gls-msbur-7.25.18

GAUSS blog: GLS testing with multiple structural breaks

This code accompanies the Aptech blog Why the GLS unit root test with multiple structural breaks? which was published on 7/25/2018.

Getting Started

Prerequisites

The program files require a working copy of GAUSS 18+.

In addition it requires either:

1. The Time Series MT application from Aptech and the msbur library included in this repository.
2. The TSPDLIB library available for free installation using the GAUSS Package Manager and the msbur library included in this repository.

The msbur library includes:

1. The original GAUSS GLS-MSBUR code provided by Josep Lluís Carrion-i-Silvestre which is based on the code provided by Serena Ng and Pierre Perron (Econometrica, 2001).
2. All data files used in the Aptech blog.
3. All program files for replicating the examples in the Aptech blog.

Installing

The msbur library can be easily installed using the GAUSS application installation wizard, as shown below:

1. Download the zipped folder msbur.zip.
2. Use the GAUSS Application Installer by selecting Tools>Install Application.
3. Before using the functions created by msbur you will need to load the newly created msbur 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 msbur library. Select Load Library.
• Enter library msbur on the command line.
• Put the line library msbur; at the beginning of your program files.

Data

The data used in the blog is contained in three files

1. housing_wa.dat - This contains the Washington Housing Price Index, Seasonally Adjusted from the Federal Housing Finance Agency's House Price Index Dataset, observed quarterly.
2. housing_ar.dat - This contains the Arizona Housing Price Index, Seasonally Adjusted from the Federal Housing Finance Agency's House Price Index Dataset, observed quarterly.
3. zhvi_cities.csv -- This contains the historic Zillow Home Value Index in Phoenix and Seattle, observed monthly.

Example files

Three example files are included:

1. sb_unit_root.e - This file contains the GAUSS code to perform all unit root testing done in the blog. It requires both the tsmt and msbur libraries to run.
2. glsmsbur_plots.e - This file contains the GAUSS code to generate all graphs included in the blog.
3. sample.e - This file contains the original example provided by Josep Lluís Carrion-i-Silvestre .

Note: All data files and program files for the blog will be installed in with the msbur library in the gaussHome > pkgs > msbur > examples directory.

Authors

Erica Clower
Aptech Systems, Inc