TSDGP (generate ARIMA or GARCH data)

[EViews Gareth]

This thread is about the TSDGP Add-in that generates time-series data that follow either an ARIMA or a GARCH process (or both!).


Note: if you receive an error message of "Too many arguments in…" when running the add-in from the command line, please update your copy of EViews to the latest version..

Also note, included with the add-in is an example program that uses the add-in to do a Monte-Carlo simulation. When used in this fashion, the Add-in is extremely inefficient. For generating many (1,000s) of time series, a custom program is recommended rather than the Add-in.