* Example 10.6
READ (DATA10-3) Period EXCHRATE
* Reproduce Figure 10.8
GRAPH EXCHRATE  /LINEONLY
* generate lag exchange rate 
genr exchrat1 = lag(exchrate)
* generate change in exchange rate 
genr dxchrate = exchrate - exchrat1
* generate lag in dxchrate 
genr dxchrat2 = lag(dxchrate)
* The first observation on ecchrat1 (and therefore dxchrate) is not known.
* Therefore the first TWO observations on dxchrat2 are not known.
* suppress the first two observations 
smpl 3 157
* estimate unrestricted model 
ols dxchrate exchrat1 dxchrat2  
*
* Alternatively, the Dickey-Fuller tests can be generated automatically
* using the COINT command.
* COINT automatically adjusts the sample for the appropriate lags.
sample 1 157
COINT exchrate
* The appropriate specification is CONSTANT NO TREND (since there is no
* time trend in the model).
* The first test statistic reported is the t-test.
stop