options double crt;
name unitgdp 'unit root regressions from Gujarati 3rd edition p.711-721';
load;
?plot(preview) gdp;  ? check data with plot
title 'Correlogram, p.716';
bjident(nlag=25,nlagp=0) gdp;
trend time;
select time>1;
dgdp = gdp - gdp(-1);
select time>2;  ? This is apparently the sample that was used, so that
                ? all 3 regressions use the same number of observations
title '(21.4.8)';
  olsq dgdp c gdp(-1);
  cdf(dickeyf,notrend) @t(2);
  cdf(dickeyf,notrend,nob=@nob,nlags=0) @t(2);
title '(21.4.9)';
  olsq dgdp c time gdp(-1);
  cdf(dickeyf) @t(3);
  cdf(dickeyf,nob=@nob,nlags=0) @t(3);
title '(21.4.10)';
  olsq dgdp c time gdp(-1) dgdp(-1);
  cdf(dickeyf) @t(3);
  cdf(dickeyf,nob=@nob,nlags=1) @t(3);

title 'Same tests, via UNIT commands';
  select time>1;
  unit(nows,notrend,maxlag=0) gdp;
  select 1;
  unit(nows,maxlag=1) gdp;
end;
noprint;
freq q;
smpl 70:1 91:4;
read gdp;
2872.8 2860.3 2896.6 2873.7
2942.9 2947.4 2966 2980.8
3037.3 3089.7 3125.8 3175.5
3253.3 3267.6 3264.3 3289.1
3259.4 3267.6 3239.1 3226.4
3154 3190.4 3249.9 3292.5
3356.7 3369.2 3381 3416.3
3466.4 3525 3574.4 3567.2
3591.8 3707 3735.6 3779.6
3780.8 3784.3 3807.5 3814.6
3830.8 3732.6 3733.5 3808.5
3860.5 3844.4 3864.5 3803.1
3756.1 3771.1 3754.4 3759.6
3783.5 3886.5 3944.4 4012.1
4089.5 4144 4166.4 4194.2
4221.8 4254.8 4309 4333.5
4390.5 4387.7 4412.6 4427.1
4460 4515.3 4559.3 4625.5
4655.3 4704.8 4734.5 4779.7
4809.8 4832.4 4845.6 4859.7
4880.8 4900.3 4903.3 4855.1
4824 4840.7 4862.7 4868
;