Learn more about Econometrics Toolbox

Version 1.1 (R2009a) Econometrics Toolbox Software

This table summarizes new features in V1.1 (R2009a).

New Features and Changes	Version Compatibility Considerations	Fixed Bugs and Known Problems	Related Documentation at Web Site
Yes Details below	Yes Summary	No	No

New features and changes follow.

• Hypothesis Tests

• Structural VAR, VARX, and VARMAX models

• New Demo

Hypothesis Tests

There are two new hypothesis tests for model misspecification:

• Lagrange Multiplier tests, lmtest

• Wald tests, waldtest

Furthermore, the likelihood ratio test, lratiotest, has been enhanced to be able to "test up" as well as "test down" when performing multiple model comparisons. It now accepts vectors of model parameters for restricted log likelihoods, for unrestricted log likelihoods, or for both.

There is a new demo about these tests; see New Demo.

Compatibility Considerations

lratiotest error messages and message IDs differ from previous versions.

Structural VAR, VARX, and VARMAX models

Econometrics Toolbox multiple time series functions now include structural multiple time series. Structural models have the general form

Previously, Econometrics Toolbox multiple time series functions addressed models of the form

The mathematical difference is the inclusion of A₀ and B₀ matrices. These matrices allow practitioners to specify structural dependencies between variables. For more information, see the Multiple Time Series for Linear Models chapter of the Econometrics Toolbox User's Guide.

Compatibility Considerations

Objects created with the Econometrics Toolbox V1.0 vgxset function, and saved in MAT files, do not work with Econometrics Toolbox V1.1 functions. Recreate the objects with the Econometrics Toolbox V1.1 vgxset function.

New Demo

There is a new demo on hypothesis tests. Run the demo at the MATLAB command line by entering showdemo classicalTestsDemo.

Version 1.2 (R2009b) Econometrics Toolbox Software

Version 1.0 (R2008b) Econometrics Toolbox Software

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