*
* COINTTST.RPF
* RATS Version 8, User's Guide, Example 3.8.
* From Hamilton, Time Series Analysis, pp 582-599
* Tests for cointegration
*
cal(m) 1973:1
open data exdata.rat
data(format=rats) 1973:1 1989:10 pc6it pzunew exritl
*
* Transform and normalize the data series
*
set italcpi = 100*log(pc6it/pc6it(1973:1))
set uscpi   = 100*log(pzunew/pzunew(1973:1))
set exrat   = -100*log(exritl/exritl(1973:1))
*
graph(header="Figure 19.2",key=attached,klabel=||"Italy CPI","US CPI","Ex Rate"||) 3
# italcpi
# uscpi
# exrat
*
* Dickey-Fuller tests on the variables
*
@dfunit(lags=12,trend) uscpi
@dfunit(lags=12,trend) italcpi
@dfunit(lags=12,trend) exrat
*
* Unit root tests on the hypothesized cointegrating vector
*
set ppp = uscpi-exrat-italcpi
graph(header="Figure 19.3 The real dollar-lira exchange rate")
# ppp
@dfunit(lags=12) ppp
*
* Engle-Granger test
* (Dickey-Fuller test with estimated cointegrating vector
*
@egtest(lags=12)
# uscpi italcpi exrat
*
* Johansen maximum likelihood test
*
@johmle(lags=6,det=constant)
# uscpi italcpi exrat