GAUSS Time-Series Panel Data (TSPDLIB) ============================================== Description ---------------- Unit root, cointegration, and causality testing tools for time series and panel data. Includes extensive coverage of testing in the presence of structural breaks. Installation -------------- The GAUSS Time Series and Panel data tests library can be installed and updated directly in GAUSS using the `GAUSS package manager `_. It requires a working copy of GAUSS 23+. Commands ------------------------------ Time Series Stationarity Tests +++++++++++++++++++++++++++++++ ========================== =========================================================================================================== :func:`adf` Augmented Dickey-Fuller unit root test. :func:`adf_1break` Augmented Dickey-Fuller unit root test with one structural break. :func:`adf_2breaks` Augmented Dickey-Fuller unit root test with two structural breaks. :func:`erspt` ERS point optimal unit root test. :func:`fourier_adf` Augmented Dickey-Fuller unit root test with flexible Fourier form structural breaks. :func:`fourier_gls` Local generalized least squares unit root test with flexible Fourier form structural breaks. :func:`fourier_kpss` KPSS stationarity test with flexible Fourier form structural breaks. :func:`fourier_kss` KSS unit root test with flexible Fourier form structural breaks. :func:`fourier_lm` LM unit root test with flexible Fourier form structural breaks. :func:`gls_1break` GLS unit root test with one structural break. :func:`gls_2breaks` GLS unit root test with two structural breaks. :func:`kpss_1break` KPSS stationary test with one structural break. :func:`kpss_2breaks` KPSS stationary test with two structural breaks. :func:`lm_1break` LM unit root test with one structural break. :func:`lm_2breaks` LM unit root test with two structural breaks. :func:`lmkpss` Performs the Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) stationarity test. :func:`mgls` MGLS unit root test. :func:`pp` Phillips and Perron unit root test (Perron, P., & Ng, S. (1996)). :func:`qks_tests` Quantile Kolmogorovâ Smirnov (QKS) tests :func:`qr_adf` Quantile Augmented Dickey-Fuller unit root test. :func:`qr_fourier_adf` Quantile Augmented Dickey-Fuller unit root test with flexible Fourier form structural breaks. :func:`qr_fourier_kss` Quantile KSS unit root test with flexible Fourier form structural breaks. :func:`qr_kss` Quantile KSS unit root test. :func:`ralsadf` Augmented Dickey-Fuller unit root test with the RALS technique for non-normal errors. :func:`ralslm` LM unit root test with the RALS technique for non-normal errors. :func:`ralslm_breaks` Augmented Dickey-Fuller unit root test with 1 or 2 breaks and the RALS technique for non-normal errors. :func:`sbur_gls` Panel data stationarity tests. ========================== =========================================================================================================== Panel Data Unit Root Tests +++++++++++++++++++++++++++ ========================== ================================================================================================================================================================= :func:`cips` A simple unit root test in the presence of cross-section dependence. :func:`bng_panic` Panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity. Computes the Pe test on ADF p-values found in Bai & Ng (2004). :func:`bng_panicnew` Panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity. Pooled Pa, Pb, and PMSB tests in Bai & Ng (2010). :func:`jwl_panicadj` Panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity. Computes the Ze and Ze+ tests in Westerlund & Larsson (2009). :func:`jwr_panicca` Panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity. Computes the Pooled Pa, Pb, and PMSB tests in Westerlund & Reese (2016). :func:`pdfzk` Panel stationary test with gradual shifts. :func:`pd_kpss` Panel data KPSS test. :func:`pd_stationary` Panel data stationarity tests. ========================== ================================================================================================================================================================= Cointegration Tests +++++++++++++++++++++ ============================= ======================================================================================================================================================= :func:`coint_egranger` Engle-Granger residual-based test of the null hypothesis of no cointegration. :func:`coint_ghansen` Test of the null hypothesis of no cointegration against the alternative of cointegration with a structural break in the mean. :func:`coint_cissanso` LM-type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break. :func:`coint_hatemij` Test of the null hypothesis of no cointegration against the alternative of cointegration with two structural breaks. :func:`coint_pouliaris` Asymptotic critical values for residual based tests for cointegration. :func:`coint_shin` A residual-based test for the null of cointegration using a structural single equation model. :func:`coint_tsongetal` Test of the null hypothesis of cointegration allowing for structural breaks of unknown form in deterministic trend by using the Fourier form. :func:`coint_maki` Test of the null hypothesis of no cointegration against the alternative of cointegration with an unknown number of breaks. :func:`pd_coint_wedgerton` Westerlund-Edgerton test of the null hypothesis of cointegration allowing for the possibility structural breaks. ============================= ======================================================================================================================================================= Causality Tests +++++++++++++++++ ========================== ======================================================================================================================================================= :func:`asymCause` Tests for asymmetric causality. :func:`granger` Tests for Granger causality of specified variables. :func:`pd_cause` Test for panel data causality. :func:`panel_fisher` Tests for Granger causality in heterogeneous mixed panels with bootstrap critical values. :func:`panel_surwald` Tests for Granger causality in heterogeneous mixed panels with bootstrap critical values. :func:`panel_zhnc` Tests for Granger causality in heterogeneous mixed panels with bootstrap critical values. ========================== ======================================================================================================================================================= CD Tests +++++++++++++++++ ========================== ======================================================================================================================================================= :func:`pd_getcderror` Computes error cross-section dependecy tests. ========================== ======================================================================================================================================================= Further Reading ----------------- * `How to Conduct Unit Root Tests in GAUSS `_ * `How to Interpret Cointegration Test Results `_ * `How to Run the Maki Cointegration Test (Video) `_ * `Introduction to Granger Causality `_ * `How to Run the Fourier LM Test `_ Reference ---------- The tspdlib library is written for GAUSS by Saban Nazlioglu, Department of International Trade & Finance, Pamukkale University-TĂĽrkiye. 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 .. toctree:: :maxdepth: 1 :hidden: adf adf_1break adf_2breaks bng_panic bng_panicnew cips coint_egranger coint_ghansen coint_cissanso coint_hatemij coint_pouliaris coint_shin coint_tsongetal coint_maki erspt fourier_adf fourier_gls fourier_kpss fourier_kss Fourier_kss_bootstrap fourier_lm gls_1break gls_2breaks granger jwl_panicadj jwr_panicca kpss_1break kpss_2breaks lm_1break lm_2breaks lmkpss mgls panel_fisher panel_surwald panel_zhnc pdfzk pd_cause pd_coint_wedgerton pd_kpss pd_getcderror pd_stationary pp qks_tests qr_adf qr_fourier_adf qr_fourier_adf_bootstrap qr_fourier_kss qr_fourier_kss_bootstrap qr_kss ralsadf ralslm ralslm_breaks sbur_gls