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.
- New feature: Add cross-product covariance computation option for
- Bug fix: Hessian computation could fail and report an error in certain cases.
- Rename table internal table creation functions to avoid potential name conflicts with other packages.
- Bug fix: Graph formatting fix to
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.