*
*  COINTTST.PRG
*  Example from Section 6.9
*
cal 1973 1 12
all 1989:10
open data oecdsmpl.rat
data(format=rats) / usacpi itacpi itausxsr
set pusa    = 100*log(usacpi/usacpi(1973:1))
set pita    = 100*log(itacpi/itacpi(1973:1))
set s       = 100*log(itausxsr/itausxsr(1973:1))
set rexrate = pusa-s-pita
source(noecho) dfunit.src
@dfunit(lags=12,trend,ttest) pusa
@dfunit(lags=12,trend,ttest) pita
@dfunit(lags=12,trend,ttest) s
@dfunit(lags=12,notrend,ttest) rexrate
graph
# rexrate