TSM 4.50 (07/2018)
* Nonlinear GARCH-M implemented with user coding.
TSM 4.49 (04/2017)
* Apple Mac and Linux installations under Wine implemented.
* Bootstrap tests of I(1).
* New Fourier wild bootstrap algorithm.
* Enhanced Calculator, with new functions and integral evaluation.
TSM 4.48 (02/2016)
* Import model outputs in matrix calculator.
* Warp speed bootstrap outputs exportable.
* This version is free to individual users!
TSM 4.47 (09/2015)
* All settings and data continuously saved and restored. See
TSM Blog (23/9/15) for details.
* Extended tabulation for KPSS statistic p-values.
* Option to save results window between sessions
* Text search options in results window and data spreadsheet.
* Extended instrument selection option for IV/GMM.
* New spreadsheet editing options: insert/delete rows, and
create panel data guide columns.
* New installation options for font and icon sizes.
TSM 4.46 (07/2015)
* Autoregression option for dynamic models of discrete data.
* Zero-inflated option for ordered Probit and Poisson models.
* Kernel smoothing and Box-Cox options for data transformation.
* Documentation additions and revisions.
* GUI modifications for Windows 10.
TSM 4.45 (02/2015)
* A matrix calculator, for manual calculation of functions of sample
moment matrices (or any manually entered matrices).
* Big icons – installation option.
TSM 4.44 (10/2014)
* A calculator and function plotting utility.
* “Tanaka filter” for construction of fractional integration tests.
TSM 4.43 (07/2014)
* New stochastic simulation feature allows shocks to be constructed
by a formula with standard normal and uniform drawings.
* New functions available for calling from an Ox program.
* Sort model list by name and modification date.
TSM 4.42 (02/2014)
* Spreadsheet editing feature, allows editing of raw data files
containing guide columns with dates, date labels, indicators or
panel data information and hidden from the user in normal operations.
* Change to the EGARCH specification, subtraction of absolute shock
mean according to the likelihood model (optionally reversible, see
Options / General / Special Settings).
TSM 4.41 (01/2014)
* Stable (infinite variance) shocks can now be generated for use in
Monte Carlo experiments.
* The sieve-AR bootstrap technique for dependent data can now be
combined with any bootstrap variant.
* New bootstrap option "m/T", to set the bootstrap sample size (m) as
a fraction of the data sample (T).
* 2-sided option for p-value EDFs in Monte Carlo experiments.
TSM 4.40 (11/2013)
* 64-bit compilation released, to run with the 64-bit version of
TSM 4.39 (09/2013)
* Runs under Ox Version 7.
* “Warp speed Monte Carlo” option for experiments on bootstrap
* Any data transformation can be performed "on the fly" when
estimating a model. One-to-one invertible transformations allow
forecasts and fitted values to be reported for the data in original
* Nielsen-Jensen (2013) FFT algorithm for fractional differencing
TSM 4.38 (04/2013)
* New forecasting code produces analytic forecasts for a wider class
* Forecast error variance decompositions for dynamic multi-equation
* Graphics titles can be either removed or changed by the user.
TSM 4.37 (03/2013)
* EMF graphics format implemented.
* Changes to the forecasting options, the model description format
and regime switching options.
TSM 4.36 (08/2012)
* Andrews (1993) structural change test.
* Consistent specification tests.
* V/S test of short memory.
* Interface improvements including sorted model lists and Quick Model
* Principal components and cubic spline data transformation options.
TSM 4.35 (02/2012)
* State space modelling (requires installation of SsfPack 2.2).
* Series plotting with confidence bands.
* Improved design of Options / Graphics with Line Styles dialog.
TSM 4.34 (10/2011)
* Cusum of squares test.
* Stationary bootstrap option, static bootstrap option.
* Interface improvements: Values dialogs, list selection,
data formula dialog, multiple dataset handling, resizable data
TSM 4.33 (04/2011)
* Read/write support for Excel 2007/2010 “.xlsx” data files with Ox
TSM 4.32 (07/2010)
* Programmable graphics functions.
* New data-plotting feature allows correlogram, spectrum and QQ plots
of two or more variables to appear in one graph.
* Selectable graphics text size, selectable font for exported
* 'Logarithmic model' option without prior transformations
* Assignable toolbar buttons increased from two to six.
* Enhanced data entry and editing options, with pasting from the
TSM 4.31 (12/2009)
* Engle-Rothenberg-Stock tests of I(1).
* Robinson-Lobato test of I(0)
* Partial autocorrelations can be listed and plotted.
* Improved interface, model feature activation
TSM 4.30 (07/2009)
* Function optimization using analytic derivatives, implemented for
most models and estimators.
* Support for parallel computing using Condor HTC on a network.
* Improved forecast fan charts.
* Improved dialog design for Tests and Diagnostics.
* Ordered probit and logit modelling.
TSM 4.29 (01/2009)
* Supports file loading by “drag-and-drop”.
* Quick links from the Model menu to load and save
functions for stored models.
* Irregular panels supported.
* White heteroscedasticity test.
TSM 4.28 (12/2008)
* Work with multiple data sets in memory.
* Monte Carlo parallel processing option.
* Filter missing observations in sample selection.
TSM 4.27 (10/2008)
* New GUI interface using Java 'Swing', with user-selectable
'look and feel'.
* Data viewing and editing in a spreadsheet-format window.
TSM 4.26 (04/2008)
* Panel data estimation for fixed effects models (OLS, SUR, IV, 3SLS)
and single-equation random effects (GLS and ML).
* Improved graphing of confidence bands for forecasts and recursive
* Bierens' conditional moment test of functional form.
* New coded model option for simulations: nonlinear shocks.
* Data bootstrap, and sample selection by indicators.
* Hodrick-Prescott filter.
* Bivariate density plots.
TSM 4.25 (01/2008)
* Bootstrap test of I(0).
* 'RGB' scatter plots, with observation dates colour-coded.
* Improved Monte Carlo output format and EDF handling.
NOTE: further revision of EDF file format!
* New data editing/transformation options.
* Improved sample selection options.
* Consolidates a large number of small modifications and fixes
TSM 4.24 (06/2007)
* Improved facilities for running and sharing Ox code. Code files now
bundled with exported settings, and viewable from the Help menu.
* EDF files for tabulations of different sample sized can now be
merged. p-values are generated by interpolating the tabulations
according to actual sample size.
NOTE: EDF file and Ox function formats are changed in 4.24!
Files created with and for previous versions of TSM must be modified.
* External batch processing option for estimation and Monte Carlo
runs - allows multi-tasking and avoids tying up the GUI for long jobs.
* Improved plotting controls: legends and boxes.
TSM 4.23 (05/2007)
* Plug-in bandwidth selection and prewhitening for HAC
* New graphics options, including forecast fan charts, selectable
line widths, and 8 selectable line style options for series
TSM 4.22 (04/2007)
* Kiefer-Vogelsang-Bunzel (KVB) inference with inconsistent
covariance matrix estimation.
TSM 4.21 (01/2007)
* Nonlinear moving average (SPS) model feature, providing
close approximations to STOPBREAK and STIMA models.
* Recursive coded equations can include the lagged value as
* Extended options for coding nonlinear models, including
nonlinear ECMs, and nonlinear MAs using the recursion
* Panel to create/edit/view a model description. Text is saved
with the model.
* Forecast confidence bands now plotted in system forecasts.
System impulse response plot option.
TSM 4.20 (09/2006)
* Automatic regressor selection by optimizing info. criterion.
* Local Whittle ML long memory estimation.
* Nyblom-Hansen model specification tests.
* Coded (nonlinear) equilibrium relations.
* Supplied EDF option for critical values extended to Ox-coded
* Text files can be loaded into the results window for editing.
* "Restart" option, for one-click incorporation of changes to user's
* Randomized coded simulation models.
TSM 4.19 (06/2006)
* A formula parser enables three new features:
o Algebraic data transformations.
o Nonlinear parameter restrictions (replaces existing
o Nonlinear equation estimation - complements the existing
ability to compile Ox functions into the program. More
limited in scope, but much simpler to implement.
* Save and use tabulations of test EDFs. This feature implements size
correction and estimation of true test powers in simulation
experiments. Can also be used to make bespoke tabulations of
* "Save Selected" command - write selected variables from data set to
* Harris-McCabe-Leybourne (HML) test for long memory of
* Two assignable toolbar buttons.
* Improved implementation for supplied Ox-coded statistics.
TSM 4.18 (05/2006)
* Code recompiled under Ox 4.02.
* "Stop" button on toolbar to pause calculations.
* Data plots can be displayed directly, by clicking the variable list
in any dialog, and then the "Chart" button.
* Excel dates for weekly and daily data are read with the data, and
used in the output and plots.
TSM 4.17 (03/2006)
* User can interrupt program operations at any point - click the
"Running Man" button during execution to bring up a choice box with "Abort"
and "Continue" options. Progress indicator for numerical optimizations shows
the number of iterations and current criterion value.
* Improved code for setting model specifications. Parameter values
and settings are now preserved under deletion/restoration of regressors.
In systems, equations can be deleted/restored without losing values and
* Enhanced Monte Carlo module allows multiple experiments in a single
run. Experiments can also be extended with additional replications.
* 'User-supplied statistic' option allows the Monte Carlo module to
have a fully general application. The distribution of any function of
the data set, coded by the user in Ox, can be studied by simulation, after
using TSM's modelling facilities (or user-supplied code) to generate the
TSM 4.16 (01/2006)
* In the Windows installation, the program can now be started by simply
clicking on a ".tsm" (settings) file in Windows Explorer. These files
are identified by the TSM icon, as for the Start Menu shortcuts.
* A new File / Import Models... function allows model specifications
to be copied from one settings file to another.
* The File / Export... command is enhanced to save the data and
listings files as part of the ".tsm" file. A single settings file can
now record a complete working environment, including data, models,
graphs and parameter values, and be opened by a single keystroke on a
different installation. When an exported file is opened, the data and
listing files are recreated automatically in the Start-in directory.
* Additional resampling options - sieve-AR bootstrap.
* Scatter plots now show regression lines superimposed.
TSM 4.15 (12/2005))
has a redesigned interface. Here are the main changes from Versions 4.14 and earlier.
* The Estimation and Sample dialog has been replaced with a
simplified Set Sample dialog. This no longer has a toolbar button,
but is accessible as a floating window in all the model specification
* Estimator selection buttons and 'System of Equations' checkboxes
are now located as appropriate in the redesigned Linear Regression
and Dynamic Equation dialogs.
* A Parameter Bounds / Grid-Plotting checkbox is located in each
Values dialog. The Minimand option is selectable in Options /
Optimization and Run.
* Kernel selection for HAC estimators has been moved from Options /
General to a redesigned Options / Tests and Diagnostics dialog.
* The Options / Bootstrap and Simulation dialog is now renamed as
Simulation and Resampling, and controls both bootstrap and the
new subsampling options.
* The new "Dialog" toolbar button can be used in two ways. By default
it re-opens the last dialog closed, excepting dialogs with their
own buttons. Hover the mouse over it to see its current assignment.
Alternatively, it can be permanently assigned to one of a range of
dialogs normally accessible from the menus. Set your choice in
Options / General.
TSM 4.13 (09/2005))
* Bootstrap options, including block bootstrap and wild bootstrap.
TSM 4.12 (08/2005))
* DCC multivariate GARCH.
* Wald test for joint significance of regressors.
TSM 4.11 (04/2005))
* BEKK GARCH.
TSM 4.10 (03/2005))
·* Monte Carlo experiment option. Any model supported by the program
(including user-supplied code) can be simulated, and the same, or a
different, model fitted to the artificial data. Results reported
include estimator moments, bias/RMSE, quantiles and p-value EDFs of
test statistics. Also, kernel density/histogram plots of replications
* Model Manager - stores and retrieves complete model specifications,
including parameter values, forecasts, plots etc. This feature makes
it easy to work on two or more projects in the same session, to save
and recall a complete record of estimations, and also facilitates
Monte Carlo experiments
* Probit and logit models for binary data.
* Poisson and negative binomial models for count data.
* General error distribution (GED) maximum likelihood.
* Nonlinear error correction mechanisms, incorporating ESTAR and
asymmetric AR models
* Extended explained regime-switching option.
* User-supplied likelihood functions.
TSM 4.06 (01/2005)
* Log-periodogram regression option with Geweke-Porter-Hudak and
* File menu options for saving individual listings and graphics to
* New format for estimation results, now including parameter t