Times Series MT provides for comprehensive treatment of time series models, including model diagnostics, MLE estimation, and forecasts. Time Series MT tools covers panel series models including random effects and fixed effects, while allowing for unbalanced panels.



Estimate models with multiple structural breaks

Estimate Threshold Autoregressive models

Rolling and recursive OLS estimation

Least Squares Dummy Variable model for multivariate data with bias correction of the parameters.

Hamilton’s Regime-Switching Regression model

Seasonal VARMAX models

Time Series Cross-Sectional Regression models

Weighted Maximum Likelihood


ARIMA model estimation and forecasts

Exact full information maximum likelihood estimation of VARMAX, VARMA, ARIMAX, and ECM models.

Standard time series diagnostic tests including unit root tests, cointegration tests, and lag selection tests.



Structural break model.

Threshold Autoregressive Model.

Rolling and recursive OLS estimation.

ARMA model.

Estimate and the autocorrelations, autocovariances, and coefficients of a regression model with autoregressive errors of any specified order.

Markov-Switching model.

Provide a GAUSS procedure for estimation of the parameters of the Markov switching regression model.


Platform: Windows, Mac and Linux.


Requirements: GAUSS/GAUSS Light version 13.1 or higher.