*
* Example of VECM beginning page 349
*
open data gdp.dat
calendar(q) 1970
data(format=free,org=columns) 1970:01 2000:04 usa aus
*
graph(footer="Figure 13.1 Real gross domestic products",key=upleft,klabel=||"Real GDP(USA)","Real GDP(AUS)"||) 2
# usa
# aus
*
* Tests for unit roots
*
@dfunit(lags=4) usa
@dfunit(lags=4) aus
*
linreg aus
# usa
set e = %resids
*
* The EGTESTRESIDS procedure does the Dickey-Fuller regression on the residuals,
* but reports the proper critical values for this type of test.
*
@egtestresids(det=none) e
*
* The EGTEST procedure does the whole operation directly, including the preliminary regression.
*
@egtest(det=none)
# aus usa
*
set da = aus-aus{1}
set du = usa-usa{1}
*
* Error correction regressions
*
linreg da
# constant e{1}
linreg du
# constant e{1}
*
* This estimates the VECM using the built-in RATS instructions. This creates a
* system of equations which can be analyzed further (for forecasting, impulse
* responses or variance decompositions).
*
linreg(define=cointeq) aus
# usa
system(model=vecm)
variables aus usa
lags 1
det constant
ect cointeq
end(system)
estimate