*
* Examples from pages 823-824
* Cointegration tests
*
cal(q) 1970
open data table21-1.prn
data(format=prn,org=columns) 1970:1 1991:4
*
linreg pce / u
# constant pdi
compute crdw=%durbin
set du = u-u{1}
linreg du
# u{1}
compute eg=%tstats(1)
disp "CRDW Statistic" crdw
disp "EG Statistic" eg
*
* Switch the order - should give similar results, but they won't be identical.
* (The more complicated maximum likelihood procedures treat the variables
* symmetrically).
*
linreg pdi / u
# constant pce
compute crdw=%durbin
set du = u-u{1}
linreg du
# u{1}
compute eg=%tstats(1)
disp "CRDW Statistic" crdw
disp "EG Statistic" eg