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New release of tspdlib 1.0

Data Analytics BlogNew release of tspdlib 1.0

by Eric · Published · Updated

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 1.0.

The tspdlib 1.0 package includes functions for time series unit root tests in the presence of structural breaks, time series and panel data unit root tests in the presence of structural breaks, and panel data causality tests.

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:
FunctionPurpose
coint_cissanoTests the null of cointegration with structural breaks

Carrion-i-Silvestre, J.L., Sanso, A. (2006). Tests the null of cointegration with structural breaks. Oxford Bulletin Economics and Statistics, 68(5), 623-646.

coint_egrangerCointegration and error correction testing

Engle, R.F. & Granger, C.W.J. (1987). Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251-276.

coint_ghansenCointegration with regime changes

Gregory, A.W. & Hansen, B., (1996). Residual-based tests for co-integration in models with regime shifts. Journal of Econometrics, 70, 99-126.

coint_hatemiJCointegration with two unknown regime changes

Hatemi-J (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 35, 497-505.

coint_shinTests cointegration against the alternative of no cointegration.

Shin, Y. (1994). A Residual-Based Test of the null of cointegration against the alternative of no cointegration. Econometric Theory, 10(1), 91-115.

coint_pouliarisCointegration

Phillips, P. C. B. & Ouliaris, S. (1990). Asymptotic properties of residual based tests for co-integration. Econometrica, 58 (1): 165–193.

coint_tsongetalFourier approximation and cointegration

Tsong, C.C., Lee, C.F., Tsai, L.J., & Hu, T.C. (2016). The Fourier approximation and testing for the null of cointegration. Empirical Economics, 51(3), 1085-1113.

PDcaus_FisherGranger causality in panel data

Emirmahmutoglu, F., Kose, N. (2011). Testing for Granger causality in heterogeneous mixed panels, Economic Modelling, 28, 870–876.

PDcaus_SURwaldGranger causality in panel data

Kónya, L. (2006) Exports and growth: Granger causality analysis on OECD countries with a panel data approach, Economic Modelling, 23 (6), pp. 978-992.

PDcaus_ZhncGranger causality in panel data

Dumitrescu, E., Hurlin, C. (2012). Testing for Granger non-causality in heterogeneous panels, Economic Modelling, 29, 1450–1460.

PD_cipsUnit root test with cross-section dependence

Pesaran, M.H. (2007). A simple unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22 (2), 265-312.

GCtestGranger causality

Granger, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424–438.

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.
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