converting values of a variable from levels into log-levels?

Feridoon · November 19, 2023, 10:23am

Can you help fixing the problem produced in my R file in log- values; I include the outcome with no problem in levels for comparison. Is placing the decimal separator in log-level values the problem? Thank you

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[Workspace loaded from ~/.RData]

#install.packages('GVARX')
library(GVARX)
Loading required package: vars
Loading required package: MASS
Loading required package: strucchange
Loading required package: zoo

Attaching package: ‘zoo’

The following objects are masked from ‘package:base’:

as.Date, as.Date.numeric

Loading required package: sandwich
Loading required package: urca
Loading required package: lmtest
Loading required package: xts
Registered S3 method overwritten by 'quantmod':
method from
as.zoo.data.frame zoo

PATH <- "C:\Users\fkkec\Desktop\GVAR_DATA_FILES_R_Python\"

change path for own PC location

this is for GVAR version Semmler's 2-equation VAR model

tradeweight <- read.csv(paste(PATH, "trade_matrix.csv", sep=''))

list_of_matrices <- lapply(0:22, function(idx) {

read.csv(paste(PATH, "matrix_", idx, ".csv", sep=''))
})

growth_emp_log <- read.csv(paste(PATH, "growth_emp_log.csv", sep=''))

unique_years <- unique(growth_emp_log$Time)
trade_matrix_list <- lapply(unique_years, function(x) tradeweight)
names(trade_matrix_list) <- unique_years

#Check correlation
cor_matrix <- cor(growth_emp_log[, -c(1,2)])
cor_matrix
LN_EMP LN_GO_PYP
LN_EMP 1.0000000 -0.6607403
LN_GO_PYP -0.6607403 1.0000000

correlation looks good

p=1
FLag=2
lag.max=2
type="none"
ic="AIC"
weight.matrix=list_of_matrices
mainOUTPUT = GVARest(data=growth_emp_log,p,lag.max,type,ic,weight.matrix)
Error in AA %*% t(X) : requires numeric/complex matrix/vector arguments
In addition: Warning message:
In ar.ols(x, aic = aic, order.max = order.max, na.action = na.action, :
model order: 1 singularities in the computation of the projection matrix results are only valid up to model order 0
#install.packages('GVARX')
library(GVARX)

PATH <- "C:\Users\fkkec\Desktop\GVAR_DATA_FILES_R_Python\"

change path for own PC location

this is for GVAR version Semmler's 2-equation VAR model

tradeweight <- read.csv(paste(PATH, "trade_matrix.csv", sep=''))

list_of_matrices <- lapply(0:22, function(idx) {

read.csv(paste(PATH, "matrix_", idx, ".csv", sep=''))
})

growth_emp <- read.csv(paste(PATH, "growth_emp.csv", sep=''))

unique_years <- unique(growth_emp$Time)
trade_matrix_list <- lapply(unique_years, function(x) tradeweight)
names(trade_matrix_list) <- unique_years

#Check correlation
cor_matrix <- cor(growth_emp[, -c(1,2)])
cor_matrix
EMP GO_PYP
EMP 1.0000000 -0.4722417
GO_PYP -0.4722417 1.0000000

correlation looks good

p=1
FLag=2
lag.max=2
type="none"
ic="AIC"
weight.matrix=list_of_matrices
mainOUTPUT = GVARest(data=growth_emp,p,lag.max,type,ic,weight.matrix)
Warning message:
In meatHAC(x, order.by = order.by, prewhite = prewhite, weights = weights, :
more weights than observations, only first n used
mainOUTPUT$lagmatrix # Country-specific GVAR lags
Country lags
1 France_HCI 1
2 France_LCI 1
3 Germany_HCI 1
4 Germany_LCI 2
5 Hungary_HCI 2
6 Hungary_LCI 2
7 Japan_HCI 1
8 Japan_LCI 1
9 Sweden_HCI 2
10 Sweden_LCI 2
mainOUTPUT$gvar
[[1]]

VAR Estimation Results:

Estimated coefficients for equation France_HCI.EMP:

Call:
France_HCI.EMP = France_HCI.EMP.L1 + France_HCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

France_HCI.EMP.L1 France_HCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
1.0205309792 -0.0007608093 0.5974687322 0.0002977756
F.EMP.Lag1 F.GO_PYP.Lag1
-0.5613131497 -0.0001970872

Estimated coefficients for equation France_HCI.GO_PYP:

Call:
France_HCI.GO_PYP = France_HCI.EMP.L1 + France_HCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

France_HCI.EMP.L1 France_HCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
57.02381015 1.78629696 128.67487321 -0.03693004
F.EMP.Lag1 F.GO_PYP.Lag1
-193.13369797 -0.22825374

[[2]]

VAR Estimation Results:

Estimated coefficients for equation France_LCI.EMP:

Call:
France_LCI.EMP = France_LCI.EMP.L1 + France_LCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

France_LCI.EMP.L1 France_LCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
8.569309e-01 1.226669e-04 3.783595e-01 3.438159e-05
F.EMP.Lag1 F.GO_PYP.Lag1
-3.095558e-01 -9.050007e-05

Estimated coefficients for equation France_LCI.GO_PYP:

Call:
France_LCI.GO_PYP = France_LCI.EMP.L1 + France_LCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

France_LCI.EMP.L1 France_LCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
318.93285735 0.33557202 266.42753629 -0.07135915
F.EMP.Lag1 F.GO_PYP.Lag1
-373.80083692 0.10745800

[[3]]

VAR Estimation Results:

Estimated coefficients for equation Germany_HCI.EMP:

Call:
Germany_HCI.EMP = Germany_HCI.EMP.L1 + Germany_HCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Germany_HCI.EMP.L1 Germany_HCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
0.8117872537 0.0010048220 0.7673534456 -0.0001303261
F.EMP.Lag1 F.GO_PYP.Lag1
-0.6610203508 0.0001036161

Estimated coefficients for equation Germany_HCI.GO_PYP:

Call:
Germany_HCI.GO_PYP = Germany_HCI.EMP.L1 + Germany_HCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Germany_HCI.EMP.L1 Germany_HCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
8.446576e+01 3.917738e-01 2.407244e+02 1.764051e-02
F.EMP.Lag1 F.GO_PYP.Lag1
-2.731911e+02 3.231829e-03

[[4]]

VAR Estimation Results:

Estimated coefficients for equation Germany_LCI.EMP:

Call:
Germany_LCI.EMP = Germany_LCI.EMP.L1 + Germany_LCI.GO_PYP.L1 + Germany_LCI.EMP.L2 + Germany_LCI.GO_PYP.L2 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Germany_LCI.EMP.L1 Germany_LCI.GO_PYP.L1 Germany_LCI.EMP.L2 Germany_LCI.GO_PYP.L2
1.531678e-02 2.828088e-03 2.725926e-01 -2.974817e-04
F.EMP.Lag0 F.GO_PYP.Lag0 F.EMP.Lag1 F.GO_PYP.Lag1
9.435676e-02 3.696727e-05 1.095694e-01 -9.675837e-05

Estimated coefficients for equation Germany_LCI.GO_PYP:

Call:
Germany_LCI.GO_PYP = Germany_LCI.EMP.L1 + Germany_LCI.GO_PYP.L1 + Germany_LCI.EMP.L2 + Germany_LCI.GO_PYP.L2 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Germany_LCI.EMP.L1 Germany_LCI.GO_PYP.L1 Germany_LCI.EMP.L2 Germany_LCI.GO_PYP.L2
-353.69502297 1.53291394 249.11818304 -0.15613324
F.EMP.Lag0 F.GO_PYP.Lag0 F.EMP.Lag1 F.GO_PYP.Lag1
25.98806949 0.03138364 4.45603431 -0.04078331

[[5]]

VAR Estimation Results:

Estimated coefficients for equation Hungary_HCI.EMP:

Call:
Hungary_HCI.EMP = Hungary_HCI.EMP.L1 + Hungary_HCI.GO_PYP.L1 + Hungary_HCI.EMP.L2 + Hungary_HCI.GO_PYP.L2 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Hungary_HCI.EMP.L1 Hungary_HCI.GO_PYP.L1 Hungary_HCI.EMP.L2 Hungary_HCI.GO_PYP.L2
1.354555e+00 4.932627e-06 -4.994374e-01 -1.303100e-05
F.EMP.Lag0 F.GO_PYP.Lag0 F.EMP.Lag1 F.GO_PYP.Lag1
-4.567874e-01 -7.783756e-05 4.048754e-01 3.680007e-03

Estimated coefficients for equation Hungary_HCI.GO_PYP:

Call:
Hungary_HCI.GO_PYP = Hungary_HCI.EMP.L1 + Hungary_HCI.GO_PYP.L1 + Hungary_HCI.EMP.L2 + Hungary_HCI.GO_PYP.L2 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Hungary_HCI.EMP.L1 Hungary_HCI.GO_PYP.L1 Hungary_HCI.EMP.L2 Hungary_HCI.GO_PYP.L2
8.622085e+03 4.328953e-01 -9.243783e+02 -4.206449e-03
F.EMP.Lag0 F.GO_PYP.Lag0 F.EMP.Lag1 F.GO_PYP.Lag1
-5.655785e+04 2.297885e+02 3.543590e+04 -5.057687e+01

[[6]]

VAR Estimation Results:

Estimated coefficients for equation Hungary_LCI.EMP:

Call:
Hungary_LCI.EMP = Hungary_LCI.EMP.L1 + Hungary_LCI.GO_PYP.L1 + Hungary_LCI.EMP.L2 + Hungary_LCI.GO_PYP.L2 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Hungary_LCI.EMP.L1 Hungary_LCI.GO_PYP.L1 Hungary_LCI.EMP.L2 Hungary_LCI.GO_PYP.L2
9.509078e-01 5.020835e-06 -2.407852e-02 -1.867165e-05
F.EMP.Lag0 F.GO_PYP.Lag0 F.EMP.Lag1 F.GO_PYP.Lag1
-1.106378e+00 6.869465e-03 9.488148e-01 -3.871980e-03

Estimated coefficients for equation Hungary_LCI.GO_PYP:

Call:
Hungary_LCI.GO_PYP = Hungary_LCI.EMP.L1 + Hungary_LCI.GO_PYP.L1 + Hungary_LCI.EMP.L2 + Hungary_LCI.GO_PYP.L2 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Hungary_LCI.EMP.L1 Hungary_LCI.GO_PYP.L1 Hungary_LCI.EMP.L2 Hungary_LCI.GO_PYP.L2
5.624282e+03 -5.146999e-02 1.194697e+04 1.505659e-01
F.EMP.Lag0 F.GO_PYP.Lag0 F.EMP.Lag1 F.GO_PYP.Lag1
-5.527901e+04 2.117983e+02 2.149808e+04 3.319004e+01

[[7]]

VAR Estimation Results:

Estimated coefficients for equation Japan_HCI.EMP:

Call:
Japan_HCI.EMP = Japan_HCI.EMP.L1 + Japan_HCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Japan_HCI.EMP.L1 Japan_HCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
1.033128989 -0.102744036 1.710252790 0.002567402
F.EMP.Lag1 F.GO_PYP.Lag1
-2.179536486 -0.001884133

Estimated coefficients for equation Japan_HCI.GO_PYP:

Call:
Japan_HCI.GO_PYP = Japan_HCI.EMP.L1 + Japan_HCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Japan_HCI.EMP.L1 Japan_HCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
0.0672306381 0.3079334601 0.1035640943 0.0004535142
F.EMP.Lag1 F.GO_PYP.Lag1
-0.3431092524 -0.0002557454

[[8]]

VAR Estimation Results:

Estimated coefficients for equation Japan_LCI.EMP:

Call:
Japan_LCI.EMP = Japan_LCI.EMP.L1 + Japan_LCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Japan_LCI.EMP.L1 Japan_LCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
1.010196966 0.785846910 0.208225851 0.001562578
F.EMP.Lag1 F.GO_PYP.Lag1
-0.745129374 -0.001010261

Estimated coefficients for equation Japan_LCI.GO_PYP:

Call:
Japan_LCI.GO_PYP = Japan_LCI.EMP.L1 + Japan_LCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Japan_LCI.EMP.L1 Japan_LCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
-0.0072936147 0.8528171608 0.1951417971 0.0003168995
F.EMP.Lag1 F.GO_PYP.Lag1
-0.1153822234 -0.0003485297

[[9]]

VAR Estimation Results:

Estimated coefficients for equation Sweden_HCI.EMP:

Call:
Sweden_HCI.EMP = Sweden_HCI.EMP.L1 + Sweden_HCI.GO_PYP.L1 + Sweden_HCI.EMP.L2 + Sweden_HCI.GO_PYP.L2 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Sweden_HCI.EMP.L1 Sweden_HCI.GO_PYP.L1 Sweden_HCI.EMP.L2 Sweden_HCI.GO_PYP.L2
6.349739e-01 1.821155e-04 -1.952627e-02 -4.773036e-05
F.EMP.Lag0 F.GO_PYP.Lag0 F.EMP.Lag1 F.GO_PYP.Lag1
4.090034e-01 3.148053e-04 -2.769616e-01 -3.902524e-04

Estimated coefficients for equation Sweden_HCI.GO_PYP:

Call:
Sweden_HCI.GO_PYP = Sweden_HCI.EMP.L1 + Sweden_HCI.GO_PYP.L1 + Sweden_HCI.EMP.L2 + Sweden_HCI.GO_PYP.L2 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Sweden_HCI.EMP.L1 Sweden_HCI.GO_PYP.L1 Sweden_HCI.EMP.L2 Sweden_HCI.GO_PYP.L2
-519.6007988 0.8346433 790.0084968 -0.1017195
F.EMP.Lag0 F.GO_PYP.Lag0 F.EMP.Lag1 F.GO_PYP.Lag1
1379.7424479 0.8930155 -1442.1553213 -0.5443712

[[10]]

VAR Estimation Results:

Estimated coefficients for equation Sweden_LCI.EMP:

Call:
Sweden_LCI.EMP = Sweden_LCI.EMP.L1 + Sweden_LCI.GO_PYP.L1 + Sweden_LCI.EMP.L2 + Sweden_LCI.GO_PYP.L2 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Sweden_LCI.EMP.L1 Sweden_LCI.GO_PYP.L1 Sweden_LCI.EMP.L2 Sweden_LCI.GO_PYP.L2
0.3786490001 0.0002175756 -0.0045402706 -0.0001585271
F.EMP.Lag0 F.GO_PYP.Lag0 F.EMP.Lag1 F.GO_PYP.Lag1
-0.1002374110 0.0003125926 0.2440632341 -0.0003128211

Estimated coefficients for equation Sweden_LCI.GO_PYP:

Call:
Sweden_LCI.GO_PYP = Sweden_LCI.EMP.L1 + Sweden_LCI.GO_PYP.L1 + Sweden_LCI.EMP.L2 + Sweden_LCI.GO_PYP.L2 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

Sweden_LCI.EMP.L1 Sweden_LCI.GO_PYP.L1 Sweden_LCI.EMP.L2 Sweden_LCI.GO_PYP.L2
-817.8880928 0.9602434 701.4691238 -0.2073155
F.EMP.Lag0 F.GO_PYP.Lag0 F.EMP.Lag1 F.GO_PYP.Lag1
295.9676694 0.7098261 -233.8229879 -0.3965758

mainOUTPUT$gvar[[1]]

VAR Estimation Results:

Estimated coefficients for equation France_HCI.EMP:

Call:
France_HCI.EMP = France_HCI.EMP.L1 + France_HCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

France_HCI.EMP.L1 France_HCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
1.0205309792 -0.0007608093 0.5974687322 0.0002977756
F.EMP.Lag1 F.GO_PYP.Lag1
-0.5613131497 -0.0001970872

Estimated coefficients for equation France_HCI.GO_PYP:

Call:
France_HCI.GO_PYP = France_HCI.EMP.L1 + France_HCI.GO_PYP.L1 + F.EMP.Lag0 + F.GO_PYP.Lag0 + F.EMP.Lag1 + F.GO_PYP.Lag1

France_HCI.EMP.L1 France_HCI.GO_PYP.L1 F.EMP.Lag0 F.GO_PYP.Lag0
57.02381015 1.78629696 128.67487321 -0.03693004
F.EMP.Lag1 F.GO_PYP.Lag1
-193.13369797 -0.22825374