*    DICKEY_2.PRG: Tabulation de la distribution de Dickey-Fuller
*
*        Calcul de la distribution de Dickey-Fuller
*        Vrai modèle:  y(t) = y(t-1) + e(t)
*        On estime:  y(t) = cst + phi*y(t-1) + beta*trend + e(t)
*        Valeur critique du test H0; phi=1
*
COMPUTE NOBS=100
COMPUTE NDRAWS=5000
ALLOCATE NDRAWS
ZERO XT; ZERO TEST
SET TREND 1 NOBS+2 = T
*
EQUATION 1 XT
# CONSTANT XT{1}
ASSOCIATE(VARIANCE=1.0) 1
# 0.0 1.0
SMPL 3 NOBS+2
DO DRAWS=1,NDRAWS
   SIMULATE 1 NOBS+1 2
   # 1 XT
   LINREG(NOPRINT) XT
   # CONSTANT XT{1} TREND
   COMPUTE TEST(DRAWS) = ABS( (%BETA(2)-1.0)/(SQRT(%SEESQ*%XX(2,2))) )
END DO DRAWS
*
STATISTICS(FRACTILES) TEST 1 NDRAWS
END
DEDIT c:\t837\dat\test_df.rat
include test test 1 ndraws
SAVE
QUIT