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* Advanced Applied Econometrics
* Jakub Muck 
* Exercise 18

* importing data
clear all 
use http://e-web.sgh.waw.pl/jmuck/AAE/Datasets/InternationalTradePoland.dta

* data preperation 
gen im_pl=ln(IM_PL)
gen ex_pl=ln(EX_PL)
gen dd_pl=ln(DD_PL)
gen dd_eu=ln(DD_EU)
gen reer=ln(REER)
sort year quarter
gen t=_n
tsset t
gen dim_pl=d.im_pl

* (ii) Plot of the logged imports
tsline im_pl 

*(iii) ADF test for the logged imports
dfuller im_pl, regress
dfuller im_pl, lags(1) regress
dfuller im_pl, lags(4) regress

*(iv) Since the im_pl is non-stationary we check its first differences 
dfuller dim_pl, regress
dfuller dim_pl, lags(1) regress
dfuller dim_pl, lags(4) regress

*(v) ADF test with a linear trend for the logged imports
dfuller im_pl, regress trend
dfuller im_pl, lags(1) regress trend
dfuller im_pl, lags(4) regress trend

*(vi) im_pl regressed on t 
reg im_pl t 
predict res_t, res 
tsline res_t

*(viii) Plot of the reer
tsline reer 

*(ix) ADF test for the reer
dfuller reer, regress
dfuller reer, lags(1) regress

*(x) ADF test for the reer
dfuller reer if year>=2000, regress
dfuller reer if year>=2000, lags(1) regress

*(xi) im_pl and dd_pl are I(1) (please check)
reg im_pl dd_pl 
predict r1, res
tsline r1
dfuller r1, nocons
dfuller r1, lags(3) nocons
* Compare with critical values from the slides 

*(xi) ex_pl and dd_eu are I(1) (please check)
reg ex_pl dd_eu 
predict r2, res
tsline r2
dfuller r2, nocons
dfuller r2, lags(3) nocons