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1 2 3 4 5 6 7 8 9 10 11 12 13 14 | # PS10-7, for Example 10.6 for the Dickey-Fuller test
open data10-3
genr time
# generate change in exchange rate
genr dxchrate = diff(exchrate)
# lag exchange rate
genr exchrat1 = exchrate(-1)
# generate change in dxchrate
genr dxchrat2 = dxchrate(-1)
list
# suppress two observations
smpl 1973.03 ;
# estimate unrestricted model
ols dxchrate const exchrat1 dxchrat2
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