0.96978535 NA NA
## [7,] -0.11769574 -0.91773425 -0.94067583 NA
## [8,] -0.01667711 0.27946127 -0.50733959 NA
## [9,] 0.75682230 0.47907506 -0.27053365 NA
## [10,] 0.14161455 -0.20824115 -0.19414336 NA
## [11,] -0.92468905 -0.52791230 -0.62575332 -0.6460227703
## [12,] -0.21032136 -0.43784909 -0.65645433 -0.6756651342
## [13,] -0.97203686 -0.85995212 -0.59894259 -0.6768798000
## [14,] -0.51696586 -0.45541525 -0.39118475 -0.5696614320
## [15,] 0.49215927 -0.56578789 -0.54542570 -0.5438324633
## [16,] 0.54352910 -0.14778212 -0.36847110 -0.4934474884
## [17,] -0.91790964 0.01754784 -0.30444862 -0.3525666206
## [18,] 0.62492739 0.48821771 0.03292092 -0.1661227182
## [19,] -0.96989747 -0.88998271 -0.13519045 -0.4138037234
## [20,] -0.95095992 -0.95642413 -0.63009061 -0.6663431335
## [21,] 0.38996388 -0.28290321 -0.34989140 -0.4001623062
## [22,] 0.95693605 0.03408647 -0.21978430 -0.2541356704
## [23,] 0.99704117 0.45177753 -0.14000455 -0.2014062349
## [24,] -0.12049201 0.09367821 -0.06321413 -0.2152822178
## [25,] -0.98457093 -0.27389189 -0.15028402 -0.3110461881
## [26,] -0.87407171 -0.67945553 -0.28429576 -0.3582141344
## [27,] -0.15102353 -0.82502366 -0.26395856 -0.3349703416
## [28,] -0.79834640 -0.63803138 -0.47992229 -0.3023047477
## [29,] 0.50717983 -0.48123804 -0.74057981 -0.2768693742
## [30,] 0.82246232 -0.43261631 -0.53344835 -0.2795875032
## [31,] 0.91344905 0.73130097 -0.08906345 -0.1057142201
## [32,] 0.57090172 0.63596638 0.46294892 0.1379236334
## [33,] -0.08167978 0.69740614 0.65944925 0.3657858316
## [34,] 0.92153661 0.87132558 0.72822188 0.3876046134
## [35,] 0.55464765 0.61222284 0.61086945 0.3907775411
## [36,] -0.92851913 0.47270274 0.40927734 0.3707377622
## [37,] -0.99999713 0.17090545 0.38975782 0.3669318285
## [38,] -0.89000253 -0.88171221 0.47103387 0.3930126146
## [39,] 0.84675074 0.52121548 0.21813766 0.3523956080
## [40,] 0.10460699 -0.04790182 -0.43590786 0.3380053997
## [41,] -0.90658794 -0.35434962 -0.39630762 0.2511343331
## [42,] -0.66341972 -0.44039768 -0.56281339 0.1414519850
## [43,] 0.48236092 -0.65383724 -0.31104000 -0.0095184205
## [44,] 0.59048827 0.10175605 -0.25524890 -0.3125820863
## [45,] 0.97254751 0.48289704 -0.39503042 -0.1839955138
## [46,] 0.76848193 0.52696956 0.28875922 -0.0620813730
## [47,] 0.12560305 0.66676757 0.22184009 0.0037671023
## [48,] 0.84198084 0.67706202 0.41662397 0.0848852042
## [49,] 0.88425370 0.86186687 0.64835347 -0.0680198901
## [50,] 0.61620613 0.86274213 0.71060513 0.3631434073
## [51,] 0.81699175 0.82385991 0.87816235 0.3140463196
## [52,] 0.81029344 0.25399633 0.84576210 0.4561843894
## [53,] 0.94952926 0.81975033 0.44407207 0.5459270617
## [54,] 0.99997102 0.83228699 0.38976215 0.5686231798
## [55,] -0.05087468 -0.14913338 -0.01422884 0.5015904466
## [56,] -0.96488259 -0.05669333 0.05135528 0.3976978542
## [57,] -0.92316250 0.14459738 0.07172645 0.1952501675
## [58,] -0.87436633 -0.88008823 -0.52446908 -0.4439782689
## [59,] -0.85074258 -0.89045337 -0.58433128 -0.5375661693
## [60,] 0.64576882 -0.25136351 -0.54263151 -0.3875139076
## [61,] 0.93828969 0.54931219 -0.20165003 -0.1994887754
## [62,] 0.99720249 0.86853665 0.40896109 0.0316292007
## [63,] 0.73404096 0.86383690 0.66873493 0.0615629704
## [64,] 0.82226403 0.14793395 0.57144819 0.1204070095
## [65,] 0.87151335 0.87437025 0.58793496 0.1197330292
## [66,] 0.95646678 0.90864087 0.81056868 0.5371964462
## [67,] -0.32818452 0.10407143 0.26119128 0.1815770361
## [68,] 0.13740221 0.08212997 0.21072960 0.0451990437
## [69,] -0.13836163 0.37438723 0.23552217 0.1319939986
## [70,] -0.59124932 0.10509039 0.12817998 0.0889261235
## [71,] -0.02206775 -0.56843056 0.09058616 0.1680204799
## [72,] -0.71089258 -0.30983837 0.03231995 0.1311559329
## [73,] -0.19599345 0.13573536 -0.23843839 0.1160419506
## [74,] 0.99617561 0.19702672 0.35248150 0.2291406109
## [75,] -0.52126994 0.22314719 0.44793845 0.2389993138
## [76,] 0.71570618 0.49726793 0.27052930 0.2444581775
## [77,] 0.36554297 0.35934415 0.16388087 -0.0004544659
## [78,] 0.21005866 0.72880638 0.41000263 0.2853121487
## [79,] 0.65096876 0.62735253 0.66353341 0.3208067471
## [80,] -0.33695378 0.38910886 0.75127876 0.5674041610
## [81,] -0.76857240 0.15914883 0.60507577 0.5838682425
## [82,] 0.93953053 -0.12705677 0.18506496 0.5226778359
## [83,] 0.97445886 0.62357388 0.55255006 0.6683867988
## [84,] 0.95839373 0.93673165 0.73972568 0.7295404167
## [85,] 0.84197819 0.93938019 0.74981970 0.6910967650
## [86,] 0.94593663 0.95455678 0.90909762 0.6476946207
## [87,] 0.89436650 0.92441088 0.93252098 0.6447573913
## [88,] 0.99146412 0.83665664 0.86583536 0.6975318589
## [89,] 0.92815932 0.63156342 0.80601482 0.7206240907
## [90,] 0.96756174 0.93116385 0.77468079 0.8706483881
## [91,] 0.97971745 0.41218531 0.45563032 0.7626952761
## [92,] -0.15353584 0.02439555 0.11521992 0.4676102588
## [93,] -0.53717908 0.30257941 0.28704408 0.4898742903
## [94,] 0.99965378 0.16072238 0.34881392 0.4455868717
## [95,] -0.84166999 -0.52726397 0.34984953 0.3309362208
## [96,] -0.22847255 -0.08471890 0.14006055 0.2879856432
## [97,] 0.92964433 0.33772599 -0.14219590 0.3507522939
##
## $rolcCor.avr.filtered
## [1] NaN NaN -0.97522080 -0.97522080 -0.97522080
-0.96789196
## [7] -0.65870194 -0.08151847 -0.08151847 -0.08692332 -0.49507248
-0.68109436
## [13] -0.49507248 -0.48330682 -0.29072170 -0.29072170 -0.11654290
-0.38934426
## [19] -0.60221859 -0.60221859 -0.16074826 0.12927564 0.12927564
-0.07632754
## [25] -0.42994826 -0.42994826 -0.54900928 -0.39374402 -0.24787685
-0.10579746
## [31] 0.36249309 0.41024036 0.45193516 0.54212937 0.54212937
0.08104968
## [37] -0.01810051 -0.01810051 -0.01029932 -0.01029932 -0.35152771
-0.35152771
## [43] -0.12300868 0.03110333 0.21910466 0.25449445 0.38053233
0.50513801
## [49] 0.58161354 0.63817420 0.63817420 0.68981968 0.68981968
0.68981968
## [55] 0.07183839 -0.12789713 -0.14313069 -0.68072548 -0.68072548
-0.13393503
## [61] 0.27161577 0.57658236 0.57658236 0.58204394 0.61338790
0.61338790
## [67] 0.11886521 0.11886521 0.11886521 -0.06726321 -0.08297292
-0.08297292
## [73] -0.04566363 0.09720375 0.43199040 0.22207838 0.40854495
0.40854495
## [79] 0.40854495 0.34270950 0.34270950 0.38005414 0.70474240
0.80556871
## [85] 0.84109787 0.84901394 0.84901394 0.84787199 0.84787199
0.77159041
## [91] 0.65255709 0.13557968 0.13557968 0.13557968 0.02871369
0.02871369
## [97] 0.02871369
##
## $rolcCor.avr.raw
## [1] NaN NaN -0.80829258 -0.98506943 -0.97522080
-0.96789196
## [7] -0.65870194 -0.08151847 0.32178790 -0.08692332 -0.68109436
-0.49507248
## [13] -0.77695284 -0.48330682 -0.29072170 -0.11654290 -0.38934426
0.24498583
## [19] -0.60221859 -0.80095445 -0.16074826 0.12927564 0.27685198
-0.07632754
## [25] -0.42994826 -0.54900928 -0.39374402 -0.55465120 -0.24787685
-0.10579746
## [31] 0.36249309 0.45193516 0.41024036 0.72717217 0.54212937
0.08104968
## [37] -0.01810051 -0.22691706 0.48462487 -0.01029932 -0.35152771
-0.38129470
## [43] -0.12300868 0.03110333 0.21910466 0.38053233 0.25449445
0.50513801
## [49] 0.58161354 0.63817420 0.70826508 0.59155906 0.68981968
0.69766083
## [55] 0.07183839 -0.14313069 -0.12789713 -0.68072548 -0.71577335
-0.13393503
## [61] 0.27161577 0.57658236 0.58204394 0.41551330 0.61338790
0.80321819
## [67] 0.05466381 0.11886521 0.15088544 -0.06726321 -0.08297292
-0.21431377
## [73] -0.04566363 0.44370611 0.09720375 0.43199040 0.22207838
0.40854495
## [79] 0.56566536 0.34270950 0.14488011 0.38005414 0.70474240
0.84109787
## [85] 0.80556871 0.86432141 0.84901394 0.84787199 0.77159041
0.88601369
## [91] 0.65255709 0.11342247 0.13557968 0.48869424 -0.17203705
0.02871369
## [97] 0.36898168
##
## $rolCor.sd
## [1] 0.7431643 0.5806556 0.4800409 0.3975792
##
## $rawCor
## [1] 0.1396945
##
## $sdPercentiles
## [,1] [,2]
## [1,] 0.7432499 0.6469011
## [2,] 0.5531200 0.4089674
## [3,] 0.4678070 0.3169165
## [4,] 0.3783545 0.2053271
##
## $test
## Width SDrolCor 95% 5%
## 1 3 0.7431643 0.7432499 0.6469011
## 2 5 0.5806556 0.5531200 0.4089674
## 3 7 0.4800409 0.4678070 0.3169165
## 4 11 0.3975792 0.3783545 0.2053271

## Finite distributed lag models

dlmFit1 <- dlm(formula = GMSL ~ LandOcean,data = seaLevelTempSOI, q = 7)
summary(dlmFit1)

##
## Call:
## lm(formula = as.formula(model.formula), data = design)
##
## Residuals:
## Min 1Q Median 3Q Max
## -19.8515 -2.5781 0.1053 2.5427 19.9983
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -0.008943 0.101086 -0.088 0.9295
## LandOcean.t 0.746159 1.153242 0.647 0.5177
## LandOcean.1 -0.176851 1.158004 -0.153 0.8786
## LandOcean.2 -1.618818 1.154572 -1.402 0.1611
## LandOcean.3 -1.977914 1.151842 -1.717 0.0861 .
## LandOcean.4 -2.488326 1.151439 -2.161 0.0308 *
## LandOcean.5 -2.288856 1.154280 -1.983 0.0475 *
## LandOcean.6 -2.248660 1.157732 -1.942 0.0523 .
## LandOcean.7 -2.441134 1.153526 -2.116 0.0345 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4.028 on 1579 degrees of freedom
## Multiple R-squared: 0.01724, Adjusted R-squared: 0.01226
## F-statistic: 3.463 on 8 and 1579 DF, p-value: 0.0005765
##
## AIC and BIC values for the model:
## AIC BIC
## 1 8942.719 8996.422

remove = list(LandOcean = c(0,1,2))

dlmFit2 <- dlm(formula = GMSL ~ -1 + LandOcean,data = seaLevelTempSOI, q
= 6, remove = remove)
summary(dlmFit2)
##
## Call:
## lm(formula = as.formula(model.formula), data = design)
##
## Residuals:
## Min 1Q Median 3Q Max
## -20.0704 -2.6089 0.0976 2.5265 20.1688
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## LandOcean.3 -2.072 1.109 -1.868 0.0619 .
## LandOcean.4 -2.266 1.116 -2.030 0.0425 *
## LandOcean.5 -2.147 1.116 -1.923 0.0547 .
## LandOcean.6 -2.480 1.108 -2.237 0.0254 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4.034 on 1585 degrees of freedom
## Multiple R-squared: 0.01345, Adjusted R-squared: 0.01096
## F-statistic: 5.4 on 4 and 1585 DF, p-value: 0.0002555
##
## AIC and BIC values for the model:
## AIC BIC
## 1 8947.933 8974.788

## Koyck distributed lag models

KoyckFit <- koyckDlm(x = seaLevelTempSOI$LandOcean,y =

seaLevelTempSOI$GMSL)
summary(KoyckFit, diagnostics=TRUE)

##
## Call:
## "Y ~ (Intercept) + Y.1 + X.t"
##
## Residuals:
## Min 1Q Median 3Q Max
## -16.74923 -1.75048 -0.02326 1.68498 11.97262
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.008036 0.070254 0.114 0.909
## Y.1 0.733753 0.017582 41.734 <2e-16 ***
## X.t -2.553163 3.607947 -0.708 0.479
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2.805 on 1591 degrees of freedom
## Multiple R-Squared: 0.5297, Adjusted R-squared: 0.5291
## Wald test: 906.6 on 2 and 1591 DF, p-value: < 2.2e-16
##
## Diagnostic tests:
## df1 df2 statistic p-value
## Weak instruments 1 1591 70.3332073 1.088953e-16
## Wu-Hausman 1 1590 0.9925055 3.192824e-01
##
## alpha beta phi
## Geometric coefficients: 0.03018417 -2.553163 0.7337525

## Autoregressive distributed lag models

formula1 <- GMSL ~ LandOcean + SOI

remove <- list(p = list(SOI = c(2)))
ARDLfit1 <- ardlDlm(formula = formula1, data = seaLevelTempSOI, p = 2, q
= 4, remove = remove)
summary(ARDLfit1)

##
## Time series regression with "ts" data:
## Start = 5, End = 1595
##
## Call:
## dynlm(formula = as.formula(model.text), data = data)
##
## Residuals:
## Min 1Q Median 3Q Max
## -11.0820 -1.2365 -0.0346 1.1360 7.5509
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.003920 0.049067 0.080 0.93633
## LandOcean.t 1.129695 0.533647 2.117 0.03442 *
## LandOcean.1 0.291991 0.545341 0.535 0.59243
## LandOcean.2 -1.369952 0.531626 -2.577 0.01006 *
## SOI.t -0.010608 0.006061 -1.750 0.08027 .
## SOI.1 0.002837 0.006078 0.467 0.64071
## GMSL.1 0.951282 0.024389 39.004 < 2e-16 ***
## GMSL.2 0.081073 0.028575 2.837 0.00461 **
## GMSL.3 -0.745129 0.028568 -26.083 < 2e-16 ***
## GMSL.4 0.240132 0.024381 9.849 < 2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1.957 on 1581 degrees of freedom
## Multiple R-squared: 0.7718, Adjusted R-squared: 0.7705
## F-statistic: 594 on 9 and 1581 DF, p-value: < 2.2e-16

remove <- list(p = list(LandOcean = c(1), SOI = c(1,2)))

ARDLfit2 <- ardlDlm(formula = formula1, data = seaLevelTempSOI, p = 2, q
= 4, remove = remove)
summary(ARDLfit2)

##
## Time series regression with "ts" data:
## Start = 5, End = 1595
##
## Call:
## dynlm(formula = as.formula(model.text), data = data)
##
## Residuals:
## Min 1Q Median 3Q Max
## -11.060 -1.237 -0.030 1.159 7.504
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.003949 0.049043 0.081 0.93583
## LandOcean.t 1.185116 0.521855 2.271 0.02328 *
## LandOcean.2 -1.320628 0.519258 -2.543 0.01108 *
## SOI.t -0.008862 0.004722 -1.877 0.06074 .
## GMSL.1 0.951720 0.024314 39.142 < 2e-16 ***
## GMSL.2 0.080261 0.028509 2.815 0.00493 **
## GMSL.3 -0.744486 0.028536 -26.089 < 2e-16 ***
## GMSL.4 0.239964 0.024349 9.855 < 2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 1.956 on 1583 degrees of freedom
## Multiple R-squared: 0.7717, Adjusted R-squared: 0.7707
## F-statistic: 764.4 on 7 and 1583 DF, p-value: < 2.2e-16