##############################################################
#
#  Unit root tests for Nelson&Plosser data
#  
#  http://lojze.lugos.si/~darja/software/r/library/tseries/html/NelPlo.html
##############################################################
install.packages("fUnitRoots","tseries")
library(fUnitRoots)
library(tseries)
data(NelPlo)

names = c("cpi","ip","gnp.nom","vel","emp","int.rate","nom.wages",
                 "gnp.def","money.stock","gnp.real","stock.prices",
                 "gnp.capita","real.wages","unemp")

names1 = c("consumer price index", "industrial production","nominal GNP",
                    "velocity","employment","interest rate","nominal wages","GNP deflator",
                    "money stock", "real GNP", "stock prices (S&P500)","GNP per capita",
                    "real wages", "unemployment")

p=ncol(NelPlo)

n=nrow(NelPlo)

stat = matrix(0,p,2)
par(mfrow=c(4,4))
for (i in 1:p){
  ts.plot(NelPlo[,i],main=names[i],ylab="",xlab="Year")
  test = adfTest(NelPlo[,i])
  stat[i,1] = test@test$statistic
  stat[i,2] = test@test$p.value
}

cbind(names,round(stat,4))