Chapter 1: Introduction and Some Basic Concepts
Data Sets
Chapter-1-data.zip
DeltaC.dat
DeltaO.dat
EEG.dat
ENSO.dat
Magnetic_field.dat
USunemplmnt_first_dif.dat
USunemplmnt251.dat
Note: Most of the data files are one long column. Some data files are in multicolumn formats. A few data files contain brief information about its source and/or the names of the variables. Hence, it would be a good idea to look at the file before you use it. The data sets can also be found at the publisher's Web site http://extras.springer.com/.
Chapter-1-data.zip
DeltaC.dat
DeltaO.dat
EEG.dat
ENSO.dat
Magnetic_field.dat
USunemplmnt_first_dif.dat
USunemplmnt251.dat
Note: Most of the data files are one long column. Some data files are in multicolumn formats. A few data files contain brief information about its source and/or the names of the variables. Hence, it would be a good idea to look at the file before you use it. The data sets can also be found at the publisher's Web site http://extras.springer.com/.
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Computer Codes
Examples: Example_1-5.zip Example_1-8.zip Example_1-9.zip Exercises: Exercise_1-8-G.zip Exercise_1-8-M.zip Miscellaneous: Resnick-vdBerg-test.txt Figures Figures-Chapter-1-exercises.zip Figures-Chapter-1_exercises-jpg.zip |
(R code) (F code and renamed exe files) (Data & M code) (G code) (M code) (S-Plus code and renamed prg file) (EPS format) (JPEG format) |
Links to Websites with Supplementary Material
- MATLAB codes and data corresponding to the files listed in Appendix B of the paper by Emilio Zanetti Chini (International Journal of Forecasting, 2018). The IJF paper is a (very) modified version of the CREATES 2013-32 paper entitled "Generalizing smooth transition autoregressions".
- Here are data files and GAUSS codes to accompany Franses and Van Dijk (2000), Nonlinear Time Series Models in Empirical Finance, (Cambridge University Press, UK) ; see also here.
- TSTOOL, a MATLAB package for analyzing time series by nonlinear dynamic methods, is no longer available. Snippets of
the (old) TSTOOL package are available here. - Scilab is a matrix-oriented software package for numerical computation similar to GAUSS and MATLAB. Scilab is released as open source and is available for download free of charge. Grocer is an econometrics toolbox for Scilab.
- Click on the following link for getting access to R-codes to accompany the book by Douc, Moulines and Stoffer (2014), Nonlinear Time Series: Theory, Methods, and Applications with R Examples (Chapman & Hall, CRC Press). See also David Stoffer's homepage for some data files, papers, and software.
- Click on the following link for getting access to the NASA Space Science Data Coordinated Archive.
- Click on the following link for getting access to Mike West's homepage with software and data sets from Mike's group and co-authors.
- Click on the following link for getting access to the Climate Prediction Center database of the U.S. National Oceanic and Atmospheric Administration (NOAA).
- Click on the following link for getting access to Rob Hyndman's Time Series Data Library, now hosted on DataMarket.com.
- Click on the following link for getting access to the website of the TISEAN package (nonlinear dynamic methods). Note, there is an interface to the R package.
- Click on the following link for getting access to Matjavz Perc's homepage with executable computer codes for nonlinear dynamic time methods.
- Click one of the following two links for the quarterly U.S. unemployment time series: U.S. Bureau of Labor Statistics, and Federal Reserve Bank of St. Louis.
- Click on the following link for other EEG time series.
- Click on the following link for getting access to the R code and the ENSO data file to replicate main results in the paper by Ubilava (2012, Agricultural Economics).
- Click on the following link for getting access to extensive information on the Ocean Drilling Program. .
- Click on the following link for getting access to Serena Ng’s homepage with GAUSS code (abusively called MATLAB code) for the Bai-Ng (2005, JBES) tests for skewness, kurtosis and normality.
- Click on the following link for getting access to Michael Small's homepage with MATLAB code to accompany his book Applied Nonlinear Time Series Analysis: Applications in Physics, Physiology and Finance. Nonlinear Science Series A, vol. 52. World Scientific, 2005. One may also check out the MATLAB htsa package on github (launched November 2015), a highly comprehensive package of time-series analysis methods.
- The website of the course Non-Linear Time Series Analysis (Lunds Universitet, Sweden) provides access to MATLAB and R-scripts for solving the computer lab exercises.
- Danny Kaplan's website provides access to a small collection of MATLAB software implementing several techniques of nonlinear dynamics time series analysis.
- Andreas Galka's homepage provides a list with links (some of them are outdated) to individuals and research groups working in the area of (non)linear time series analysis and neuroscience data analysis.
- Thomas Mikosch' homepage provides a link to a 2004-Workshop on Non-Linear Time Series Modeling. Click on the following link for getting access to the website of the 2011-IMS Workshop on Recent Advances on Nonlinear Time Series Analysis. The website Nonlinear Time Series Analysis - Thresholding and Beyond provides information about a 2014-LSE Conference held in honor of Professor Howell Tong to celebrate his 70th birthday.
- Click on the following link for downloading C source code related to the paper by Diks et al. (1996, Physical Review). FORTRAN77 code for computing the proposed test statistic with MC simulated data, is here.
- Jonathan B. Hill's website provides a list with GAUSS code (STAR) links, GAUSS and MATLAB codes.
- Marco Bittelli's website offers R-scripts (nonlinear dynamic methods) to accompany the book by Huffaker, Bittelli, and Rosa (2018) Nonlinear Time Series Analysis with R (Oxford University Press).
- RATS code for STAR-STGARCH model estimation is here; see Chan and McAleer (2003, Applied Financial Economics).