all 1566
open data daily.xls
data(format=xls,org=obs) /

*(1) UNIT ROOT:
****************

SET Y = EGP
*******               df CTRITICAL VALUES ARE -2.86 (CONSTANT NO TREND)  AND -3.41 (CONSTANT + TREND)
SET DY = Y-Y{1}   ; SET TREND = T
******************************************************************************************************
LINREG DY   ;    # CONSTANT Y{1}
******************************************************************************************************
LINREG DY   ;    # CONSTANT Y{1} TREND
******************************************************************************************************

*(2) COINTEGRATION:
*******************
SET Y = USA ; SET X = JOR
LINREG Y ; # CONSTANT X
SET Y = %RESIDS ; SET DY = Y-Y{1}
LINREG DY   ;    #  Y{1}
********  CRITICAL VALUE IS GREATER IN ABSOLUTE VALUE THAN 4 (i.e. LESS THAN -4). SEE PAGE 624 OF BROOKS.
***** SO THEY ARE COINTEGRATED

*(4) NONLINEAR ecm MODEL:
****************************
SET Y = LOG(USA) ; SET X = LOG(MOR)
SET DY = Y-Y{1}  ; SET DX = X-X{1}
NONLIN B1 B2 GAMMA
FRML EQUATION = B1*DX +B2*(Y{1}-GAMMA*X{1})
COMPUTE B1=B2=GAMMA=0.01
NLLS(FRML=EQUATION) DY

*(5) garch
****************
SET SERIES = DY
NONLIN  c q1 p1  B1 B2 GAMMA
COMPUTE c=0.01, q1 = 0.1, p1=0.1
COMPUTE B1=B2=0.1,GAMMA=0.7

    FRML epsilon = series - ( B1*DX +B2*(Y{1}-GAMMA*X{1} )   )

    LINREG(noprint) series / RES
    # constant DX
    SET U  = res
    SET H  = %seesq

      FRML garchvar = c + abs(q1)*U{1}**2 + abs(p1)*H{1}

      FRML logl = H(T) = garchvar(T), U(T) = epsilon(T), $
                  -.5*(log(2*%PI)+log(H)+U**2/H)

MAXIMIZE(method=simplex,noprint,iter=50) logl  3 *
NLPAR(subiter=250,cvcrit=0.000001)
MAXIMIZE(method=bhhh,iter=100,recursive,trace) logl 3 *