Maintenance release of TSPDLIB 2.1.0

by Eric · Published April 7, 2021 · Updated April 7, 2021

The TSPDLIB 2.1.0 update includes bug fixes, new features, and new examples.

Changelog 2.1.0:

1. Bug Fix: Incorrect printing of model type for coint_maki.
2. Bug Fix: Critical values printing bug in rals_lm_break.
3. Bug Fix: Printing error for pd_lttrend and pd_iltlevel for case with no date vector.
4. Added examples:
   • pd_getCDError.e
   • rals_lm_breaks.e
5. Added function:
   • pd_getCDError

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

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