(* PS10.9, using DATA10-5, for Example 10.7 *)
genr time
(* For testing for random walk, first generate lagged variables *)
lags uswage calwage
(* next generate differences and their lags *)
genr duswage = diff(uswage)
genr dcalwage = diff(calwage)
lags duswage dcalwage
(* lag of duswage is not defined for 1960 and 1961, start with 1962 *)
smpl 1962 1994
(* carry out F-tests for random walks *)
ols duswage 0 time uswage_1 duswag_1
omit time uswage_1
ols dcalwage 0 time calwag_1 dcalwa_1
omit time calwag_1
(* For cointegrating regression, reset sample range to the beginning *)
smpl 1960 1994
ols calwage 0 uswage
(* save residuals, generate their lags, and differences in lags *)
genr ut = uhat
genr ut1 = ut(-1)
genr diffut = diff(ut)
genr diffut_1 = diffut(-1)
genr diffut_2 = diffut(-2)
genr diffut_3 = diffut(-3)
genr diffut_4 = diffut(-4)
(* now we have to suppress the first five observations *)
smpl 1965 1994
ols diffut ut1 diffut_1 diffut_2 diffut_3 diffut_4
(* compare shortcut command *)
coint 4 calwage uswage

