*
* Example 9.3 from pp 319-321
*
open data ppp.asc
cal(m) 1981:1
data(format=free,org=columns) 1981:1 1996:6 lnit lnfr lnp lnx cpiit cpifr
*
* Test for cointegration with estimated cointegrating vector
* lnx = log(exchange rate)
* lnp = log PItaly - log Pfrance
*
* First check for unit root in lnp
* This uses DISPLAY to do a quick form of a report.
*
do lags=0,6
   @dfunit(lags=lags,noprint) lnp
   compute wotrend=%cdstat
   @dfunit(lags=lags,noprint,trend) lnp
   compute wtrend=%cdstat
   disp lags wotrend wtrend
end do lags
*
* Run the regression to estimate the potential cointegrating vector. Pull out the
* residuals
*
linreg lnx
# constant lnp
set diseq = %resids
*
* Do unit root tests on the residuals
*
do lags=0,6
   @dfunit(lags=lags,noprint) diseq
   disp lags %cdstat
end do lags
*
* Expand the model to allow the log price indices to enter with unrestricted
* coefficients
*
linreg lnx
# constant lnit lnfr
set diseq = %resids
*
do lags=0,6
   @dfunit(lags=lags,noprint) diseq
   disp lags %cdstat
end do lags