* Nonstationary Series for Nominal GNP * * Keywords: * nonstationary, trend, nominal gdp, graph * * Description: * We examine the autocorrelation in the Nominal GNP time series by looking * the unchanged and differenced series * * Author(s): * Noel Roy * Skif Pankov * * Source: * William H. Greene, Econometric Analysis - 7th Edition * Pearson International Edition, Chapter 21, Example 21.1 (page 983) * time 1950.1 4 sample 1950.1 1983.4 * Reading the datafile and retrieving variables' names read (TableF21-1.shd) / names * Generating Figures 21.1-21.3. genr logprice=log(p) graph logprice / lineonly nokey genr dlogp=logprice-lag(logprice) graph dlogp / lineonly nokey beg=1950.2 genr d2logp=dlogp-lag(dlogp) graph d2logp / lineonly nokey beg=1950.3 * Generating the autocorrelations of the log price variable and its * first and second differences arima logprice / nlag=10 plotac arima logprice / nlag=10 plotac ndiff=1 arima logprice / nlag=10 plotac ndiff=2 stop