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