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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | # PS10.6, for Example 10.5 for the Dickey-Fuller test
open data9-2
genr time
# generate log of money supply
genr Y = ln(M)
# generate delta Y
genr DY = diff(Y)
# lag DY once
genr Y1 = Y(-1)
# delta Y(-1)
genr DY1 = DY(-1)
# reset starting obs to omit two observations
smpl 1962 ;
# estimate unrestricted model U
ols DY const time Y1 DY1
omit time Y1
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