Statistics and Econometrics Software

Several tools for statistical analysis of time series data can be freely downloaded. They consist of new versions of programs TRAMO, "Time series Regression with ARIMA noise, Missing values and Outliers", and SEATS, "Signal Extraction in ARIMA Time Series", (Gómez and Maravall, 1996), TERROR, "TRAMO for Errors", and TSW, a Windows version of TRAMO-SEATS with some modifications and additions, developed by G. Caporello and A. Maravall at the Banco de España.

The programs are fundamentally aimed at monthly or lower frequency time series. Although structured to meet the needs of an expert analyst, they can be reliably used in an entirely automatic manner on very large sets of time series. The main applications are forecasting, seasonal adjustment, trend-cycle estimation, interpolation, detection and correction of outliers, estimation of calendar and other special effects, and error detection in data. (See Brief description of the programs (186 KB).)

• Programs: DOS versions of TRAMO and SEATS, program TSW (TRAMO-SEATS for Windows), and program TERROR (TRAMO for ERRORS, a data-editing application). It further contains descriptions of the appropriate input files, and a facility for saving the model in frequent routine applications
• Examples, including some used in the papers and documents made available in this web page
• A set of notes that can provide an introductory course on the methodology and application of TRAMO and SEATS.
• API C++ interface, and interfaces with FAME, LINUX, and MATLAB.
• Excel Macros, to generate input files and to help in the management of the output.

Papers that document and illustrate the programms' methodology and application.

• Several papers having to do with the methodology and application of the programs

Additional Information lists some additional applications of TRAMO-SEATS not in this web site.

• Additional Information (10,7 KB)

Contacting us:

• Estudios Monetarios y Financieros
  Servicio de Estudios
  Banco de España
  Alcalá, 48
  28014 Madrid (Spain)
  Fax: 34 91 338 5678

For general information, please contact:

• Fernando J. Sánchez Gálvez (fjsanchez@bde.es), tel.: 34 91 338 5956

• Nieves Morales Villalba (nievesmorales@bde.es), tel.: 34 91 338 5076

For technical information (having to do with TSW, API and macros), contact:

• 72906@empresas-externas.bde.es, tel.: 34 91 338 5954

For technical information (having to do with TRAMO-SEATS DOS, algorithms and interfaces), contact:

• 72033@empresas-externas.bde.es, tel.: 34 91 338 5439

For methodology related questions, contact:

• Agustín Maravall (maravall@bde.es), tels.: 34 91 338 5476 - 34 91 338 5076

For computer/programming/interfaces and installation in different platforms, contact:

• Gianluca Caporello (gianluca@hotelchristine.it)
  Fax: 39 0462 750 379

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