Software and Books

Software and Books on Cycles Analysis

Cycles Research Institute is pleased to announce its new
Cycles Analysis & Timeseries Software called CATS.
This is a comprehensive and free package.

CATS is a system for storing many timeseries with different time bases including yearly, monthly, weekly, daily and many more. It comes with hundreds of collected time series from around the world, including both scientific and market data such as climate, astronomical, geophysical, economic, commodities, prices, and much more.

CATS can analyse series and determine cycles periods and phases precisely, and has many functions for manipulating data such as arithmetic, logs and transformations. It also includes mutivariate techniques like correlation, regression, factor analysis and other tools that are useful for model building for economics, climate and in general studying the causal pathways by which cycles are transmitted.

Times Series Analysis and Its Applications
by Robert H Shumway and David S Stoffer consists of a book, a free times series analysis package named ASTSA with comprehensive manual and lots of times series data. It is very comprehensive, including spectral analysis and ARIMA models and many data manipulations. Highly recommended.

The G Regression Program is an econometric regression and model-building program for the IBM PC and compatible computers. It is designed for estimation of regression equations with annual, quarterly, or monthly data. G takes its name from Carl Friedrich Gauss, the originator of the method of least squares.

Econometric Software Links Econometrics Journal or is a HUGE list of places to get software that has anything to do with econometrics, time series and forecasting.

Interdym is a package of programs for building Interindustry Dynamic Macroeconomic models.

Nonlinear Time Series Models in Empirical Finance is a book by Philip Hans Franses and Dick van Dijk and time series data and excel spreadsheets are included on the site as well as much of the book.

Electronic Statistics Textbook is an extremely comprehensive guide to statistics and includes a thorough section on Time Series Analysis covering many techniques, although unfortunately not including MESA.

On Forecasting:

Journal of Forecasting published by Wiley.

Forecasting: Methods and Applications (3rd edition)
Makridakis, Wheelwright and Hyndman, 1998.

Time-series Forecasting, Chatfield, C. (2000)
Chapman and Hall/CRC Press, ISBN 1-58488-063-5