icss-11.30.2018

GAUSS blog: A Simple Test for Structural Breaks in Variance

This code accompanies the Aptech blog A Simple Test for Structural Breaks in Variance which was published on 11/30/2018.

Getting Started

Prerequisites

The program files require a working copy of GAUSS 18+. Many can be run on earlier versions with some small revisions.

The icss library includes:

1. The original GAUSS ICSS code provided by Josep Lluís Carrion-i-Silvestre.
2. All data files used in the Aptech blog.
3. All program files for replicating the examples in the Aptech blog.

Installing

The icss library can be easily installed using the GAUSS Application Installer , as shown below:

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

Data

The data used in the blog is contained in four files

1. sp.dat
2. nik.dat
3. han.dat
4. ftse.dat

Example files

Three example files are included:

1. blog_icss.e - This file contains the GAUSS code to perform all estimations in the blog.
2. example.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 icss library in the gaussHome > pkgs > icss > examples directory.

Authors

Erica Clower
Aptech Systems, Inc