The Package
TSM v4.26 is a comprehensive package for linear and nonlinear time series modelling. It will  estimate and forecast ARIMA and ARFIMA models, several GARCH, FIGARCH, APARCH and  EGARCH variants, bilinear models, Markov-switching and smooth transition models. Most model features can be freely combined, and a flexible and intuitive formula-coding feature allows virtually any model to be set up. Alternatively, user-supplied Ox code can be integrated with the other features of the package. Dynamic equations systems can be specified and estimated easily, options including VARs, simultaneous systems, error correction systems, multivariate GARCH and regime switching.

A comprehensive set of diagnostic tools is implemented, including Q tests, LM tests, moment tests and parameter stability tests. Other features include nonparametric regression, log-periodogram regression, recursive and rolling estimation, automated model selection, Monte Carlo forecasting of general nonlinear time series models, and parametric bootstrap tests and confidence intervals. Cointegration analysis options include Johansen's rank tests, and MINIMAL analysis of restrictions on the cointegrating space. Any model that can estimated can also be stochastically simulated, and Monte Carlo experiments can be performed with any combination of models for simulation and estimation. Data can be input from suitably formatted text files and spreadsheet formats such as .xls, .csv, .wks or .in7 (OxMetrics format), and transformed and edited interactively. In the latest beta release, panel data analysis is implemented. 

The program comes with a platform-independent graphical user interface (GUI) — see the screenshots — and comprehensive graphics capabilities.It has special features designed to optimize the package for teaching, such as a simplified interface option, and the ability to distribute data and model specifications for classroom exercises in a single settings file - see the sample class exercises now available for download. Alternatively, TSM can be called from a user's Ox program and return the results to the console or a text file.

Compared to the leading commercial econometrics packages, TSM is a bargain. It is very easy to use, has all the facilities one would expect of a standard regression package, yet also offers a unique range of time series models, techniques and special features.  

Ox
TSM runs under Jurgen Doornik's Ox 4 programming system, see http://www.doornik.com/.  Knowledge of Ox is not a requirement, however, and its function is transparent to the user in normal use. Ox Console is freeware for academic teaching and research purposes, but not to non-academic users — in particular, businesses and government agencies. A TSM licence will be supplied to such users only on the explicit understanding that it will be used with Ox Professional 4 or 5, not the free console version. Purchasing information for Ox is obtainable from Timberlake Consultants Ltd at http://www.timberlake.co.uk/.  The latest console version, as of March 2007, is Ox 4.10. Upgrading from earlier versions of Ox 4 is   recommended, to fix a potential problem with reading .xls files.   

Java Runtime Environment
The Windows or Unix/Linux graphical user interfaces are provided by the Java Runtime Environment (JRE), which must be separately installed on the user's system. The JRE is a free download from Sun Microsystems at http://java.com/. Even if your system has Java pre-installed, it's well worth upgrading to the latest version (currently JRE Version 6). Versions 5 and later provide the Windows XP-style expandable file dialog, and generally smoother operation. (Linux users, please see the installation notes about JRE versions.) 

Installing TSM
Install Ox and the JRE first. Then, for Windows installation, simply run the setup file tsmod4.??-??-??-??_setup.exe to create directories, copy files and set up  the shortcuts needed to run the program. Here, ??-??-?? denotes the version number. Uninstall TSM using the "Add-Remove Programs" applet in the Windows control panel, or the Start Menu shortcut. For Linux/Unix installation, manual installation is necessary. Download the file tsmod4.??-??-??-??.zip, extract its contents, and follow the instructions in Appendix A in docs/tsmod4app.pdf. 

Purchase Information
TSM can be downloaded freely to run in demonstration mode, with a restricted capacity (number of observations x number of parameters < 500). A personal licence code to unlock the fully functional version can be purchased at the price of £65 (GBP). A personal licence entitles the holder to run the fully functional software, including all future upgrades of TSM Version 4, on one or more machines. The name of the licence holder is displayed in the results window at start-up.
Click the Buy Now button to make a PayPal or credit card payment. At the same time, please send me an email to let me know to expect your payment. When payment is received, a personal licence code will be sent to the email address you supply. Your order will be processed as quickly as possible, which in most cases means within 24 hours.
 By default, the registered licence holder's name will be the name appearing in the PayPal billing details. To register a different name (which must be the person's full name, not a nickname or initials) the email accompanying  your order should give the purchaser's name and desired registered name.
 PayPal accounts cannot be created from some countries. In this case contact me to arrange another method e.g. electronic bank transfer or  personal cheque.

Multi-User Licences
 An institutional multi-user licence for network or classroom use (minimum 10 users) can be purchased for £65 plus £20 for each additional simultaneous user. The name of the department/institution, and the usage limit, are displayed at start-up.
An institutional limited term licence permits any number of users for periods of six months (price £100) or one year (price £160). This licencing mode allows students to run the software on their personal computers. The name of the department/institution and the expiry date are displayed at start-up. The program reverts to demonstration mode after the expiry date. 
*  Limited term licences are offered to permanent site licence holders at a 60% discount (i.e. £40 for 6 months and £64 for 1 year). 
*  Limited term licence-holders purchasing a permanent multi-user licence within 3 months of expiry receive a refund of 90% of the original purchase price. Please contact me for further information about site licences.

Upgrades
TSM is still under constant development. New features and refinements to the interface are added regularly, and bugs are fixed as soon as they are discovered or reported. This means that upgrades are posted to this site quite frequently. The names of download files include the version number, so it is easy to check if you are up to date. Once you have installed the main package, upgrading is a quick and easy process. Under Windows, simply run install without uninstalling. Your folder specifications will then be retained. Previous versions remain posted in case of any teething problem with the latest release.

TSM Discussion List ... revived!
To sign up to the new list, go to http://www.jiscmail.ac.uk/. The list is called TSM-USERS.  

Teaching Materials
The file TSM_Exercises.zip contains a set of exported ".tsm" settings files and accompanying exercise sheets. These materials illustrate how TSM can be set up for use in the classroom. Data, models, and preferred program settings can be distributed to students in a single file. Simply double-clicking on the file in Windows Explorer starts TSM and creates the data file and ancillary files in the student's work space automatically. The examples include regression exercises with the CAPM, and simple Monte Carlo experiments to illustrate econometric concepts such as bias, efficiency and test size and power. Download the file here.  

Supplementary Coded Tests
 TSM now features improved methods for running user-coded Ox modules. making it easy for researchers to share experimental code with other TSM users. Simply load a specially exported settings file into TSM to un-bundle and load the code. The posting below demonstrates the new technology.

Support
Feedback from users is always welcome, whether :-) with praise and suggestions for improvements and new features, or :-( to report crashes and other unexpected behaviour, or errors in the documentation. Perfecting the software is a high priority, and users will be assisted promptly with operational problems. Should a bug be reported, I will try to get the update online within a few days at most.
However, routine support – setting up the program, understanding the methods, explaining the documentation, etc. – cannot be guaranteed. The low price of the software reflects this limitation. Satisfy yourself that TSM functions correctly on your system in "demo" mode, before purchasing a licence. If you have trouble with numerical optimizations, please consult the relevant section of "Hints and Tips" before contacting me.   

Contact
 The email address for all inquiries is tsmail  at  timeseriesmodelling dot com,
where "at" and "dot" should be replaced by the usual symbols.