| Version 1.0 (R2008b) Econometrics Toolbox™ Software Release Notes | |
This table summarizes new features in V1.0 (R2008b).
| New Features and Changes | Version Compatibility Considerations | Fixed Bugs and Known Problems | Related Documentation at Web Site |
|---|---|---|---|
Yes | No | No | Printable Release Notes: PDF |
New features and changes follow.
A new suite of functions, listed in the following table, adds support for multivariate VAR, VARX, and VARMA models.
| Function | Description |
|---|---|
| vgxar | Convert VARMA specification into a pure vector autoregressive (VAR) model |
| vgxcount | Count restricted and unrestricted parameters in VAR or VARX models |
| vgxdisp | Display VGX model parameters and standard errors in different formats |
| vgxget | Get multivariate time-series specification parameters |
| vgxinfer | Infer innovations of a VGX process |
| vgxloglik | Compute conditional log-likelihoods of VGX process |
| vgxma | Convert VARMA specification into a pure vector moving average (VMA) model |
| vgxplot | Plot multivariate time series process |
| vgxpred | Generate transient response of VGX process during a specified forecast period |
| vgxproc | Generate a VGX process from an innovations process |
| vgxqual | Determine if a VGX process is stable and invertible |
| vgxset | Set or modify multivariate time-series specification parameters |
| vgxsim | Simulate VGX processes |
| vgxvarx | Solve VAR or VARX model using maximum likelihood estimation |
The new heston function adds support for Heston stochastic volatility models to the SDE engine.
| Econometrics Toolbox Release Notes | Version 2.4 (R2008a) GARCH Toolbox Software | |
| © 1984-2008- The MathWorks, Inc. - Site Help - Patents - Trademarks - Privacy Policy - Preventing Piracy - RSS |