* Tests for Unit Roots in U.S. Monetary Variables
*
* Keywords:
* nonstationary, trend, unit root, inflation, real gdp, money stock, interest
* rate, growth, cointegration, dickey-fuller
*
* Description:
* We examine the stationarity of the U.S. Monetary Policy variables (GDP,
* Money Supply, real and nominal interest rates) by using Dickey-Fuller
* test and by plotting graphs
*
* Author(s):
* Noel Roy
* Skif Pankov
*
* Source:
* William H. Greene, Econometric Analysis - 7th Edition
* Pearson International Edition, Chapter 21, Example 21.2 (page 991)
*
time 1950.1 4
sample 1950.1 2000.4
* Reading the data and naming variables, specifying to ignore the first
* line
read (TableF5-2.shd)year qtr realgdp realcons realinvs realgovt realdpi cpi m1 &
i unemp pop pi realint / skiplines=1
* Replicating Figure 21.5:
genr y=log(realgdp)
graph y /lineonly nokey
* Replicate Figure 21.4.
sample 1950.2 2000.4
graph pi / lineonly nokey
* Creating series for change in the log of M1 (delm) and real growth in the
* money stock (realdelm)
genr delm=log(m1)-log(lag(m1))
genr realdelm=delm-pi
*
* Replicate Figures 21.6-21.9.
graph i / lineonly nokey
graph delm / lineonly nokey
graph realint / lineonly nokey
graph realdelm / lineonly nokey
* Implementing tests for unit roots and cointegration - DF test with no
* lagged terms and at 5% significance level will be carried out
coint pi y i delm realint realdelm / nlag=0 siglevel=5
stop