The new TSPDLIB 3.0 GAUSS library has been released by APTECH. It is the most complete free library about structural-break econometrics that you will find on the web: https://www.aptech.com/blog/new-release-tspdlib-3-0-0/. I am extremely grateful to Saban Nazlioglu and Eric Clower for this remarkable contribution.
You may need to check the GitHub of TSPDLIB: https://github.com/aptech/tspdlib to read the research papers for each of these tests. I reproduce below the information on the APTECH blog. Enjoy!
Introduction
The preliminary econometric package for Time Series and Panel Data Methods has been updated and functionality has been expanded with over 20 new functions in this release of TSPDLIB 3.0.
The TSPDLIB 3.0 package includes expanded functions for time series and panel data testing both with and without structural breaks and causality testing.
It requires a GAUSS 23+ for use.
Changelog 3.0:
- New functionality: Add metadata based variable names for improved printing.
- Improvement: Simplified data loading formulas using expanded GAUSS 23 .
- New unit root testing procedures:
fourier_kpss– KPSS stationarity testing with flexible Fourier form, smooth structural breaks.fourier_kss– KSS unit root test with flexible Fourier form, smooth structural breaks.fourier_wadf– Wavelet ADF unit root test with flexible Fourier form, smooth structural breaks.fourier_wkss– Wavelet KSS unit root test with flexible Fourier form, smooth structural breaks.kss– KSS unit root test.qr_fourier_adf– Quantile ADF unit root test with flexible Fourier form, smooth structural breaks.qr_fourier_kss– Quantile KSS unit root test with flexible Fourier form, smooth structural breaks.qr_kss– Quantile KSS unit root test.qks_tests– Quantile Kolmogorov-Smirnov (QKS) tests.wkss– Wavelet KSS unit root test.sbur_gls– Carrion-i-Silvestre, Kim, and Perron (2009) GLS-unit root tests with multiple structural breaks.
- New cointegration tests:
pd_coint_wedgerton– Westerlund and Edgerton (2008) panel cointegration test.
- New panel data unit root tests:
pd_kpss– Carrion-i-Silvestre, et al.(2005) panel data KPSS test with multiple structural breaks.pd_stationary– Tests for unit roots in heterogeneous panel data including with or without cross-sectional averages, with or without flexible Fourier from structural breaks.
- New causality tests:
- Other new functions:
sbvar_icss– Sanso, Arag & Carrion (2002) ICSS test for changes in unconditional variance.pd_getCDError– Tests for cross-sectional dependency.
- New examples:
- actest.e
- ascomp.e
- fourier_kss.e
- fourier_kpss.e
- fourier_wadf.e
- fourier_wkss.e
- kss.e
- pd_cause.e
- pd_getcderror.e
- pd_coint_wedgerton.e
- pd_kpss.e
- qr_fourier_adf.e
- qr_fourier_kss.e
- qr_kss.e
- qr_qks.e
- sbur.e
- sbvar_icss.e
- wkss.e
Citation
If using this library please include the following citation:
Nazlioglu, S (2018) TSPDLIB: GAUSS Time Series and Panel Data Methods (Version 3.0). 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 should only be installed and updated directly in GAUSS using the GAUSS package manager.
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
tspdliblibrary. Select Load Library. - Enter
library tspdlibin the program input/output window. - Put the line
library tspdlib;at the beginning of your program files.
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.
Using GAUSS Packages
For more information on how to make the best use of the TSPDLIB, please see our blog, Using GAUSS Packages Complete Guide.