ARIMA

• ARMA
• ARMAX
• Standard and robust variance estimates
• Linear constraints
• Multiplicative seasonal ARIMA

ARCH

• GARCH
• APARCH
• EGARCH
• NARCH
• AARCH
• GJR and more
• ARCH in mean
• Standard and robust variance estimates
• Multiplicative deterministic heteroskedasticity
• Linear constraints

Time-series functions

• String conversion to date: daily, weekly, monthly, quarterly, half-yearly, yearly
• Dates from numeric arguments
• Date literal support
• Periodicity conversion, e.g., daily date to quarter
• Date ranges

Time-series operators

• L, lag
• D, differences
• S#, seasonal lag

Time-series time and date formats

• Default formats for clock-time daily, weekly, monthly, quarterly, half-yearly, yearly
• High-frequency data with millisecond resolution
• User-specified formats

Rolling and recursive estimation

Regression diagnostics

• LM test for ARCH effects
• Breusch–Godfrey LM test for serial correlation
• Durbin alternative test for serial correlation
• Durbin–Watson statistic

Regression with AR(1) disturbances

• White’s method for heteroskedasticity robust variances
• Two-step or iterated methods
• Cochrane–Orcutt, Prais–Winsten, and ARMA/ARIMA estimators

VAR/SVAR/VECM

• Vector autoregression (VAR)
• Structural vector autoregression (SVAR)
• Vector error-correction models (VECM)
• Impulse–response functions (IRFs)
• Dynamic multipliers
• Forecast-error variance decompositions (FEVD)
• Static and dynamic forecasts
• Diagnostics and tests
  • Cointegration tests
  • Granger causality tests
  • LM tests for residual autocorrelation
  • Tests for normality of residuals
  • Lag order selection statistics
  • Stability analysis using eigenvalues
  • Wald lag exclusion statistics
• Graphical and tabular presentations and comparisons of IRFs and FEVDs
• IRF management tools

Time-series smoothers

• Moving average (MA)
• Single exponential
• Double exponential
• Holt–Winters nonseasonal exponential
• Holt–Winters seasonal exponential
• Nonlinear
• Forecasting and smoothing

Graphs and tables

• Autocorrelations and partial correlations
• Cross-correlations
• Cumulative sample spectral density
• Periodograms
• Line plots
• Range plot with lines

Tests for white noise

• Portmanteau’s test
• Bartlett’s periodogram test

Tests for unit roots

• Dickey–Fuller
  • Modified Dickey–Fuller t test proposed by Elliott, Rothenberg, and Stock
  • Augmented Dickey–Fuller test
• Phillips–Perron

Support for Haver Analytics database