* Tests for unit roots using the Perron test applied to
* the Nelson-Plosser data set.

* REFERENCES
* Pierre Perron, "Trends and Random Walks in Macroeconomic 
*    Time Series: Further Evidence from a New Approach",
*    Journal of Economic Dynamics and Control, Vol. 12, 1988, pp. 297-332.
* C.R. Nelson and C.I. Plosser, "Trends and Random Walks in 
*    Macroeconomic Time Series: Some Evidence and Implications",
*    Journal of Monetary Economics, Vol. 10, 1982, pp. 139-162.

SAMPLE 1 111
* THE NELSON-PLOSSER DATA SET - ANNUAL DATA 1860-1970 (111 OBS.)
*              ID    - YEAR                     
*              RGNP  - REAL GNP                Start year = 1909  (#50)
*              GNP   - NOMINAL GNP             Start year = 1909  (#50)
*              PCRGNP- REAL PER CAPITA GNP     Start year = 1909  (#50)
*              IP    - INDUSTRIAL PRODUCTION   Start year = 1860  (#1)
*              EMP   - EMPLOYMENT              Start year = 1890  (#31)
*              UN    - UNEMPLOYMENT RATE       Start year = 1890  (#31)
*              PRGNP - GNP DEFLATOR            Start year = 1889  (#30)
*              CPI   - CONSUMER PRICES         Start year = 1860  (#1)
*              WG    - WAGES                   Start year = 1900  (#41)
*              RWG   - REAL WAGES              Start year = 1900  (#41)
*              M     - MONEY STOCK              
*              VEL   - VELOCITY                 
*              BND   - BOND YIELD               
*              SP500 - COMMON STOCK PRICES      
READ (nelplos.txt) YEAR,RGNP,GNP,PCRGNP,IP,EMP,UN 
SAMPLE 50 111 
* Analyze the logarithm of the series
* REAL PER CAPITA GNP 
* Phillips-Perron tests listed in Tables 3 and 4 of Perron (1988).
COINT PCRGNP / TYPE=PP DN LOG
COINT PCRGNP / TYPE=PP DN LOG NLAG=4
COINT PCRGNP / TYPE=PP DN LOG NLAG=7
COINT PCRGNP / TYPE=PP DN LOG NLAG=7 SIGLEVEL=5
COINT PCRGNP / TYPE=PP DN LOG NLAG=7 SIGLEVEL=1
STOP