Time Series Lab

Advanced Time Series Forecasting Software

Download for Windows

Time Series Lab v2.20

Changelog

v2.20 is the most recent version of Time Series Lab.
It is advised to de-install all Time Series Lab products if you are using a version of Time Series Lab with a version number smaller than 2.00.
Currently, Windows 64 bit is the only supported platform.


Make sure to read the license agreement before installing the program.

Time Series Lab should be cited whenever it is used in the following way: Lit, R. , S.J. Koopman, and A.C. Harvey (2022), Time Series Lab: https://timeserieslab.com.

See this section for known issues with the software.

Changelog


v2.20: 2022-09-27   Download v2.20

ADDED
  • Connect to the Federal Reserve Economic Data | FRED | St. Louis Fed database from within Time Series Lab. You can search for keywords and download time series from the database
  • Button on settings page to clear previous models from memory
FIXED
  • Bug in automatic intervention variable selection when no interventions were found


v2.10: 2022-08-18   Download v2.10

  • Fixed bug in standard error calculation of hyper parameters. Select Full parameter report in the Select diagnostic output window to obtain standard erorrs of the hyper parameters
  • DCS-Logit, DCS-Poisson, and DCS-Negative Binomial are added to the pre-built score-driven models
  • Plot legend text and location can be changed by the user (right-click on sub plot)
  • Detrend and seasonal adjustment plot options added on Graph page
  • Small bug fixes


v2.00: 2022-07-31   Major update   Download v2.00

  • A manual has been written
  • Newly developed look of Graphical User Interface
  • Addition of many other time series models like ARIMA models, Score-driven models, Exponential smoothing, Holt-Winters, and Model averaging methods
  • Algorithm to find optimal p and q for ARIMA and Score-driven models
  • A total of three seasonal and three cycle components to find complex patterns in the data
  • Intervention analysis to find anomalies in the time series data
  • Automatic outlier analysis and structural break detection
  • Review results of former model runs and compare different time series models with each other
  • Lag finder module to find significant lags in Explanatory variables
  • Automatic selection of significant Explanatory variables
  • Extended graphing capabilities
  • Exact initialisation of state space models
  • Augmented Dickey-Fuller and KPSS test on Database page
  • Many smaller added features


v1.101: 2022-03-19

  • Bug fixed that prevented users from saving results
  • Improved compatibility with 21H2 Windows update


v1.10: 2021-12-20

  • Improved startup time
  • Improved optimization algorithm
  • Output window can be undocked
  • Improved X variables pre-analysis
  • Refactor of model comparison page
  • Lower memory consumption of the software
  • Small bug fixes


v1.02: 2021-11-02

  • Indicators added for explanatory variables
  • Select components and forecasts before storing
  • Load data on forecast page
  • Scroll window in seasonal print output to avoid large print outputs
  • Improved date recognition
  • Small bug fixes


v1.01: 2021-09-26

  • Data tranformation Square, Square root, and Absolute value added to the Data transformations option on the Database page
  • Small bug fixes


v1.00: 2021-09-23

  • Public release of first version


v1.00 beta: 2021-04-01

  • First version send out for testing

Known issues

Last updated: July 2022

Issue Solution
Dragging the main window to a second monitor does not work properly or not at all. And if you managed to get the main window to the second monitor, the program looks distorted. Moving an undocked window, for example the Text output window, does seem to work. We have investigated the issue and are planning to release a fix in the near future.