TIME SERIES MT
New Times Series MT 3.0 provides for comprehensive treatment of time series models, including model diagnostics, MLE and state-space estimation, and forecasts. Time Series MT also includes tools for managing panel series data and estimating and diagnosing panel series models, including random effects and fixed effects.
UNIVARIATE TIME-SERIES MODELS:
CONDITIONAL MEAN MODELS:
- Autoregressive moving average (ARMA)
- Seasonal autoregressive moving average (SARMA)
- Autoregressive moving average with exogenous variables (ARMAX)
- Autoregressive integrated moving average (ARIMA)
- Seasonal autoregressive integrated moving average (SARIMA)
CONDITIONAL VARIANCE MODELS:
- Generalized autoregressive conditional heteroscedasticity (GARCH)
- GARCH with a unit root (IGARCH)
- GARCH with asymmetrical effects (GJRGARCH)
- GARCH-in-mean (GARCHM)
MULTIVARIATE TIME-SERIES MODELS:
CONDITIONAL MEAN MODELS:
- Vector autoregressive moving average (VARMA)
- Vector autoregressive moving average with exogenous variables (VARMAX)
- Seasonal vector autoregressive moving average (SVARMA)
- Seasonal vector autoregressive moving average with exogenous variables (SVARMAX)
- Vector error correction models (VECM)
PANEL DATA AND OTHER MODELS:
- Fixed effects and random effects models (TSCS)
- Least squares dummy variable (LSDV)
- Kalman Filter for state-space modeling.
NONLINEAR TIME SERIES MODELS:
- Switching regression
- Structural break models
- Threshold autoregressive models (TAR)
PARAMETER INSTABILITY TESTS:
- Chow forecast
- CUSUM Test of Coefficient Equality
- Hansen-Nymblom test
- Rolling Regressions
UNIT ROOT AND COINTEGRATION TESTS
- Augmented Dickey-Fuller
- Breitung and Das
- Im, Pesaran, and Shin (IPS)
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- Johansen’s trace and maximum eigenvalue statistic
- Levin-Lin-Chu (LLC)
- Phillips-Perron
- Zivot and Andrews
MODEL SELECTION AND ASSESSMENT
- Akaike information criterion (AIC)
- Adjusted R-Squared
- Schwartz Bayesian information criterion (BIC)
- Kwiatkowski–Phillips–Schmidt–Shin (KPSS)
- Likelihood ratio statistic (LRS)
- Multivariate Portmanteau statistic
- Wald statistic
- Friedman, Frees and Pesaran tests for cross-sectional independence in panel data models.
EXAMPLES
- Univariate Time-Series Models:
- Conditional mean models:
- Autoregressive moving average (ARIMA)
- Seasonal autoregressive moving average (SARIMA)
CONDITIONAL VARIANCE MODELS:
- Generalized autoregressive conditional heteroscedasticity (GARCH)
- Integrated GARCH.
- Asymmetric GARCH.
- GARCH-in-mean.
MULTIVARIATE TIME-SERIES MODELS:
CONDITIONAL MEAN MODELS:
- Vector autoregressive moving average (VARIMAX).
- Error correction models.
PANEL DATA AND OTHER MODELS:
- One-way fixed and random effects for balanced and unbalanced panels.
- Least squares dummy variables.
- Kalman Filter.
NONLINEAR TIME SERIES MODELS:
- Markov-Switching model.
- Sturctural break model.
- Threshold Autoregressive Model.
- Rolling and recursive OLS estimation.
- Platform: Windows, Mac and Linux.
- Requirements: GAUSS/GAUSS Engine 18 or higher.