In GAUSS the tspdlib econometric package for Time Series and Panel Data Methods covering unit root, co-integration & causality tests. It provides extensive coverage of testing in the presence of structural breaks.

The library can be found for free download on our Aptech GitHub page at https://github.com/aptech/tspdlib .

In GAUSS 20 + this can be directly downloaded, installed, and updated using the GAUSS package manager ( https://www.aptech.com/blog/gauss-package-manager-basics/ ).

In earlier versions, the tspdlib can be installed using the Application Installer ( https://www.aptech.com/support/installation/using-the-applications-installer-wizard/ ).

Finally, a number of Aptech blogs that might be useful for learning more about unit root tests and/or cointegration tests in GAUSS:

1. A Guide to Cointegration Tests in GAUSS ( https://www.aptech.com/blog/a-guide-to-conducting-cointegration-tests/ )

2. How to Conduct Unit Root Tests in GAUSS ( https://www.aptech.com/blog/how-to-conduct-unit-root-tests-in-gauss/ )

3. Introduction to the Fundamentals of Time Series Analysis ( https://www.aptech.com/blog/introduction-to-the-fundamentals-of-time-series-data-and-analysis/ )

4. Unit Root Tests with Structural Breaks ( https://www.aptech.com/blog/unit-root-tests-with-structural-breaks/ )

5. Panel data, structural breaks and unit root testing ( https://www.aptech.com/blog/panel-data-structural-breaks-and-unit-root-testing/ )

Erica