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int  adf_test () 
int  kpss_test () 
int  levin_lin_test () 
int  engle_granger_test () 
double  get_urc_pvalue () 
gretl_matrix *  kpss_critvals () 
Implementations of the (Augmented) DickeyFuller test and the Kwiatkowski, Phillips, Schmidt and Shin test for the presence of a unit root in a time series, along with the EngleGranger test for cointegration of two or more time series.
The Johansen cointegration test is also provided in
libgretl; see johansen_test()
and johansen_test_simple()
.
int adf_test (int order
,const int *list
,DATASET *dset
,gretlopt opt
,PRN *prn
);
Carries out and prints the results of the Augmented DickeyFuller test for a unit root.
By default two tests are performed, one for a model
including a constant and one including a linear trend. The
deterministic components of the model can be controlled via
flags in opt
as follows: OPT_N, omit the constant; OPT_C,
run just one test using the constant; OPT_T, one test including
linear trend; OPT_R, one test including a quadratic trend;
OPT_D, include seasonal dummy variables.
Additional flags that may be given in opt
include:
OPT_V for verbose operation; OPT_F to apply firstdifferencing
before testing; OPT_G for GLS preprocessing as in Elliott, Rothenberg
and Stock (incompatible with OPT_N, OPT_R, OPT_D); OPT_E to
"test down" from a given maximum lag order (see the entry for
"adf" in the Gretl Command Reference for details).
int kpss_test (int order
,const int *list
,DATASET *dset
,gretlopt opt
,PRN *prn
);
Carries out and prints the results of the KPSS test for
stationarity. Flags that may be given in opt
include:
OPT_T to include a linear trend; OPT_F to apply
firstdifferencing before testing; OPT_V for verbose
operation.
int levin_lin_test (int vnum
,const int *plist
,DATASET *dset
,gretlopt opt
,PRN *prn
);
Carries out and prints the results of the LevinLinChu test for a unit root in panel data.
The list plist
should contain either a single lag order
to be applied to all units, or a set of unitspecific
orders; in the latter case the length of the list must
equal the number of panel units in the current sample
range. (This is a gretl list: the first element holds
a count of the number of elements following.)
By default a test with constant is performed, but the
(mutually exclusive) options OPT_N and OPT_T in opt
switch to
the case of no constant or constant plus trend respectively.
The OPT_Q flag may be used to suppress printed output.
int engle_granger_test (int order
,const int *list
,DATASET *dset
,gretlopt opt
,PRN *prn
);
Carries out the EngleGranger test for cointegration.
Flags that may be given in opt
include: OPT_N, do
not an include a constant in the cointegrating regression;
OPT_T include constant and linear trend; OPT_R, include
quadratic trend; OPT_S, skip DF tests for individual variables;
OPT_E, test down from maximum lag order (see the entry for
"adf" in the Gretl Command Reference for details); OPT_V,
verbose operation.
double get_urc_pvalue (double tau
,int n
,int niv
,int itv
,gretlopt opt
);
Retrieves the pvalue for tau
from the Dickey–Fuller
unitroot test or the Engle–Granger cointegration
test, as per James MacKinnon (1996).
tau 
test statistic. 

n 
sample size (or 0 for asymptotic result). 

niv 
number of potentially cointegrated variables (1 for simple unitroot test). 

itv 
code: 1, 2, 3, 4 for nc, c, ct, ctt models respectively. 

opt 
give OPT_G if GLS adjustment was applied in
the test from which 