Time Series Modelling 4 is a comprehensive package for linear and nonlinear time series modelling. It is free to private individuals for academic and educational purposes.
Support is not offered, but comments, feedback and bug-reports (also donations) are always welcome. TSM runs under Ox 8, and the console version of Ox is free to students and academics. Commercial users require a licence for TSM and for Ox Professional
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, probability and critical value look-up for all the standard test distributions, and a front-end for the Ssf state space modelling package.
The current release of TSM (Version 4.51) runs under Jurgen Doornik's Ox 8 programming system in Microsoft Windows (7, 8 and 10); Download the console version from http://www.doornik.com/. Earlier versions require Ox 7.2.
Knowledge of the Ox language is not a requirement, and its function is transparent to the user in normal use. Ox Console is freeware for academic teaching and research purposes, but not to non-academic users — in particular, businesses and government agencies. A TSM licence will be supplied to such users only on the explicit understanding that it will be used with Ox Professional , not the free console version. Purchasing information for Ox is obtainable from Timberlake Consultants Ltd at http://www.timberlake.co.uk/.
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.
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.
Install Ox 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 8 is a Windows application, but it can run on a Mac using the free Wine package. The full installation procedure is described in Appendix A of the documentation. Here are links to some files needed for the 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.
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.
TSM is under constant development. New features and refinements to the interface are added regularly, and bugs are fixed as soon as they are discovered or reported. This means that upgrades are posted to this site quite frequently. 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 (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.
TSM Discussion List ...
To sign up to the new list, go to http://www.jiscmail.ac.uk/. The list is called TSM-USERS.
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 now 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 the new 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
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.
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.
Email address for bug reports and general correspondence is tsmail at timeseriesmodelling dot com,