New Release of TSPDLIB 2.0

by Eric · Published February 11, 2021 · Updated February 26, 2021

Introduction

The preliminary econometric package for Time Series and Panel Data Methods has been updated and functionality has been expanded in this release of TSPDLIB 2.0.0.

The TSPDLIB 2.0.0 package includes expanded functions for time series and panel data testing both with and without structural breaks and causality testing. In addition, TSPDLIB 2.0.0 is easier than ever to use with new implementation of default parameter settings, updated output printing, and automatic data type detection.

Changelog 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.
   • granger - Granger causality function with optional arguments.
   • pdlm - PD level and trend break test with optional arguments.
   • quantileADF - quantile ADF procedure with optional 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

Citation

If using this library please include the following citation:

Getting Started

Prerequisites

The program files require a working copy of GAUSS 21+.

Installing

The GAUSS Time Series and Panel data tests library can 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 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.

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 Package; Complete Guide.

Example Applications

1. A Guide to Conducting Cointegration Tests
2. How to Conduct Unit Root Tests in GAUSS
3. Panel data, structural breaks, and unit root testing
4. Unit Root Tests with Structural Breaks