TSMT Examples

TSMT Examples

  • arimaFit MLE estimation of ARIMA models
  • arimaPredict post-estimation ARIMA model forecasting
  • arimaSS State space estimation of ARIMA models
  • ecmFit MLE estimation of error correction models
  • garchFit MLE estimation of standard univariate GARCH models
  • garchGJRFit MLE estimaton of asymmetric GARCH models
  • garchMFit MLE estimation of GARCH-in-mean models
  • igarchFit MLE estimation of integrated GARCH models
  • kalmanFilter filtering of state space models
  • lsdvFit bias-corrected least squares dummy variables models
  • rolling estimation of rolling and recursive OLS models
  • sarimaSS state space estimation of SARIMA mdels
  • sbreak estimation of structural break models
  • switchFit estimation of Markov Switching Models
  • tarTest estimation of threshold autoregressive models
  • tccsFit estimation of one-way random effects and fixed effects models
  • varmaFit MLE estimation of VARIMA models
  • varmaPredict post-estimation VARIMA forecasting

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