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), of program TERROR, "TRAMO for Errors", and program 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, construction of leading indicators, interpolation, detection and correction of outliers, estimation of special effects, and quality control of data.

See Description of the Programs (186 KB)

Several versions of the programs are made available at the Banco de España. Source codes, including UNIX versions, may be requested from the authors.

• DOS versions
• Program TSW for Windows
• API Interface C++ (866 KB)
• FAMEST, an interface of TRAMO / SEATS with FAME under Windows
• LINUXST, a Linux version of TRAMO / SEATS
• TSMATLAB, an interface of TRAMO-SEATS with MATLAB
• Excel Macros, to generate input files ready for TRAMO, SEATS, TERROR and TSW, and to help in the management of the output in multiple series applications
• Several papers having to do with the methodology and application of the programs
• Additional Information (10,7 KB)
• Examples of time series: exmacro.zip (938 KB); ipi_spain.zip (5 KB); japon.zip (2 KB); large.zip (784 KB); others.zip (11 KB); quarterly.zip (2 KB); sara.zip (7 KB); taiwan.zip (1 KB); turkey.zip (29 KB); us_curr.zip (2 KB)

Contact:

• 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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