* Testing for a Unit Root in GDP with Augmented Dickey-Fuller * * Keywords: * nonstationary, trend, unit root, us, gdp, dickey-fuller, augmented * * Description: * We test for a unit root in the U.S. real GDP with Dickey-Fuller and Phillips * Perron test * * Author(s): * Noel Roy * Skif Pankov * * Source: * William H. Greene, Econometric Analysis - 7th Edition * Pearson International Edition, Chapter 21, Example 21.3 (page 997) * 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 * Testing for a unit root at 5% significance by a Dickey-Fuller test, using both one * and no lags coint y / siglevel=5 nlag=1 coint y / siglevel=5 * Testing for a unit root at 5% significance by a Phillips Perron test, using both four * and no lags coint y / type=pp nlag=4 coint y / type=pp stop