gauss-carrion-library

What is GAUSS?

GAUSS is an easy-to-use data analysis, mathematical and statistical environment based on the powerful, fast and efficient GAUSS Matrix Programming Language. GAUSS is a complete analysis environment with the built-in tools you need for estimation, forecasting, simulation, visualization and more.

What is the GAUSS carrion library?

The GAUSS carrion library is a collection of GAUSS codes developed by Josep Carrion-i-Silvestre. The raw codes provided by Carrion-i-Silvestre have been modified to make use of GAUSS structures.

Getting Started

Prerequisites

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

Installing

GAUSS 20+ The GAUSS Carrion library can be installed and updated directly in GAUSS using the GAUSS package manager.

GAUSS 18+ The GAUSS Carrion library can be easily installed using the GAUSS Application Installer, as shown below:

1. Download the zipped folder carrionlib.zip from the Carrion Library Release page.

2. Select Tools > Install Application from the main GAUSS menu.
   

3. Follow the installer prompts, making sure to navigate to the downloaded carrionlib.zip.

4. Before using the functions created by carrionlib you will need to load the newly created carrionlib library. This can be done in a number of ways:

• Navigate to the Library Tool Window and click the small wrench located next to the carrionlib library. Select Load Library.
  
• Enter library carrionlib in the Program Input/output Window.
• Put the line library carrionlib; at the beginning of your program files.

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

Supported

src file	Reference	Example File	Procedures
rsperron.src	Carrion-i-Silvestre, JL; Samson, A.; Artís, M. (1999). Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks. Economics Letters, 63, pp. 279 - 283 .	None	coint, valors
icss.src	Samson, A ..; Aragon, V.; Carrion-i-Silvestre, JL (2004).. Testing for changes in the unconditional variance of financial time series. Revista de Economía Financiera, 4, pp. 32 - 53.	icss.e	icss
pu_mp.src	Moon and Perron (2004). Testing for unit root in panels with dynamic factors. Journal of Econometrics, 122 (1).	pu_gdp.e, pu_money.e	pu_mp04
coikpss.src	Carrion-i-Silvestre, JL; Sansó, A. (2006). Testing the null of cointegration with structural breaks. Oxford Bulletin of Economics and Statistics, 68, pp. 623 - 646 .	coinend1.e, coinkpss1.e	coint, valors
msbur.src	Carrion-i-Silvestre, JL; Kim, D.; Perron, P. (2009). GLS-based unit root tests with multiple structural breaks under both the null and alternative hypotheses. Econometric Theory, 25, pp. 1754 - 1792 .	msbur.e	panelbreak
brcode2_noprint.src, panicbrk.src	Bai, J.; Carrion-i-Silvestre, JL (2009).Structural changes, common stochastic trends, and unit roots in panel data. The Review of Economic Studies, 76, pp. 471 - 501 .	panelbrk.e	msbur_gls
code09.src	Carrion-i-Silvestre, JL; Surdeanu, L. (2011). Panel cointegration rank test with cross-section dependence. Studies in Nonlinear Dynamics & Econometrics, 15 (4).	mqtest_gdp.e, mqtest_money.e, panel_2011.e	msb_min, msb
brkcoint.src	Bai, J.; Carrion-i-Silvestre, J.L. (2013). Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors. Econometrics Journal, 16, pp. 222 - 249 .	adfrc.e, coinend1_f.e, coinkpss1_f.e	coint
brkcoint.src, factcoint.src	Banerjee, A.; Carrion-i-Silvestre, JL (2015) . Cointegration in panel data with structural breaks and cross-section dependence. Journal of Applied Econometrics, 30 (1), pp. 1 - 23.	mqtest.e, brkfactors_heterog1.e, brkfactors_heterog_minSSR_iter.e	factcoint_iter, MQ_test
cadfcoin_multiple.src	Banerjee, A.; Carrion-i-Silvestre, JL (2017) . Testing for panel cointegration using common correlated effects estimators. Journal of Time Series Analysis, 38 (4), pp. 610 - 636.	cadfmultiple.e	cadfcoin_multiple

Authors

Erica Clower
Aptech Systems, Inc