Statistics & Graphics: Descriptive Statistics & Graphical Tools for Time Series
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
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