MTS - Vector ARIMA for DOS
MTS (it stands for "multiple time series") is a software package offering vector ARIMA Box-Jenkins modeling.
Box-Jenkins has emerged as one of the most sensible of
the statistical methods available for time series analysis. There are several types
of Box-Jenkins models. These types include univariate models (modeling a time series
as a condition of its past), transfer function models (modeling a time series as
a function of its past and the past of one or more independent series) and multiple
equation models (modeling more than one time series as a function of all other series
in the equation. Transfer function models are a particular case of multiple equation
model, where there is a uni-directional relationship between the output series and
each of the input series. Vector ARIMA modeling is multiple equation modeling where
each input series may have a causal relationship with every other input series and
each series is to be forecast. MTS is AFS's software package designed to allow the
modeler/forecasters to develop these multiple endogenous variable models. The package
is designed with a flexible menu driven system to set up and run the program. Like
our flagship product Autobox, MTS is flexible in that it allows the forecasters
to retain complete control over the model identification, estimation and forecasting
procedures or to allow the program builds in heuristic to develop the model for
the analyst. The following is a list of the programs major features: - Menu Driven
- Built in data manager
- Optional Automatic Indentification of model forms
- A fast estimation procedured pioneered by Henrik Splid
- Allows parsimonious representation of model forms (VARIMA vs VAR)
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