Introduction to Econometrics 3rd Edition by James Stock, James Stock

Exercise 16

On the textbook Web site Mww.pearsonhighered.coni/stock_watson, you will find a data file USMacro_Quarterly that contains quarterly data on several macroeconomic series for the United States; the data are described in the file USMacro_Description. Compute Y t = ln( GDP t ; ) , the logarithm of real GDP, and Y t the quarterly growth rate of GDP. In Empirical Exercises 14.1 through 14.6, use the sample period 1955:1-2009:4 (where data before 1955 may be used, as necessary, as initial values for lags in regressions).
Use an augmented Dickey-Fuller statistic to test for a unit autogressive root in the AR model for Y t. As an alternative, suppose that Y t is stationary around a deterministic trend.