* COINT.SHA. SHAZAM FILE FOR INDEX SERIES
* RUN BY: "file input path+coint.sha", for example: file input s:\cointegration\input\coint.sha
*         Change the path to where you have your SHAZAM control files and data. Keep your work clean
*         by directing program output to a separate subdirectory.
=?SET NOWIDE NOCC
=?FILE OUTPUT S:\cointegration\output\coint.out
* MEMORY IS INCREASED TO 1500 KB AND COMMAND ROW LENGTH TO 250
     PAR 1500
     SET COMLEN=250
* READING DATA & TRANSFORMING TO LOGS
=?     READ (s:\cointegration\input\globeind.dat) &
             DATE USA GER HKG GBR MEX FRA SIN AUS JPN CAN SWI FIN SWE NOR DEN
=?     SAMPLE 1 753
=? GENR LNFIN = LOG(FIN)
=? GENR LNSWE = LOG(SWE)
*
* (1) Dickey-Fuller tests of cointegration
*
COINT LNFIN LNSWE/TYPE=RESD
*
* (2) Phillips-Perron tests of cointegration
*
COINT LNFIN LNSWE/TYPE=RESP
*
* (3) Manual Cointegration test (for comparison)
*
OLS LNFIN LNSWE/RESID=EPS
SAMPLE 2 753
GENR EPS_1 = LAG(EPS)
GENR DEPS = EPS - EPS_1
OLS DEPS EPS_1/NOCONST
COINT EPS
COINT EPS/TYPE=PP
*
STOP