Time Series Modelling. TSM v4.43 is a comprehensive package for linear and nonlinear time series modelling. It will estimate and forecast ARIMA and ARFIMA models, several GARCH, FIGARCH, APARCH and EGARCH variants, bilinear models, Markov-switching and smooth transition models. Most model features can be freely combined, and a flexible and intuitive formula-coding feature allows virtually any model to be set up. Alternatively, user-supplied Ox code can be integrated with the other features of the package. Dynamic equations systems can be specified and estimated easily, options including VARs, simultaneous systems, error correction systems, multivariate GARCH and regime switching. Panel data models can be estimated by least squares and GMM with either fixed or random effects