Data Description and Graphics: Descriptive Statistics and Graphical Tools for Time Series

Plot of regression forecasts using LIMDEP or NLOGITRegression

  • ARMA and ARMAX regression
  • GARCH and GARCH in mean
  • Durbin-Watson test
  • Godfrey/Breusch-Pagan test
  • CUSUM and CUSUM squares tests
  • Autocorrelation: Prais-Winsten, maximum likelihood
  • AR(p) regression
  • Hatanaka estimator

Graphics

  • Line plots
  • Multiple time series plots
  • Plot forecasts from ARMAX models
  • CUSUM plot
  • Time series dating

Statistics

  • Autocorrelation
  • Partial autocorrelation
  • Box-Pierce and Box-Ljung tests
  • Phillips-Perron unit root tests
  • Spectral density estimator