Time series

• 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 date formats

• default formats for daily, weekly, monthly, quarterly, half-yearly, yearly
• 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)
• 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