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#

`adf()`	Augmented Dickey-Fuller unit root test.
`adf_1break()`	Augmented Dickey-Fuller unit root test with one structural break.
`adf_2breaks()`	Augmented Dickey-Fuller unit root test with two structural breaks.
`erspt()`	ERS point optimal unit root test.
`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_kss()`	KSS unit root test with flexible Fourier form structural breaks.
`fourier_lm()`	LM unit root test with flexible Fourier form structural breaks.
`gls_1break()`	GLS unit root test with one structural break.
`gls_2breaks()`	GLS unit root test with two structural breaks.
`kpss_1break()`	KPSS stationary test with one structural break.
`kpss_2breaks()`	KPSS stationary test with two structural breaks.
`lm_1break()`	LM unit root test with one structural break.
`lm_2breaks()`	LM unit root test with two structural breaks.
`lmkpss()`	Performs the Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) stationarity test.
`mgls()`	MGLS unit root test.
`pp()`	Phillips and Perron unit root test (Perron, P., & Ng, S. (1996)).
`qks_tests()`	Quantile Kolmogorov? Smirnov (QKS) tests
`qr_adf()`	Quantile Augmented Dickey-Fuller unit root test.
`qr_fourier_adf()`	Quantile Augmented Dickey-Fuller unit root test with flexible Fourier form structural breaks.
`qr_fourier_kss()`	Quantile KSS unit root test with flexible Fourier form structural breaks.
`qr_kss()`	Quantile KSS unit root test.
`ralsadf()`	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.
`sbur_gls()`	Panel data stationarity tests.

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.
`pd_kpss()`	Panel data KPSS test.
`pd_stationary()`	Panel data stationarity tests.

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_cissanso()`	LM-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.
`pd_coint_wedgerton()`	Westerlund-Edgerton test of the null hypothesis of cointegration allowing for the possibility structural breaks.

Causality Tests#

`asymCause()`	Tests for asymmetric causality.
`granger()`	Tests for Granger causality of specified variables.
`pd_cause()`	Test for panel data causality.
`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.

CD Tests#

pd_getcderror()

Computes error cross-section dependecy tests.

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. aptech/tspdlib