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Econometrics Toolbox Classes

Alphabetical List By Category

Data Preprocessing

LagOpCreate lag operator polynomial (LagOp) object

Model Selection

Nonspherical Models

arimaCreate ARIMA or ARIMAX time series model
regARIMACreate regression model with ARIMA time series errors

Time Series Regression Models

Autocorrelated and Heteroscedastic Disturbances

regARIMACreate regression model with ARIMA time series errors

Bayesian Linear Regression Models

conjugateblmBayesian linear regression model with conjugate prior for data likelihood
semiconjugateblmBayesian linear regression model with semiconjugate prior for data likelihood
diffuseblmBayesian linear regression model with diffuse conjugate prior for data likelihood
empiricalblmBayesian linear regression model with samples from prior or posterior distributions
customblmBayesian linear regression model with custom joint prior distribution

Conditional Mean Models

arimaCreate ARIMA or ARIMAX time series model
LagOpCreate lag operator polynomial (LagOp) object

Conditional Variance Models

GARCH Model

garchGARCH conditional variance time series model

EGARCH Model

egarchEGARCH conditional variance time series model

GJR Model

gjrGJR conditional variance time series model

Multivariate Models

Vector Autoregression Models

varmCreate vector autoregression (VAR) model

Vector Error-Correction Models

vecmCreate vector error-correction (VEC) model

Markov Models

Markov Chain Models

dtmcCreate discrete-time Markov chain

State-Space Models

Standard State-Space Model

ssmCreate state-space model

Diffuse State-Space Model

dssmCreate diffuse state-space model
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