Update Time Series Application Module TSMT

by aptech · Published December 9, 2019 · Updated February 24, 2020

Introduction

The latest Time Series MT (TSMT) 3.1.0 is now available for release. If you own TSMT 3.0 the update is available for free.

This minor update adds a new option to use the cross-product covariance computation for some estimation routines and includes some bug fixes.

Change Log

1. New feature: Add cross-product covariance computation option for varmaFit, ecmFit, svarmaxmt, and garchFit.
2. Bug fix: Hessian computation could fail and report an error in certain cases.
3. Rename table internal table creation functions to avoid potential name conflicts with other packages.
4. Bug fix: Graph formatting fix to cusum and sbreak graphs.

The Time Series MT Package

The GAUSS TSMT application module provides a comprehensive suite of tools for MLE and state-space estimation, model diagnostics and forecasting of univariate, multivariate and nonlinear time series models.