Hi everyone,
(Sorry for cross-posting, this message has also been sent to the Ox-users
list.)
The package TSMod (formerly LMMod) has been available in various
versions for a while now. I continue to tinker, but I guess it's now
settling into a finalized form, prior to the next major upgrade at least.
It is free for academic research and teaching, and can be downloaded from
http://www.cf.ac.uk/carbs/econ/davidsonje/software.html
While an Ox program, TSMod32 runs as a stand-alone GUI application, under
Windows or Linux, using the Java Runtime Environment. It can be started from
an icon on the desktop and is controlled entirely by menus and dialogs, with
Ox running transparently in the background.
The package estimates a range of time series models including ARIMA,
ARFIMA, several ARCH/GARCH variants, and Markov-switching models.
Regressors can be included in various modes, such as "error dynamics" and "
structural dynamics". It offers full graphics capabilities, data
manipulation, routine diagnostics, forecasting, and the ability to impose
and test parameter restrictions.
Other nonlinear time series models such as bilinear, SETAR, ESTAR,
stop-break, etc. etc., can also be handled by supplying the Ox code, and the
user-defined equation can be combined with the built-in model features
(e.g., have ARCH residuals, or exhibit Markov switching). Estimators include
OLS, GMM, time domain MLE for Gaussian, Student-t and skewed-Student
disturbances, and Whittle estimation for ARFIMA models. The estimation
module can also be run without the Java front end, and called from another
Ox program. This provides both a straightforward command line operating
mode, if preferred, and the ability to (for example) incorporate the code in
Monte Carlo simulations.
Since further tweaks and bugfixes are always probable, I am putting together
a mailing list of users who would like to be notified when new releases
appear. If you would like to be added to the list, please reply to this
message.
I hope you fnd TSMod32 useful.
James
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James Davidson
Professor of Econometrics
Cardiff Business School
Colum Drive, Cardiff CF10 3EU, UK
Phone: 02920 874558
Fax: 02920 874419
Home Phone/Fax: 01974 282319
Email: [log in to unmask]
Web: http://www.cf.ac.uk/carbs/econ/davidsonje
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