Introduction In time series modeling we often encounter trending or nonstationary time series data. Understanding the characteristics of such data is crucial for developing proper time series models. For this reason, unit root testing is an essential step when dealing with time series data. In this blog post, we cover everything you need to conduct [...]

Introduction Time series data is data that is collected at different points in time. This is opposed to cross-sectional data which observes individuals, companies, etc. at a single point in time. Because data points in time series are collected at adjacent time periods there is potential for correlation between observations. This is one of the [...]

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 [...]

Introduction When policy changes or treatments are imposed on people, it is common and reasonable to ask how those people have been impacted. This is a more difficult question than it seems at first glance. In order to truly know how those individuals have been impacted, we need to consider how those individuals would be [...]

Introduction In this blog, we examine the issue of identifying unit roots in the presence of structural breaks. We will use the quarterly US current account to GDP ratio to compare results from a number of unit root test found in the GAUSS tspdlib library including the: Zivot-Andrews (1992) unit root test with a single [...]

Introduction Permutation Entropy (PE) is a robust time series tool which provides a quantification measure of the complexity of a dynamic system by capturing the order relations between values of a time series and extracting a probability distribution of the ordinal patterns (see Henry and Judge, 2019). Among its main features, the PE approach: Is [...]

Introduction Though many standard econometric models assume that variance is constant, structural breaks in variance are well-documented, particularly in economic and finance data. If these changes are not accurately accounted for, they can hinder forecast inference measures, such as forecast variances and intervals. In this blog, we consider a tool that can be used to [...]

Introduction Last week we learned how to use the date keyword to load dates into GAUSS. Today, we will plot some high-frequency Forex data. The data Today's dataset (usdcad_tick.csv) contains tick data for a little over 30,000 observations of the bid price for the USD/CAD currency pair from January 2, 2018. This file has two [...]

Introduction Time series data with inconsistently formatted dates and times can make your work frustrating. Dates and times are often stored as strings or text data and converting to a consistent, numeric format might seem like a daunting task. Fortunately, GAUSS includes an easy tool for loading and converting dates and times – the date [...]

Introduction The key to getting the most performance from a matrix language is to vectorize your code as much as possible. Vectorized code performs operations on large sections of matrices and vectors in a single operation, rather than looping over the elements one-by-one. For example, we could scale a vector by looping over each element: [...]