Learn more about Econometrics Toolbox

Introduction

The Econometrics Toolbox software allows conditional mean models with regression components, that is, of general ARMAX(R,M,Nx) form.

with regression coefficients β_k, and explanatory regression matrix X, in which each column is a time series and X(t,k) denotes the tth row and kth column.

Conditional mean models with a regression component introduce additional complexity, because Econometrics Toolbox functions have no way of knowing what the explanatory data represents or how it was generated. This is in contrast to ARMA models, which have an explicit forecasting mechanism and well-defined stationarity/invertibility requirements.

Some Econometrics Toolbox primary functions (garchfit, garchinfer, garchpred, and garchsim) accept an optional regression matrix, X, that represents X in the equation shown here. You must do the following:

• Ensure that the regression matrix you provide is valid.

• Collect and format the past history of explanatory data you include in X.

• For forecasting, forecast X into the future to form XF.

Regression

Regression in Estimation

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