adf_test ()

int
adf_test (int order,
          const int *list,
          DATASET *dset,
          gretlopt opt,
          PRN *prn);

Carries out and prints the results of the Augmented Dickey-Fuller 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 first-differencing 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).

kpss_test ()

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 first-differencing before testing; OPT_V for verbose operation.

levin_lin_test ()

int
levin_lin_test (int vnum,
                const int *plist,
                DATASET *dset,
                gretlopt opt,
                PRN *prn);

Carries out and prints the results of the Levin-Lin-Chu 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 unit-specific 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.

engle_granger_test ()

int
engle_granger_test (int order,
                    const int *list,
                    DATASET *dset,
                    gretlopt opt,
                    PRN *prn);

Carries out the Engle-Granger 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.

get_urc_pvalue ()

double
get_urc_pvalue (double tau,
                int n,
                int niv,
                int itv);

Retrieves the p-value for tau from the Dickey–Fuller unit-root test or the Engle–Granger cointegration test, as per James MacKinnon (1996).

kpss_critvals ()

gretl_matrix *
kpss_critvals (int T,
               int trend,
               int *err);