Time Series Lab

Advanced time series software for inference and forecasting
Main Edition
  • Free, even for commercial use*
  • Install on standalone pc's for single users or on a Windows terminal server for organisations.
  • Many different time series models ranging from basic to expert level
  • Batch page to control Time Series Lab without going through the menus.
  • Analyse the effect of Explanatory variables on your forecasts
  • Compare models on forecasting performance
  • Forecast time series with complex seasonal patterns
  • Machine learning algorithms for outlier and break detection
  • User manual including Case studies to quickly learn how to use Time Series Lab for modelling and forecasting
  • Highly efficient code engine
  • And much more...

* Time Series Lab should be cited whenever it is used in the following way: Lit, R., S.J. Koopman, and A.C. Harvey (2023), Time Series Lab: https://timeserieslab.com

About Us

Developers with a close connection to academia
R. Lit, PhD

Rutger Lit has a PhD in econometrics, specialising in time series analysis. He is a research fellow at the Vrije Universiteit Amsterdam and Netherlands Institute for the Study of Crime and Law Enforcement. In 2019 he founded Time Series Lab, an advanced time series forecasting package. As of February 2023, he works as Lead Data Scientist at ACMetric.

Short Bio
Professor S.J. Koopman

Siem Jan Koopman is Professor of Econometrics at the Department of Econometrics and Data Science, Vrije Universiteit Amsterdam. He is also a research fellow at Tinbergen Institute and a long-term Visiting Professor at CREATES, University of Aarhus.

He held positions at London School of Economics and CentER (Tilburg University), and had long-term visits at US Bureau of the Census, European University Institute, and European Central Bank, Financial Research.

Academic website
Professor A.C. Harvey

Andrew Harvey is Emeritus Professor of Econometrics in the Faculty of Economics and Politics, University of Cambridge. He was Professor of Econometrics at the London School of Economics before coming to Cambridge in 1996. His most recent book is a monograph entitled Dynamic Models for Volatility and Heavy Tails. Andrew Harvey is also a Fellow of the Econometric Society and a Fellow of the British Academy.

Academic website
P. Gorgi, PhD

Paolo Gorgi is Associate Professor at the department of Econometrics and Data Science, Vrije Universiteit Amsterdam. He obtained a double PhD in statistics and econometrics from the University of Padova and Vrije Universiteit Amsterdam. His main research interests concern: time series analysis, statistical inference for dynamic models and forecasting economic variables. He has published articles in several academic journals, including Journal of the Royal Statistical Society: Series B and Journal of Econometrics.

Academic website

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