set obs 500
generate x=0
generate y=0
generate time=_n
tsset time, year
generate e1=invnorm(uniform())
generate e2=invnorm(uniform())
regress e2 e1
replace y=L.y+e1 if _n>1
replace x=L.x+e2 if _n>1
regress y x
dwstat
predict res, resid
dfuller res
regress res L.res
prais y x