/* This program generates the Dickey-Fuller Distribution for the TAU test for a unit root in the Case 3 situation. */ data DFtest; iseed = 8888; do sample = 1 to 10000; x1 = 10; do time = 0 to 200; a = rannor(iseed); t = time - 100; x2 = 4 + 1.0*x1 + a; y = x2; lagy = lag(y); dy = y - lagy; x1 = x2; if time > 100 then output; end; end; proc reg data = DFtest outest = dftau tableout; model dy = lagy t / noprint; by sample; run; data dfdist; set dftau; if _TYPE_ = 'T'; tau = lagy; keep tau; run; proc univariate data = dfdist; histogram tau/ normal(mu=0 sigma=1); run;