Learn more about Econometrics Toolbox

Examples

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Use this list to find examples in the documentation.

Getting Started

Using the Default Model
Specification Structures

Example Workflow

Estimation
Forecasting
Simulation
Analysis

Model Selection

Testing Simulated Data for a Unit Root
Testing Wage Data for a Unit Root
Testing Stock Data for a Random Walk
Specifying Distribution Parameters
Comparing GARCH Models
Akaike and Bayesian Information
Setting Model Parameters
Setting Equality Constraints
Model Selection

Simulation

Simulating Single Paths
Simulating Multiple Paths
Specifying a Scalar Response Tolerance

Estimation

Presample Data
Inferring Residuals
Estimating ARMA(R,M) Parameters
Lower Bound Constraints
Determining Convergence Status

Forecasting

Forecasting Using GARCH Predictions
Forecasting Multiple Periods
Forecasting Multiple Realizations

Regression

Fitting a Return Series
Fitting a Regression Model to a Return Series
Ordinary Least Squares Regression

Multiple Time Series

Response Data Structure
Exogenous Data Structure
Using the Likelihood Ratio Test to Calculate the Minimal Requisite Lag
Using Akaike Information Criterion to Calculate the Minimal Requisite Lag
Converting a VARMA Model to a VAR Model
Converting a VARMA Model to a VMA Model
Fitting a VAR Model
Fitting a VARX Model
Fitting a VARMA Model
Forecasting with vgxpred
Monte Carlo Forecasting with vgxsim
Calculating Impulse Responses with vgxproc
Multiple Time Series Case Study

Stochastic Differential Equations

Base SDE Models
Drift and Diffusion Rates
SDEDDO Models
SDELD Models
BM Models
Univariate CEV Models
Univariate GBM Models
SDEMRD Models
CIR Models
HWV Models
Heston Models
Inducing Dependence and Correlation
Dynamic Behavior of Market Parameters
Pricing Equity Options
Simulating Interest Rates
Ensuring Positive Interest Rates
Stratified Sampling
Improving Solution Accuracy
Stochastic Interpolation Without Refinement
Simulation of Conditional Gaussian Distributions
Antithetic Sampling

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