*        PERRON89.PRG: Étude de Pierre Perron (1989)
*
CAL 1871 1 1;  ALL 1970:1
OPEN DATA C:\T837\DAT\NELSON.RAT
DATA(FORMAT=RATS) 1871:1 1970:1 COMMON
*
SET COMMON 1871:1 1970:1 = LOG(COMMON)
SET COMMOND 1872:1 1970:1 = COMMON - COMMON{1}
*
COMPUTE CRASH = 1929:1
ZERO DU ; SET DU CRASH+1 1970:1 = 1.0
SET TREND 1871:1 1970:1 = T
SET DT 1871:1 1970:1 = TREND*DU
PRINT CRASH-2 CRASH+2 DU DT
*
*        Représentation graphique
*
LINREG COMMON 1871:1 1970:1 COMMON_A1
# CONSTANT TREND
CORRELATE(NUMBER=12) COMMON_A1 1871:1 1970:1
PRJ FIT1 1871:1 1970:1
*
LINREG COMMON 1871:1 1970:1 COMMON_A2
# CONSTANT DU TREND DT
CORRELATE(NUMBER=12) COMMON_A2 1871:1 1970:1
PRJ FIT2 1871:1 1970:1
*
GRAPH(HEADER='Common Stock') 1
# COMMON 1871:1 1970:1
*
OPEN PLOT C:\T837\GRA\PERRON.RGF
GRPARM HEADER 16 AXISLABELING 14
SPGRAPH(VFIELDS=2)
  GRAPH(HEADER='Common Stock - Tendance') 2
  # COMMON 1871:1 1970:1
  # FIT1 1871:1 1970:1
  GRAPH(SAMESIZE,HEADER='Common Stock - Rupture') 2
  # COMMON 1871:1 1970:1
  # FIT2 1871:1 1970:1
SPGRAPH(DONE)
*
*        Test de Dickey-Fuller
*
DIFF COMMON_A1 1872:1 1970:1 COMMON_A1D
LINREG COMMON_A1D 1873:1 1970:1
# COMMON_A1{1} COMMON_A1D{1}
*
*        Test de Perron avec changement de pente et
*        d'ordonnée
*
COMPUTE LAMBDA = FLOAT(CRASH)/FLOAT(%NOBS)
DISPLAY 'RUPTURE A' LAMBDA
DIFF COMMON_A2 1872:1 1970:1 COMMON_A2D
LINREG COMMON_A2D
# COMMON_A2{1} COMMON_A2D{1}
*