Try Matlab. There is a number of different time-series packages available
for it. You can download trial version for free from Mathworks website.
Than get Econometrics Toolbox from http://www.spatial-econometrics.com/
and Time-Series toolbox from http://www.physik3.gwdg.de/tstool/
Besides, Matlab is very popular for scientific programming, you can only
benefit from learning it. It's much more flexible than "black-box"
packages like SAS, Stata, SPSS. In my opinion SAS is great when you need
to make comlicated manipulations with your data, but for statistical
analysis there are better alternatives.
Finally, if you do not want to spend too much time on learning a new
program, if you want something very user-friendly, easy to learn, simple
to use, then you have to get Eviews.
On Thu, 17 May 2001, Alaa Ali wrote:
> I am looking for a good software that has the multivariate time series
> capabilities. Things such as multivariate ARMA, ARMAX: state space
> model, tranfer function modeling, ...etc. I have tried to use ASTSA, a
> freeware, but was much less tha satisfied. I am trying to use
> spacestate function within SAS/ETS package and am not sure if it will
> have what I want either (it only deals with square matrix).
>
> The problem briefly for those interested:
>
> Given, m time series of independent variables and n time series of
> dependent variable, I would like to predict the dependent variable at
> time step t+1 based on linear contributions from the n independent
> variables and m dependent variables over several lags in the past.
>
>
> Thanks
> aa
>
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