Time Series Modelling Version 4.51 User’s Manual James Davidson 2nd April 2019 This document is also accessible through the program Help pages. There is no conventional index since the text is revised regularly. The PDF file with the Search option in Acrobat Reader provide an effective indexing capability. Contents 0. Introduction ............................................................................................................ 7 0.1 TSM Basics ...................................................................................................... 7 1. ENTERING DATA ................................................................................................................ 7 2. MENUS AND DIALOGS. ..................................................................................................... 7 3. COMPUTING ESTIMATES, TESTS AND FORECASTS .................................................. 7 4. SAVING PROGRAM SETTINGS ........................................................................................ 8 5. ORGANIZING YOUR WORK ............................................................................................. 8 6. SIMULATION ....................................................................................................................... 8 7. MODELS ............................................................................................................................... 8 8. PROGRAMMING WITH TSM ............................................................................................. 9 9. TYPES OF MODEL .............................................................................................................. 9 10. SELECTING VARIABLES ................................................................................................. 9 11. VARIABLE "TYPES" ...................................................................................................... 10 12. PARAMETER VALUES ................................................................................................... 10 13. CODED FUNCTIONS ....................................................................................................... 10 14. SYSTEMS OF EQUATIONS ............................................................................................ 11 15. OUTPUT CONVENTIONS ............................................................................................... 11 0.2 How To .... .................................................................................................... 12 1. HOW TO LOAD A DATA SET .......................................................................................... 12 2. HOW TO PLOT DATA SERIES ......................................................................................... 12 3. HOW TO RUN A SIMPLE REGRESSION. ....................................................................... 12 4. HOW TO GENERATE QUARTERLY DUMMIES ........................................................... 13 5. HOW TO TAKE LOGARITHMS OF YOUR DATA ......................................................... 13 6. HOW TO TEST THE SIGNIFICANCE OF THE REGRESSION ...................................... 13 7. HOW TO TEST FOR A UNIT ROOT ................................................................................ 13 8. HOW TO ESTIMATE AN ARMA(p,q) MODEL ............................................................... 13 9. HOW TO FORECAST WITH AN ARMA/ARIMA MODEL ............................................ 14 10. HOW TO ESTIMATE A SIMPLE VAR MODEL ............................................................ 14 11. HOW TO ESTIMATE A GARCH MODEL ..................................................................... 15 1. User Interface ....................................................................................................... 16 1.1 The Menus ..................................................................................................... 16 1.2 Status Bar and Tool Bar ................................................................................. 17 1.3 The Results Window ...................................................................................... 18 1.4 Dialogs ........................................................................................................... 20 1.5 Entering Formulae ......................................................................................... 21 TYPING FORMULAE ............................................................................................................ 21 RESERVED NAMES .............................................................................................................. 24 MATRIX CALCULATIONS .................................................................................................. 25 1.6 File Drag-and-Drop ........................................................................................ 26 2. File ....................................................................................................................... 27 2.0 File: General Information .............................................................................. 27 1 © James Davidson 2019 MRU LISTS ............................................................................................................................. 28 FILE DIALOG ......................................................................................................................... 28 RESTART ................................................................................................................................ 28 2.1 File / Settings ................................................................................................. 29 IMPORTING MODELS .......................................................................................................... 30 EXPORTING SETTINGS ....................................................................................................... 31 SETTINGS AS TEXT .............................................................................................................. 31 2.2 File / Data ....................................................................................................... 32 DATA DESCRIPTIONS ......................................................................................................... 33 MISSING OBSERVATIONS .................................................................................................. 34 PERIODIC OBSERVATIONS AND DATES ......................................................................... 34 PERIODIC DATES ................................................................................................................. 34 CALENDAR DATES .............................................................................................................. 35 DATE LABELS ....................................................................................................................... 35 PANEL DATA ......................................................................................................................... 36 SPREADSHEET EDITING ..................................................................................................... 37 TROUBLESHOOTING ........................................................................................................... 38 2.3 File / Results .................................................................................................. 38 2.4 File / Listings ................................................................................................. 39 LISTING FILES....................................................................................................................... 40 SPREADSHEETS .................................................................................................................... 41 2.5 File / Tabulations ........................................................................................... 41 2.6 File / Graphics ................................................................................................ 42 2.7 File / Folders .................................................................................................. 43 3. Setup .................................................................................................................... 45 3.1 Setup / Set Sample ........................................................................................ 45 3.2 Setup / Data Sets ............................................................................................ 46 3.3 Setup / Data Transformations and Editing ..................................................... 48 EDIT COMMANDS ................................................................................................................ 48 TRANSFORM COMMANDS ................................................................................................. 52 3.4 Setup / Data Spreadsheet ............................................................................... 55 3.5 Setup / Make Data Formula ........................................................................... 56 TEXT BOX CONTROLS ........................................................................................................ 57 3.6 Setup / Automatic Model Selection ............................................................... 57 AUTOMATIC REGRESSOR SELECTION ........................................................................... 57 MULTIPLE ARMA MODELS ...............................................................................................