*
* Examples from pages 816-818
*
cal(q) 1970
open data table21-1.prn
data(format=prn,org=columns) 1970:1 1991:4
*
* Regressions for Dickey-Fuller tests
*
set dgdp = gdp-gdp{1}
linreg dgdp
# gdp{1}
linreg dgdp
# constant gdp{1}
set trend = t
linreg dgdp
# constant trend gdp{1}
*
* Regression for an augmented DF test
*
linreg dgdp
# constant trend gdp{1} dgdp{1}
*
@dfunit(det=trend,lags=1) gdp
*
* DF test on the first difference of gdp
*
set d2gdp = dgdp-dgdp{1}
linreg d2gdp
# constant dgdp{1}