Time Series Analysis

A range of estimators for time series modeling are presented, including autoregressive and moving average models, ARMAX models, GARCH and GARCH-in-mean models. We also provide a set of analysis tools, such as spectral density estimation, ACF and PACF, Phillips-Perron tests, the Newey-West estimator, etc.

Model Frameworks

  • Box-Jenkins ARIMA
  • ARMAX
  • ARCH, GARCH, GARCH(m)
  • Geometric lag model

Statistics

  • Autocorrelation
  • Partial autocorrelation
  • Phillips-Perron unit root tests
  • Spectral density estimator

Tools

  • Identification: ACF and PACF
  • Box-Pierce and Box-Ljung tests
  • Dates: yearly, quarterly, monthly
  • Unit root tests: Phillips and Perron
  • Dickey-Fuller test
  • Spectral density estimator
  • CUSUM test

Graphics

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

Time series analysis using LIMDEP and NLOGIT

Regression

  • 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