*
* Example 21.4 from page 829
*
cal(m) 1982
open data exam21-4.prn
data(format=prn,org=columns) 1982:1 2001:6
*
graph(key=upright) 2
# gs3m
# gs6m
*
* DF tests
*
@dfunit(det=none) gs3m
@dfunit(det=trend,lags=1) gs3m
*
@dfunit(det=none) gs6m
@dfunit(det=trend,lags=1) gs6m
*
* Because the above results show that the series aren't integrated (that is, they
* don't show unit roots), they can't be cointegrated. All linear combinations of
* (trend) stationary series are (trend) stationary, so the next result (a very
* strong rejection of a unit root) isn't surprising.
*
linreg gs6m / resids
# constant gs3m
@egtestresids resids
*
set d6 = gs6m-gs6m{1}
set d3 = gs3m-gs3m{1}
*
linreg d6
# constant d3 resids{1}