2.1.0- tspdlib 2.1.0

Change log 2.0.1:

1. Bug Fix: Fixed printing of model type.
2. Add critical values for coint_maki.
3. Update printing style for coint_maki.

Change log 2.1.0:

1. Bug Fix: Fix printing error with rals_lm_break.
2. Add example: rals_lm_break.e.

Requirements: The TSPDLIB 2.0 library requires GAUSS 21+ to run.

GAUSS 21+
The GAUSS Time Series and Panel data tests library can be downloaded, installed, and updated directly in GAUSS using the GAUSS Package Manager. If you are using this method you do not need to download anything from GitHub. Note: This is the recommended installation method.

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Warning

Do not attempt to install using the Source Code (Zip) or Source Code (tar.gz) folders. The library will not properly install using these folders.

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2.0.0 - tspdlib 2.0.0

Change log 2.0.0:

1. Added response surface critical values in ADF, GLS, LM, and KPSS tests.
2. Added innovational outlier and additive outlier options for Zivot & Andrews unit root tests.
3. Bug Fix: Optimal lag selection in adf_1br, adf_2br, lm_1br, fourier_adf, fourier_lm, and fourier_gls.
4. Add standardized output printing.
5. New procedures:
   • gls_1br - GLS unit root test with one break.
   • gls_2br - GLS unit root tests with two breaks.
   • RALSLM_breaks - RALS-LM unit root tests with one and two breaks.
   • fixed_T_panel - Fixed T unit root tests.
   • _get_cd_error - Error-cross section dependence tests.
   • ADF_1break_est - ADF break with 1 break unit root tests with regression coefficients returned.
   • ADF_2break_est - ADF break with 2 break unit root tests with regression coefficients returned.
   • granger - Granger causality function with optional arguments.
   • pdlm - PD level and trend break test with optional arguments.
   • quantileADF - quantile ADF procedure with option arguments.
6. Update ADF_1br.e to accommodate new outlier model input.
7. Update all procedure to use optional arguments for parameters and set defaults for all optional arguments.
8. Add new dataframe datasets with date types.
9. Update all structural break accommodating tests to be compatible with date types.
10. Add automatic date type detection.
11. Add printing of test details.
12. Add printing of test conclusions.
13. New examples:
    • gls_1br.e
    • gls_2br.e
    • pdlm.e
    • granger.e
    • quantileADF.e
14. Fixed minor formatting in the function headers.
15. Add Wald statistics and corresponding bootstrap critical values for the cases with more lags to PDcaus_SURwald.
16. Fix cointegration procedures to run even if critical values are not available.

Requirements: The TSPDLIB 2.0 library requires GAUSS 21+ to run.

GAUSS 21+
The GAUSS Time Series and Panel data tests library can be downloaded, installed, and updated directly in GAUSS using the GAUSS Package Manager. If you are using this method you do not need to download anything from GitHub. Note: This is the recommended installation method.

1.1.1 - tspdlib 1.1.1

Change Log

• Added new example files:
  • lm.e
  • lmkpss.e
  • mgls.e
• Fixed minor formatting in the function headers.
• Add Wald statistics and corresponding bootstrap critical values for the cases with more lags to PDcaus_SURwald.
• Fix cointegration procedures to run even if critical values are not available.

The GAUSS Time Series and Panel data tests can be easily installed using the GAUSS Application Installer, as shown below:

GAUSS 20+
The GAUSS Time Series and Panel data tests library can be downloaded, installed, and updated directly in GAUSS using the GAUSS Package Manager. If you are using this method you do not need to download the tspdlib_1.1.1 folder. Note: This is the recommended installation method.

GAUSS 18+
The GAUSS Time Series and Panel data tests can be easily installed using the GAUSS Application Installer, as shown below:

1. Download the zipped folder tspdlib_1.1.1.zip from the tspdlib release page.
2. Select Tools > Install Application from the main GAUSS menu.
3. Follow the installer prompts, making sure to navigate to the downloaded tspdlib_1.1.1.zip.
4. 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.

1.1.0 - tspdlib 1.1

Change Log

• Bug fix: Fix small formatting error.
• Bug fix: Fix encoding issues
• Add Maki cointegration test and Maki cointegration test example.

The GAUSS Time Series and Panel data tests can be easily installed using the GAUSS Application Installer, as shown below:

• Download the zipped folder tspdlib_1.0.4.zip.
• Select Tools > Install Application from the main GAUSS menu.
• Follow the installer prompts, making sure to navigate to the downloaded tspdlib_1.0.4.zip.

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.

1.0.4 - tspdlib 1.0.4

Change Log

• Bug fix: Fix bug in qr_adf when chosen ADF lags is equal to 0.

The GAUSS Time Series and Panel data tests can be easily installed using the GAUSS Application Installer, as shown below:

• Download the zipped folder tspdlib_1.0.4.zip.
• Select Tools > Install Application from the main GAUSS menu.
• Follow the installer prompts, making sure to navigate to the downloaded tspdlib_1.0.4.zip.

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.

1.0.3 - tspdlib 1.0.3

Change Log

• Bug fix: Fix assignment of x in lm.src from x = sbt1~y1 to x=y1~sbt1

The GAUSS Time Series and Panel data tests can be easily installed using the GAUSS Application Installer, as shown below:

• Download the zipped folder tspdlib_1.0.3.zip.
• Select Tools > Install Application from the main GAUSS menu.
• Follow the installer prompts, making sure to navigate to the downloaded tspdlib_1.0.3.zip.

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.

1.0.2 - tspdlib 1.0.2

There have been minor bug fixes to improve functionality and address errors with examples.

Change Log

• Removed extra tab in : LTtrend_crit.tsv

The GAUSS Time Series and Panel data tests can be easily installed using the GAUSS Application Installer, as shown below:

• Download the zipped folder tspdlib_1.0.2.zip.
• Select Tools > Install Application from the main GAUSS menu.
• Follow the installer prompts, making sure to navigate to the downloaded tspdlib_1.0.2.zip.

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.

1.0.1 - tspdlib 1.0.1

The preliminary econometric package for Time Series and Panel Data Methods has been updated and functionality has been expanded in this first official release of tspdlib.

Change Log

• Fixed corrupted data files: ILTlevel_crit.tsv, LTtrend_crit.tsv, TSe.dat, TScoint.e, pscoint.dat, pdcause.dat, PDe.dat, TScaus.dat
• Fix critical value loading in PD_PANIC.src.
• Fix missing variable declaration in PD_nkarul.src .

The GAUSS Time Series and Panel data tests can be easily installed using the GAUSS Application Installer, as shown below:

• Download the zipped folder tspdlib_1.0.1.zip.
• Select Tools > Install Application from the main GAUSS menu.
• Follow the installer prompts, making sure to navigate to the downloaded tspdlib_1.0.1.zip.

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.

1.0.0 - tspdlib 1.0

The preliminary econometric package for Time Series and Panel Data Methods has been updated and functionality has been expanded in this first official release of tspdlib.

Change Log

1. BNG_PANICnew model inputs changed to 1 for intercept, 2 for intercept and trend.
2. Change outputs from adf procedure to include tstat, p-value, and critical value.
3. Add critical values to output from dfgls procedure.
4. Add critical values to output from erspt procedure.
5. Add bandwidth length to required inputs from erspt procedure.
6. Add bandwidth length to required inputs for Fourier_kpss procedure.
7. JWL_panic model inputs changed to 1 for intercept, 2 for intercept and trend.
8. Add bandwidth length for spectral window to required inputs for kpss_1break and kpss_2break procedures.
9. Add bandwidth length for spectral window to required inputs for mgls procedure.
10. Add critical values to output from mgls procedure.
11. Add bandwidth length for spectral window to required inputs for pp procedure.
12. Add critical values to output from pp procedure.
13. Add the following functions:
    - coint_cissano
    - coint_egranger
    - coint_ghansen
    -coint_hatemiJ
    - coint_shin
    - coint_tsongetal
    - PDcaus_Fisher
    - PDcaus_SURwald
    - PDcaus_Zhnc
    - PD_cips
    - GCtest
14. New individual example files for all procedures in the package.

Installation

The GAUSS Time Series and Panel data tests can be easily installed using the GAUSS Application Installer, as shown below:

1. Download the zipped folder tspdlib_1.0.zip.
2. Select Tools > Install Application from the main GAUSS menu.
3. Follow the installer prompts, making sure to navigate to the downloaded tspdlib_1.0.zip.
4. 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.