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
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