*
* Example 8.4.4 from pp 274-275
*
open data pe.dat
calendar(a) 1871
data(format=prn,org=columns) 1871:1 2002:1 price earnings pe logpe
*
graph(footer="Figure 8.3 Annual log P/E ratio")
# logpe
*
set dpe = logpe-logpe{1}
*
* This is the regression used for the basic Dickey-Fuller test
*
linreg dpe
# constant logpe{1}
*
* This uses the dfunit procedure to run DF tests for a variety of lags
*
do lags=0,6
   @dfunit(lags=lags) logpe
end do lags
*
* This does the unit root tests on the first difference
*
do lags=0,6
   @dfunit(lags=lags) dpe
end do lags
*
graph(footer="Figure 8.4 Annual Change in log price/earnings ratio")
# dpe