GAUSS Time Series and Panel data tests

Econometric package for Time Series and Panel Data Methods covering unit root, co-integration & causality tests. Extensive coverage of testing in the presence of structural breaks.

The tspdlib library is written for GAUSS by Saban Nazlioglu, Department of International Trade & Finance, Pamukkale University-TÃ¼rkiye.

Citation

If using this code please include the following citation: Nazlioglu, S (2021) TSPDLIB: GAUSS Time Series and Panel Data Methods (Version 2.0). Source Code. https://github.com/aptech/tspdlib

Getting Started

Prerequisites

The program files require a working copy of GAUSS 23+.

Installing

The GAUSS Time Series and Panel data tests library can be installed and updated directly in GAUSS using the GAUSS package manager.

Please do not download the source code and install manually. You will not be able to properly install the library.

Before using the functions created by tspdlib you will need to load the newly created tspdlib library. This can be done in a number of ways:

Navigate to the library tool view window and click the small wrench located next to the tspdlib library. Select Load Library.
Enter library tspdlib in the program input/output window.
Put the line library tspdlib; at the beginning of your program files.

Note: I have provided the individual files found in tspdlib_2.0.zip for examination and review. However, installation should always be done using the GAUSS Package Manager.

Examples

After installing the library, examples for all available procedures can be found in your GAUSS home directory in the directory pkgs > tspdlib >examples. The example uses GAUSS and .csv datasets which are included in the pkgs > tspdlib >examples directory.

Related Blogs

The TSPDLIB library has been featured in the following Aptech Data Analytics blog posts:

Documentation

The documentation for the tspdlib procedures can be found on our Aptech TSPDLIB Documentation page.

License

The author makes no performance guarantees. The tspdlib is available for public non-commercial use only.

Author

For any bugs, please send e-mail to Saban Nazlioglu or Eric Clower.

Supported

Time Series Unit Root Tests

|Procedure| Reference|Description| |:------:|:---------|:------------| |adf| Dickey, D.A., Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Society75, 427â€“431.| ADF unit root test.| |adf_1break| Zivot, E. & Andrews, W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit root hypothesis. Journal of Business and Economic Statistics 10(3), 251-270. |ADF unit root test with a single break.| |adf_2break|Narayan, P.K. & Popp, S. (2010). A new unit root test with two structural breaks in level and slope at unknown time. Journal of Applied Statistics, 37:9, 1425-1438.|Unit root test with two unknown breaks.| |erspt|Elliott, G., Rothenberg, T.J., Stock, J.H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64, 813-836.|ERS point optimal unit root test.| |fourier_adf|Enders, W. & Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root tests. Economics Letters, 117, 196-199.|Dickey-Fuller unit root test with Flexible Fourier form structural breaks. |fourier_lm|Enders, W., and Lee, J. (2012). A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks. Oxford Bulletin of Economics and Statistics,74,4(2012),574-599.|LM unit root test with Flexible Fourier form structural breaks. |fourier_kpss|Becker, R., Enders, W., Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409.|KPSS stationarity test with Flexible Fourier form structural breaks. | |fourier_gls|Rodrigues, P. & Taylor, A.M.R. (2012). The flexible Fourier form and local GLS de-trending unit root tests. Oxford Bulletin of Economics and Statistics, 74(5), 736-759.|GLS detrended unit root test with Flexible Fourier form structural breaks. | |fourier_kss|Christopoulos, D. K., & Leon-Ledesma, M. A. (2010). Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates. Journal of International Money and Finance, 29(6), 1076-1093.|KSS unit root test with Flexible Fourier form structural breaks. | |gls|Elliott, G., Rothenberg, T.J., Stock, J.H. (1996). Efficient tests for an autoregressive unit root. Econometrica 64, 813-836.|GLS-ADF unit root test. | |gls|Ng, S., Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica 69, 1519-1554.| Lag selection in unit root tests.| |gls_1break|Perron, P., & Rodriguez, G. (2003). GLS detrending, efficient unit root tests and structural change. Journal of Econometrics 115(1), 1-27.| GLS unit root test with one structural break.| |gls_2break|Carrion-i-Silvestre, J. L., Kim, D., & Perron, P. (2009). GLS-based unit root tests with multiple structural breaks under both the null and alternative hypotheses. Econometric Theory 25, 1754-1792.| GLS unit root test with two structural breaks.| |kpss|Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. Journal of Econometrics, 4(1-3), 159-178.|KPSS test for the null of stationarity.| |kpss_1br|Kurozumi, E. (2002). Testing for stationarity with a break. Journal of Econometrics, 108(1), 63-99.|KPSS test for the null of stationarity with one structural break.| |kpss_2br|Carrion-i-Silvestre, J. Ll. & SansÃ³, A. (2007). The KPSS test with two structural breaks. Spanish Economic Review, 9, 2, 105-127.|KPSS test for stationarity with two structural breaks.| |lmkpss| Schmidt, P., & Phillips, P. C. (1992). LM tests for a unit root in the presence of deterministic t

Tspdlib

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