Websites on Time Series Analysis: Brodgar Program package used for estimating common trends, seasonal components and cycles in short, non-stationary multivariate time series. Based on dynamic factor analysis. CaterpillarSSA Based on the model-free method of time series analysis Caterpillar-SSA (Singular Spectrum Analysis). The result of the Caterpillar-SSA processing is identification, analysis and forecast of additive components of time series (trends, periodicities, noise). The program can be applied to multivariate analysis/forecasting and change-point detection. DEMETRA Free user-friendly interface to Tramo/Seats and X-12-Arima for automated applications and for detailed time series analysis. JMulTi Time series analysis program, written in Java, to accompany book "Applied Time Series Analysis", by Helmut Lutkepohl and Markus Kratzig. kSpectra Toolkit Using novel tools such as singular spectrum analysis and multitaper method, time series can be decomposed into noise and predictable components - trends and oscillatory modes, which can be reconstructed and forecast. Neuro: Dynamic Time Series Analysis Features the visualization of the multi-channel, multi-frequency digitized data, discrimination, correlation analysis, spectrum, expected density and other functions. [web:reg] [free Excel Add-Ins (Hodrick Prescott, Bandpass, ADF, ARIMA, Correlogram...)] My programs are primarily econometrical Excel Add-Ins which are written in VBA or C++. Add-Ins have the great advantage that you can work directly from Excel.
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