*
* Dickey-Fuller test examples from pp 337-338
*
open data usa.dat
calendar(q) 1985
data(format=free,org=columns) 1985:01 2005:01 gdp inf f b
*
set cf = f-f{1}
set cb = b-b{1}
*
* Dickey-Fuller regressions
*
linreg cf
# constant f{1} cf{1}
linreg cb
# constant b{1} cb{1}
*
* Using DFUNIT procedure. The LAGS=1 option indicates that we want one additional
* lag of the differenced series.
*
@dfunit(lags=1) f
@dfunit(lags=1) b
*
* Test of I(2). Dickey-Fuller regressions.
*
set ccf = cf-cf{1}
set ccb = cb-cb{1}
*
linreg ccf
# cf{1}
linreg ccb
# cb{1}
*
* Using DFUNIT procedure. We need the option DET=NONE (DET is short for
* "deterministic") - the regression includes no deterministic components
* (constant, trend).
*
@dfunit(det=none) cf
@dfunit(det=none) cb