/*
** Lesson 14.2: Cointegration Test
*/
use gpe2;
output file = gpe\output14.2 reset;

load z[67,3] = gpe\usyc87.txt;
y = z[2:67,2];
c = z[2:67,3];

call reset;
_names = {"c","y"};
call estimate(c,y);

/* Unit Roots Test on Residuals */
x = __e;  @ set x to regression residuals @
x1 = packr(lagn(x,1)); @ sample truncated @
dx = packr(x-lagn(x,1));

_rstat = 1;
_const = 0;
_dlags=2; @ augmented terms if needed @
_names = {"dx","x1"};
call estimate(dx,x1);

end;