Time Series Modelling 4.52 for Ox 9 is a comprehensive package for linear and nonlinear time series modelling.
TSM estimates and forecasts ARIMA and ARFIMA models, several GARCH, FIGARCH, APARCH and EGARCH variants, bilinear models, Markov-switching and smooth transition models. Most model features can be freely combined, and a flexible and intuitive formula-coding feature allows virtually any model to be set up. Alternatively, user-supplied Ox code can be integrated with the other features of the package. Dynamic equations systems can be specified and estimated easily, options including VARs, simultaneous systems, error correction systems, multivariate GARCH and regime switching. Panel data models can be estimated by least squares and GMM with either fixed or random effects.
A comprehensive set of diagnostic tools is implemented, including Q tests, LM tests, moment tests and parameter stability tests. Other features include nonparametric regression, log-periodogram regression, recursive and rolling estimation, automated model selection, Monte Carlo forecasting of general nonlinear time series models, and parametric bootstrap tests and confidence intervals. Cointegration analysis options include Johansen's rank tests, and MINIMAL analysis of restrictions on the cointegrating space. Any model that can be estimated can also be stochastically simulated, and Monte Carlo experiments can be performed with any combination of models for simulation and estimation. Data can be input from suitably formatted text files and spreadsheet formats such as .xls, .xlsx, .wks or .in7 (OxMetrics format), and transformed and edited interactively.
The program comes with a MS-Windows graphical user interface (GUI) — see the screenshots — and comprehensive graphics capabilities.It has special features designed to optimize the package for teaching, such as a simplified interface option, and the ability to distribute data and model specifications for classroom exercises in a single settings file - see the sample class exercises now available for download. Alternatively, TSM can be called from a user's Ox program and return the results to the console or a text file. In addition, TSM offers a number of neat utilities, including a calculator with 2D and 3D graphing features, a matrix calculator, spreadsheet editing for data sets, and probability and critical value look-up for all the standard test distributions.
TSM is free to private individuals for academic and educational purposes. Commercial and institutional users require a licence. Support is not guaranteed, but feedback and bug-reports (also donations) are always welcome.
Ox
TSM 4.52
runs under Jurgen Doornik's Ox
9 programming system
in Microsoft Windows (7, 8, 10, 11) for 64-bit computers. The Ox
Console package which includes the very useful text
editor OxEdit is freeware for academic teaching and research. Download
Ox Console 9.0 or later from
http://www.doornik.com/, Earlier versions
of TSM require Ox 8, and run on both 32-bit and 64-bit hardware. Knowledge of the Ox
language is not a requirement.
Its operation is
transparent to the user in normal use. The facility
exists to run user-created Ox code from the TSM platform. In turn, Ox 9
allows Python, R and GAUSS code to be called by Ox.
Java
Runtime Environment
The Windows graphical user interfaces are
provided by the Java Runtime Environment (JRE), which must be separately
installed on the user's system (32 or 64-bit, as
appropriate). The JRE is a free download from Sun
Microsystems at
http://java.com/. Even if
your system has Java pre-installed, it's recommended to upgrade to the
latest version.
Gnuplot
TSM uses the public domain package Gnuplot to supply graphical capabilities.
Although a compact older version of the Gnuplot executable is bundled with TSM
(32-bit version only),
install the Gnuplot package separately from
http://sourceforge.net/projects/gnuplot to enjoy the latest features. If found, this will be
used by TSM automatically.
Installing TSM
Install Ox 9 and the JRE first. Then simply run the setup file tsmod4.??-??-??-??_setup.exe
to create directories, copy files and set up the shortcuts needed to run
the program. Here, ??-??-?? denotes the version number. Uninstall TSM using the
"Add-Remove Programs" applet in the Windows control panel, or the Start Menu
shortcut.
Mac OS-X and Linux
TSM for Ox 9
is a Windows application. Earlier versions under Ox 8 have been successfully
run on a Mac using the free Wine package.
The installation procedure is described in Appendix A of the
documentation. This
has not been attempted for TSM 4.52 to date, but doubtless could be made to
work with the requisite expertise.
Here are links to some files used in the Ox 8 installation.
Wine Version 3.17 for OS-X This
release has been tested
under OS X
High Sierra.
Java 7 for Windows
Use this version since Java 8 is not guaranteed to work with Wine.
wine.zip. This file contains Windows fonts needed to run
TSM and also some Windows batch files.
Licencing
TSM is free to private individuals for academic and educational purposes.
Commercial and government use, and installation on networks, requires a licence. Please contact me for further information
about site licences.
Upgrades
TSM is under constant development.
Bugs are fixed as soon as they are discovered or reported
and new features and refinements to the interface are added from time to
time. The names of download files include the version number,
so it is easy to check if you are up to date. Once you have installed the main package, upgrading is a quick and easy
process. Simply run the installation program without uninstalling. Your folder
specifications will then be retained. Previous versions remain posted in case of any teething problem with
the latest release.
OxJapi
OxJapi
(Java application programming interface for Ox) is the system used to create
the TSM user interface. All the coding is done in the Ox language, which
makes this an especially attractive way of creating free-standing
applications using the Ox statistical engine and matrix computing
capabilities. Viewed as an alternative to the 'Modelbase' class distributed
with OxMetrics, OxJapi will require somewhat more programming effort by the
user to achieve comparable results, but then allows much more flexibility in
GUI design. TSM is, hopefully, a good illustration of what can be done with
it.
The original JAPI due to Merten Joost, designed to interface with C, Fortran
and other scientific languages, was ported to Ox by Christine Choirat and
Rafaello Seri. The present version, OxJapi 2 for Ox 7/8 developed by James Davidson and
Tim Miller, works with Java Swing and has a number of refinements and
enhancements of Joost's original design, including tables and drag-and-drop
capabilities.
Click here to download OxJapi 2 for 32-bit and
64-bit Windows. The zip file
includes the .dll and header files, an OxJapi class containing some
basic functions developed for TSM, documentation, and a range of sample
programs.
Teaching Materials
The file
TSM_Exercises.zip contains a set of exported ".tsm" settings files and
accompanying exercise sheets. These materials illustrate how TSM can be set
up for use in the classroom. Data, models, and preferred program settings
can be distributed to students in a single file. Simply double-clicking on
the file in Windows Explorer starts TSM and creates the data file and
ancillary files in the student's work space automatically. The examples
include regression exercises with the CAPM, and simple Monte Carlo
experiments to illustrate econometric concepts such as bias, efficiency and
test size and power. Download the file here.
Supplementary Coded Tests
TSM features improved methods for
running user-coded Ox modules. making it easy for researchers to share experimental code with other TSM users.
Simply load a specially exported settings file into TSM to un-bundle and
load the code. The posting below demonstrates this technology.
The TSM settings file Subsample_CointegrationTests.tsm contains bundled Ox code for the tests described in the paper "Tests for cointegration with structural breaks based on subsamples" by James Davidson and Andrea Monticini, Computational Statistics and Data Analysis 54,11 (2010) 2498-2511. Models to run the tests, and also to generate cointegrated data with breaks for use in simulation experiments are preinstalled. For programmers who like to do it themselves and can provide their own code for the basic test statistics, the Ox code file itself is here.
A Markov Switching
Example
This TSM settings file contains Hamilton's (Econometrica 1989)
model and data set. Drag this file into TSM and click the "Run" button to
estimate Hamilton's model. Check out the graphics, especially the smoothed
regime probabilities for comparison with the NBER recession indicator
series, which is included with the data set. Download
hamilton.tsm here.
Panel
Data Format: The Grunfeld Data
Here are two files to illustrate the TSM
format for panel data sets. They contain the well-known Grunfeld investment
data set; check out
http://mpra.ub.uni-muenchen.de/20841/1/Grunfeld.pdf for the background.
The data themselves (10 US companies over 20 years, 1935-54) are contained in
grunfeld_panel.xls. Loading suitably formatted data automatically puts TSM into panel
data mode.
From version 4.42, data files can now contain individual identifiers as text
strings, stored in numerical format. This file contains Grunfeld's company
identifiers in the !panel! column. Note, the cells appear as zeros when viewed in Excel
default format but are correctly rendered in TSM.
Contact
Email address for
bug reports and general correspondence is tsmail at timeseriesmodelling dot
com,