Re: which software is the best for time series modeling?

beliavsky_at_aol.com
Date: 02/27/05

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    Date: 26 Feb 2005 19:49:40 -0800

    lucy wrote:
    > Hi all,
    >
    > I am a Matlab user. I notice that Matlab has a Financial Data time
    series
    > toolbox. I am trying to play around with it these days. But I also
    want to
    > know about other time series modeling softwares... I want to know
    their
    > feature differences. is there a survey for such softwares?
    >
    > Thanks a lot!

    Some time series programs, in alphabetical order, are

    ASTSA, AutoBox, ITSM2000, Microfit, OxMetrics, RATS, SCA, STAMP .

    You can Google for links. I don't know of a survey. Which program to
    get depends in part on what kinds of models you want to estimate.
    Almost any time series program will estimate univariate ARMA models,
    but only a few may estimate (for example) cointegrated vector
    autoregressions or multivariate ARMA models. Version 5 of the IMSL
    Fortran library has a good selection of time series models.

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