new;
library tsm,gauss,coint, pgraph;
#include c:\gauss32\tsm\kpss.src;
iters = 2000;
kpvec = zeros(iters,2);
advec = zeros(iters,1);
TT=25;

tim = seqa(1,1,TT);
/****************************initiliazing variables**********************************/
kk=1;
do while kk<=iters;

eps = rndn(TT,1);

phi = {0.5, 0.2};
theta = 0.5;
drift = 0.5;
ttrend = 0.02;

ma=zeros(TT,1);
ii = 1;
do while ii<=TT-1;
ma[ii+1] = ttrend*tim[ii+1]+drift+eps[ii+1]+theta*eps[ii];
ii=ii+1;
endo;
phi0 = {0,0.5};
y = recserar(ma,phi0,phi);
_print = 0;
{nu,tau} = kpss(y,1);
kpvec[kk,.] = nu[1]~tau[1];
{alpha,tstat, c_t } = adf(y,1,1);
advec[kk] = tstat;
@xy(tim,y);@
kk=kk+1;
endo;

cv1 = sortc(advec,1);
critvadf = cv1[0.05*iters];
cv2 = sortc(kpvec[.,2],1);
critvkp = cv2[0.05*iters];
print "ADF critical value ="; critvadf; 
print "KPSS critical value ="; critvkp;
joe1 = delif(cv1, cv1 .>= -3.41);
power1 = rows(joe1)/iters; 
joe2 = delif(cv2, cv2 .<= 0.463);
power2 = rows(joe2)/iters; 
print "Power of ADF test ="; power1;
print "Power of KPSS test ="; power2;