Time Series Analysis

Program package used for estimating common trends, seasonal components and cycles in short, non-stationary multivariate time series. Based on dynamic factor analysis.

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Software package for data exploration, univariate analysis, multivariate analysis and time series analysis. Two statistical freebies (information on some of the 95% of the statistical methods described in the 680 page Springer book Analysing Ecological Data by Zuur et al. (2007) were done in
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2. CaterpillarSSA

Based on the model-free method of time series analysis Caterpillar-SSA (Singular Spectrum Analysis). The result of the Caterpillar-SSA processing is identification, analysis and forecast of additive components of time series (trends, periodicities, noise). The program can be applied to multivariate analysis/forecasting and change-point detection.

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The site is devoted to a method for time series analysis and forecasting.
Time series analysis and forecasting The site is devoted to 'Caterpillar' (another name is SSA - Singular Spectrum Analysis), a powerful method of time series analysis and forecasting. The 'Caterpillar'-SSA is a model-free technique of time series analysis. It combines advantages of other methods,

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3. JMulTi

Time series analysis program, written in Java, to accompany book "Applied Time Series Analysis", by Helmut Lutkepohl and Markus Kratzig.

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4. [web:reg] [free Excel Add-Ins (Hodrick Prescott, Bandpass, ADF, ARIMA, Correlogram...)]

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JMulTi Time Series Analysis with bugfix in SVAR/SVEC analysis - a Java to R communications library based on jstatcom A textbook covering recent methodological developments in econometrics. The topics include VAR, VEC, SVAR, SVEC, STR and nonparametric time series modelling. All examples in
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My programs are primarily econometrical Excel Add-Ins which are written in VBA or C++. Add-Ins have the great advantage that you can work directly from Excel.

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[web:reg] econometrical excel add-ins
[web:reg] is a popular web-site for econometrical Excel Many companies, students and private persons are using my Excel Add-Ins. In May I'll start a new job. This meens that I have no time to develop The Hodrick Prescott filter (HP filter) is a flexible detrending method that is widely used in

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5. kSpectra Toolkit

Using novel tools such as singular spectrum analysis and multitaper method, time series can be decomposed into noise and predictable components - trends and oscillatory modes, which can be reconstructed and forecast.

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