*
* Unit Root tests from pp 370-371
*
open data consump.dat
calendar 1950
data(format=prn,org=columns) 1950:1 1993:1 year y c
*
* Dickey-Fuller regression, done directly
*
set dc   = c-c{1}
set trend = t-1
linreg dc
# constant trend c{1}
*
* Using DFUNIT instead.
*
@dfunit(det=trend) c
@dfunit(det=trend,lags=2) c
*
* Unit root tests on the difference
*
@dfunit dc