* 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