GAUSS blog: A Simple Test for Structural Breaks in Variance
This code accompanies the Aptech blog A Simple Test for Structural Breaks in Variance which was published on 11/30/2018.
The program files require a working copy of GAUSS 18+. Many can be run on earlier versions with some small revisions.
The icss library includes:
- The original GAUSS ICSS code provided by Josep Lluís Carrion-i-Silvestre.
- All data files used in the Aptech blog.
- All program files for replicating the examples in the Aptech blog.
The icss library can be easily installed using the GAUSS Application Installer , as shown below:
- Download the zipped folder icss.zip.
- Use the GAUSS Application Installer by selecting Tools>Install Application.
- Before using the functions created by icss you will need to load the newly created icss library. This can be done in a number of ways:
- Navigate to the Library Tool View Window and click the small wrench located next to the icss library. Select Load Library.
library icsson the command line.
- Put the line
library icss;at the beginning of your program files.
The data used in the blog is contained in four files
Three example files are included:
- blog_icss.e - This file contains the GAUSS code to perform all estimations in the blog.
- example.e - This file contains the original example provided by Josep Lluís Carrion-i-Silvestre .
Note: All data files and program files for the blog will be installed in with the icss library in the gaussHome > pkgs > icss > examples directory.