/usr/share/gretl/scripts/greene18_6.inp is in gretl-common 1.9.14-2.
This file is owned by root:root, with mode 0o644.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 | # Replicate Example 18.6 in Greene, 4ed
open greene18_2.gdt
genr yt = log(Y/P)
genr d_yt = diff(yt)
# Do unit root test manually first
smpl 1950:3
ols d_yt const yt(-1)
ols d_yt const time yt(-1) d_yt(-1)
genr r2u = $rsq
genr dfu = $df
genr time
ols d_yt const d_yt(-1)
genr r2r = $rsq
genr Fsamp = ((r2u - r2r)/2) / ((1.0 - r2u)/dfu)
print Fsamp
# Automated ADF test
adf 1 yt
# Periodograms
smpl 1950:2
pergm yt
pergm d_yt
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