Codes
GAUSS and RATS Codes for Unit Root Tests and Cointegration Tests
Note: Please download the files at (Here in Dropbox Folder)
Disclaimer: These programs can be used by anyone at the user's discretion. The programs are believed to be correct but not guaranteed.
The best way is to look for proper code files from the above Dropbox folder.
Read the readme file, "1-readme.doc", for further information.
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My coauthor, Dr. Saban Nazlioglu, has written a Gauss package of the codes for Unit Root and Cointegration tests. It includes the codes of almost all of the methodology
papers I wrote for these topics. It includes even a few working papers that were not published. It is a remarkable work. Thank you, Saban.
https://docs.aptech.com/gauss/tspdlib/docs/tspdlib-landing.html
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Some of the Recent publications
Nazlioglu, S., Lee, J. (2020). "Response Surface Estimates of the LM Unit Toot Tests". Economics Letters. 192, Article 109136.
Code & data files: replication LMrsf EcoLet(2020).rar
Nazlioglu, S., Payne, J.E., Lee, J., Rayos-Velazquez, M., Karul, C. (2021). "Convergence in OPEC Carbon Dioxide Emissions: Evidence from New Panel Stationarity Tests with Factors and Breaks". Economic Modelling 100: 105498.
Code & data files: replication PS_Co2 EcoMod(2022).rar
Nazlioglu, S., Lee, J., Karul, C., You, Y. (2022). "Testing for stationarity with covariates: More Powerful Tests with Non-normal Errors". Studies in Nonlinear Dynamics & Econometrics 26(2): 191-203.
Code & data files: replication CovRalsLM SNDE(2022).rar
Pascalau, R., Lee, J., Nazlioglu, S., Lu, Y. O. (2022). "Johansen-type Cointegration Tests with a Fourier Function". Journal of Time Series Analysis 83(5): 828-852.
Code & data files: replication_JHFourier_JTSA(2022).zip
Or: appl_SBC_with_RC_RT.gss; appl5_Johansen-SCselection.gss; appl5_Johansen-SCVECM-Fourier_selection.gss; Copy of Killian.xlsx
Payne, J. E., Lee, J., Islam, M.T., Nazlioglu, S. (2022) “Stochastic Convergence of Per Capita Greenhouse Gas Emissions: New Unit Root Tests with Breaks and a Factor Structure”. Energy Economics 113, Article 106201.
Code & data files: replication GCH EneEco(2022).rar or replication_GCH_convergence EE economics 2022.zip
Nazlioglu, S., Lee, J., Tieslau, M., Karul, C., Yu, Y. (Forthcoming) “Smooth Structural Changes and Common Factors in Nonstationary Panel Data: An Analysis of Healthcare Expenditures”. Econometric Reviews.
Code & data files: replication PS_Co2 EcoMod(2022).rar
Note: For the codes of the Fourier based tests, see Dr. Enders' web site and check this folder.
RATS codes
LS_UROOT.SRC
LS_UROOT_Run.prg
Note: The latter reads the first code and computes the test results of all three tests.
Note: The official RATS code (estima.com) may give a slightly different result since it truncates the observations using max_lag in choosing the optimal lag.
Results
LS_UROOT_GDP.out
LS_UROOT_Health.out
Also summaries are given at
LS_UROOT_GDP_summary.out
LS_UROOT_Health_summary.out
Code for RALS-LM (residual augmented LS-LM) Tests
RALS_LM_UROOT_HEXP.prg
RALSLM_UROOT.SRC
RALS_CV_CALCULATOR.PRG
RALS_CV_CALCULATOR.xls
RALS_CV.xlsx
Health_Exp.xls
Health_Exp.txt
Codes for ADF tests
ADF_UROOT_HEXP.prg
ADF_UROOT.SRC
Some (old) Gauss Codes
(A) Panel Tests
Codes:
Panel_SP.g
Panel_One.g
Panel_two.g
Results:
Panel_SP_GDP.out
Panel_SP_Health.out
Panel_ONE_GDP.out
Panel_ONE_Health.out
Panel_TWO_GDP.out
Panel_TWO_Health.out
(A-2) Panel (transformed) Trend/Level Breaks Tests
Panel_CA_LM_Trend_or_Level_Breaks.g
Panel_CA_LM_Trend_Breaks_crit.dat
Panel_CADF_LM_Trend_Breaks_crit.txt
Panel_LM_Trend_Breaks_crit.dat
Panel_CA_LM_Trend_or_Level_Breaks_health.out
Panel_CA_LM_Trend_or_Level_Breaks.out
(B) Univariate Tests
Codes:
SP.g
LS_One.g
LS_two.g
Results:
SP_GDP.out
SP_Health.out
LS_ONE_GDP.out
LS_ONE_Health.out
LS_TWO_GDP.out
LS_TWO_Health.out
Response Surface Functions of the LM Unit root tests
Read me (word file): "Response Surface Estimates of the LM Unit Root Tests.docx"
webpage_LMrsf_cv.gss; this Gauss code illustrates how to obtain the critical values of the LM tests with breaks.
webpage_LMrsf_cv_pval.gss; this Gauss code illustrates how to obtain the critical values and p-values of the LM tests with breaks.
webpage_LMrsf_cv.xlsx; this excel file illustrates how to obtain the critical values of the LM tests with breaks.
webpage_LMrsf_cv.R; this R code illustrates how to obtain the critical values of the LM tests with breaks (in preparation).
Online_Appendix (March 25, 2020) revised.doc: This includes three tables. Table 3 presents the critical values based on the data-dependent lag selection procedures
Eviews Codes
Codes:
LS_one_eviews.prg
LS_two_evoews.prg
data file: GDP.WF1
Note: These codes do not compute the lag or break locations. Instead, they check
if the computaton of the regression from RATS or Gauss is correct or not.
The information on the estimated locations and lags is needed to run them.