*
* UNITROOTBREAK.RPF
* Example of unit root tests with breaks
*
* RATS User's Guide, Example from Section 11.6.
*
open data nelsonplosser.rat
calendar(a) 1871
data(format=rats) 1871:1 1970:1 realwages stockprice
*
set logwage  = 100.0*log(realwages)
*
@dfunit(det=trend,maxlag=8,method=gtos) logwage
@lsunit(model=break,lags=8,method=gtos,breaks=1) logwage
@lpunit(break=both,maxlags=8,method=gtos,nbreaks=1) logwage
@perronbreaks(ao=breaks,breaks=1,lags=8,method=aic) logwage
*
* Figures with detrended data
*
@glsdetrend(break=both,tb=1939:1) logwage / wagedetrend
set wagetrend = logwage-wagedetrend
graph(footer="Figure 9. Logarithm of Real Wages (1900-1970)") 2
# logwage
# wagetrend