I occasionally tried the following script to run ADF OLS manually. However, it is found the commands for DF and ADF1 as follow are ok but not for ADF2.

<hansl>
open data3-6
#ADF by OLS manually
   DF <- ols diff(Yt) const Yt(-1)
   ADF1 <- ols diff(Yt) const Yt(-1) diff(Yt_1)
   ADF2 <- ols diff(Yt) const Yt(-1) diff(Yt_1) diff(Yt_2)
</hansl>

I know that it formally should be execute before these ols commands:

lags 2; Yt

But this looks like Yt_1 has been generated internally since the script like this does not work:

ADF1 <- ols diff(Yt) const Yt(-1) diff(Y(-1))

I am not asking any revision. Just curious. Thanks.

Yi-Nung Yang