** Chapter 22 ** for W.H. Greene, Econometric Analysis 6th ed. *****************
* (c) Noel Roy 2003, 2008
*
*                        NONSTATIONARY DATA
*
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* 22.2 NONSTATIONARY PROCESSES AND UNIT ROOTS
*
* 22.2.1 Integrated Processes and Differencing
*
* Example 22.1 (p. 740) A Nonstationary Series
*
TIME 1950.1 4 
SAMPLE 1950.1 1983.4
READ (TableF21-2.prn) /NAMES
* Generate Figures 22.1-21.3.
GENR Logprice=LOG(P)
GRAPH Logprice /LINEONLY NOKEY
GENR dlogp=Logprice-LAG(logprice)
GRAPH dlogp /LINEONLY NOKEY BEG=1950.2
GENR d2logp=dlogp-LAG(dlogp)
GRAPH d2logp /LINEONLY NOKEY BEG=1950.3
*
* Generate the autocorrelations of the log Price variable and its
* first and second differences.
* The ARIMA command with the NDIFF= option specifies the order of differencing to 
* transform the data.
* 
ARIMA Logprice /  NLAG=10 PLOTAC 
ARIMA Logprice /  NLAG=10 PLOTAC NDIFF=1 
ARIMA Logprice /  NLAG=10 PLOTAC NDIFF=2 
*
STOP
*
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* Updated November 19, 2008