/usr/share/gretl/scripts/greene18_6.inp is in gretl-common 2017d-3build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 | # Replicate Example 18.6 in Greene, 4ed
open greene18_2.gdt
series yt = log(Y/P)
series d_yt = diff(yt)
# Do unit root test manually first
smpl 1950:3 ;
ols d_yt const yt(-1)
ols d_yt const time yt(-1) d_yt(-1)
scalar r2u = $rsq
scalar dfu = $df
ols d_yt const d_yt(-1)
scalar r2r = $rsq
scalar Fsamp = ((r2u - r2r)/2) / ((1.0 - r2u)/dfu)
print Fsamp
# Automated ADF test
adf 1 yt
# Periodograms
smpl 1950:2 ;
pergm yt
pergm d_yt
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