* This command file computes stationarity tests for U.S. Macroeconomic * series using the methodology and data set from: * S.J. Leybourne and B.P.M. McCabe, "Modified Stationarity Tests with * a Data Dependent Model Selection Rule", discussion paper, Mar. 1996. SAMPLE 1 545 TIME 1947 12 READ (CITIBASE.DAT) DATE MBASE BAA IP WAGE LAB EMP UN POPW POPM CPI PPI / & SKIPLINES=26 * Analyze the growth rate of the series GENR GMBASE=LOG(MBASE)-LOG(LAG(MBASE)) SAMPLE 1947.2 1985.12 VAR: GMBASE P: 3 FILE PROC STEST.PRC EXEC STEST SAMPLE 1 545 * BAA is already in percentage terms GENR DBAA=BAA-LAG(BAA) SAMPLE 1947.2 1985.12 VAR: DBAA P: 4 EXEC STEST SAMPLE 1 545 GENR GCPI=LOG(CPI)-LOG(LAG(CPI)) SAMPLE 1949.1 1985.12 VAR: GCPI P: 2 EXEC STEST SAMPLE 1 545 GENR GWAGE=LOG(WAGE)-LOG(LAG(WAGE)) SAMPLE 1947.2 1985.12 VAR: GWAGE P: 0 EXEC STEST SAMPLE 1 545 GENR POP=POPW+POPM GENR GPOP=LOG(POP)-LOG(LAG(POP)) SAMPLE 1948.2 1985.12 VAR: GPOP P: 0 EXEC STEST SAMPLE 1 545 GENR GLAB=LOG(LAB)-LOG(LAG(LAB)) SAMPLE 1948.2 1985.12 VAR: GLAB P: 3 EXEC STEST SAMPLE 1 545 GENR GEMP=LOG(EMP)-LOG(LAG(EMP)) SAMPLE 1948.2 1985.12 VAR: GEMP P: 4 EXEC STEST SAMPLE 1 545 * UN is already in percentage terms GENR DUN=UN-LAG(UN) SAMPLE 1948.2 1985.12 VAR: DUN P: 1 EXEC STEST SAMPLE 1 545 GENR GIP=LOG(IP)-LOG(LAG(IP)) SAMPLE 1947.2 1985.12 VAR: GIP P: 2 EXEC STEST STOP