GAUSS Westerlund tests

Econometric package containing the library of GAUSS codes of Joakim Westerlund.

Getting Started

Prerequisites

The program files require a working copy of GAUSS 19+. Many tests can be run on earlier versions with some small revisions and users should contact [email protected] for a modified library for earlier GAUSS versions.

Installing

GAUSS 20+ The GAUSS Westerlund library can be installed using the GAUSS Application Installer, as shown below:

1. Download the zipped folder westerlundlib_0.1.zip from the westerlundlib release page.
2. Select Tools > Install Application from the main GAUSS menu.
3. Follow the installer prompts, making sure to navigate to the downloaded westerlund_0.2.0.zip.
4. Before using the functions created by westerlundlib you will need to load the newly created westerlundlib 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 westerlundlib library. Select Load Library.
• Enter library westerlundlib in the program input/output window.
• Put the line library westerlundlib; at the beginning of your program files.

Note: I have provided the individual files found in westerlundlib_0.2.0.zip for examination and review. However, installation should always be done using the westerlundlib_0.2.0.zip folder from the release page and the GAUSS Application Installer.

Examples

After installing the library the example files will be found in your GAUSS home directory in the directory pkgs > westerlundlib >examples. The example uses GAUSS datasets included in the pkgs > westerlundlib >examples directory.

Documentation

We have not yet developed detailed documentation about the library. However, you can find more information about the functions by looking at the function headers in the .src codes.

You can access these source codes through the library tool by expanding the westerlundlib.lcg menu and clicking on the file name. The file will open in the program editor and you will be able to view the headers for each specific function.

License

The author makes no performance guarantees. The westerlundlib is available for public non-commercial use only.

Author

For any bugs, please send e-mail to Eric Clower.

Supported

src file	Reference	Description	Procedure
cusum_west.src	Westerlund, J. (2005). A Panel CUSUM Test of the Null of Cointegration. Oxford Bulletin of Economics and Statistics, 67, 231-262	Panel data cointegration test	cusum_panel, cusum_west
ll.src	Westerlund, J. (2005). Data Dependent Endogeneity Correction in Cointegrated Panels. Economics Letters, 67, 691-705	Panel data cointegration test	estsys, icsys
lm	Westerlund, J. (2006) Testing for Panel Cointegration with Multiple Structural Breaks. Oxford Bulletin of Economics and Statistics, 68, 101-132.	Panel data cointegration with multiple structural breaks	lmbreak, lmbreak_panel
brei.src	Westerlund, J. (2006). New Simple Tests for Panel Cointegration. Econometric Reviews, 24, 297-316.	Panel data cointegration test	brei_panel
adfmin.src	Westerlund, J. (2006). Testing for Panel Cointegration with a Level Break. Economic Letters, 91, 27-33.	Panel data cointegration tests with level break.	adfmin_west
ecm_boot.src	Westerlund, J. (2007). Testing for Error Correction in Panel Data. Oxford Bulletin of Economics and Statistics 69, 709-748	Panel data error correction model.	ecm_panel, pecm
lmcoint.src	Westerlund, J. and Edgerton, D.L. (2007). New Improved Tests for Cointegration with Structural Breaks. Journal of Time Series Analysis 28, 188-224.	Cointegration test with structural breaks	lm_break, ilt_lmcoint
baikao.src	Westerlund, J. (2007). Unbiased Estimation of Cointegrated Panel Regressions with Cross Section Dependence. Journal of Financial Econometrics, 5, 491-522.	Panel cointegration with cross section dependence.	tset, itest
cointboot.src	Westerlund, J. and Edgerton, D.L. (2007). A Panel Bootstrap Cointegration Test. Economics Letters, 97, 185-190.	Bootstrap panel cointegration.	boot_panel, boot
durbinh.src	Westerlund, J. (2008). Panel Cointegration Tests of the Fisher Hypothesis. Journal of Applied Econometrics 23, 193-233.	Panel data cointegration.	gdh_panel, gdh
panellmcoint.src	Westerlund, J. and Edgerton, D.L. (2008). Simple Tests for Cointegration in Dependent Panels with Structural Breaks. Oxford Bulletin of Economics and Statistics 70, 665-704.	Panel data cointegration with structural breaks	ilt_br, ilt_fact

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