# 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 21+.

## Commands¶

### Time Series Stationarity Tests¶

 adf() Augmented Dickey-Fuller unit root test. adf_1br() Augmented Dickey-Fuller unit root test with one structural break. adf_2br() Augmented Dickey-Fuller unit root test with two structural breaks. fourier_adf() Augmented Dickey-Fuller unit root test with flexible Fourier form structural breaks. fourier_gls() Local generalized least squares unit root test with flexible Fourier form structural breaks. fourier_kpss() KPSS stationarity test with flexible Fourier form structural breaks. fourier_lm() LM unit root test with flexible Fourier form structural breaks. kpss_1break() KPSS stationary test with one structural break. kpss_2break() KPSS stationary test with two structural breaks. lm_1break() LM unit root test with one structural break. lm_2break() LM unit root test with two structural breaks. lmkpss() Performs the Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) stationarity test. pp() Phillips and Perron unit root test (Perron, P., & Ng, S. (1996)). quantile_adf() Quantile augmented Dickey-Fuller unit root test. rals_adf() Augmented Dickey-Fuller unit root test with the RALS technique for non-normal errors. ralslm() LM unit root test with the RALS technique for non-normal errors. ralslm_breaks() Augmented Dickey-Fuller unit root test with 1 or 2 breaks and the RALS technique for non-normal errors. mgls() MGLS unit root test. erspt() ERS point optimal unit root test.

### Panel Data Unit Root Tests¶

 cips() A simple unit root test in the presence of cross-section dependence. 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). bng_panicnew() Panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity. Pooled Pa, Pb, and PMSB tests in Bai & Ng (2010). jwl_panicadj() Panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity. Computes the Ze and Ze+ tests in Westerlund & Larsson (2009). 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). pdfzk() Panel stationary test with gradual shifts.

### Cointegration Tests¶

 coint_egranger() Engle-Granger residual-based test of the null hypothesis of no cointegration. coint_ghansen() Test of the null hypothesis of no cointegration against the alternative of cointegration with a structural break in the mean. coint_cissano() Lagrange Multiplier‐type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break. coint_hatemij() Test of the null hypothesis of no cointegration against the alternative of cointegration with two structural breaks. coint_pouliaris() Asymptotic critical values for residual based tests for cointegration. coint_shin() A residual-based test for the null of cointegration using a structural single equation model. coint_tsongetal() Test of the null hypothesis of cointegration allowing for structural breaks of unknown form in deterministic trend by using the Fourier form. coint_maki() Test of the null hypothesis of no cointegration against the alternative of cointegration with an unknown number of breaks.

### Causality Tests¶

 granger() Tests for Granger causality of specified variables. panel_fisher() Tests for Granger causality in heterogeneous mixed panels with bootstrap critical values. panel_surwald() Tests for Granger causality in heterogeneous mixed panels with bootstrap critical values. panel_zhnc() Tests for Granger causality in heterogeneous mixed panels with bootstrap critical values.

## Reference¶

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

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