## Documentation |

Econometrics Toolbox™ includes the sample data sets and examples in the following tables.

Generally, the data sets contain individual data variables, description variables with references, and tablular arrays encapsulating the data set and its description, as appropriate. To load a data set into the workspace, type

load Data_Filename,

where `Data_Filename` is
one of the files listed in the table.

Data Set Name | Description |
---|---|

Data_Canada | Canadian inflation and interest rates, 1954–1994 |

Data_CreditDefaults | Investment-grade corporate bond defaults and four predictors, 1984–2004 |

Data_Danish | Danish stock returns, bond yields, 1922–1999 |

Data_EquityIdx | U.S. equity indices, 1990–2001 |

Data_FXRates | Currency exchange rates, 1979–1998 |

Data_GDP | U.S. Gross Domestic Product, 1947–2005 |

Data_GlobalIdx1 | Global large-cap equity indices, 1993–2003 |

Data_GNP | U.S. Gross National Product, 1947–2005 |

Data_Income1 | Simulated data on income and education |

Data_Income2 | Average annual earnings by educational attainment in eight workforce age categories |

Data_JAustralian | Johansen's Australian data, 1972–1991 |

Data_JDanish | Johansen's Danish data, 1974–1987 |

Data_MarkPound | Deutschmark/British Pound foreign-exchange rate, 1984–1991 |

Data_NelsonPlosser | Macroeconomic series of Nelson and Plosser, 1860–1970 |

Data_SchwertMacro | Macroeconomic series of Schwert, 1947–1985 |

Data_SchwertStock | Indices of U.S. stock prices, 1871–2008 |

Data_TBill | Three-month U.S. treasury bill secondary market rates, 1947–2005 |

Data_USEconModel | US Macroeconomic series |

Data_VARMA22 | Two-dimensional VARMA(2,2) specification |

Data_Recessions | U.S. recession start and end dates, 1857–2011 |

Example Name | Description |
---|---|

Demo_ClassicalTests | Performing classical model misspecification tests |

Demo_RiskFHS | Using bootstrapping and filtered historical simulation to evaluate market risk |

Demo_RiskEVT | Using extreme value theory and copulas to evaluate market risk |

Demo_HPFilter | Using the Hodrick-Prescott filter to reproduce their original result |

Demo_USEconModel | Modeling the United States economy |

Demo_TSReg1 | Introducing basic assumptions behind multiple linear regression models |

Demo_TSReg2 | Detecting correlation among predictors and accommodate problems of large estimator variance |

Demo_TSReg3 | Detecting influential observations in time series data and accommodate their effect on multiple linear regression models |

Demo_TSReg4 | Investigating trending variables, spurious regression, and methods of accommodation in multiple linear regression models |

Demo_TSReg5 | Selecting a parsimonious set of predictors with high statistical significance for multiple linear regression models |

Demo_TSReg6 | Evaluating model assumptions and investigate respecification opportunities by examining the series of residuals |

Demo_TSReg7 | Presenting the basic setup for producing conditional and unconditional forecasts from multiple linear regression models |

Demo_TSReg8 | Examining how lagged predictors affect least-squares estimation of multiple linear regression models |

Demo_TSReg9 | Illustrating predictor history selection for multiple linear regression models |

Was this topic helpful?