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Econometrics Toolbox Classes

Alphabetical List By Category

Data Preprocessing

LagOp Create lag operator polynomial (LagOp) object

Model Selection

Nonspherical Models

arima Create ARIMA or ARIMAX time series model
regARIMA Create regression model with ARIMA time series errors

Time Series Regression Models

Autocorrelated and Heteroscedastic Disturbances

regARIMA Create regression model with ARIMA time series errors

Bayesian Linear Regression Models

conjugateblm Bayesian linear regression model with conjugate prior for data likelihood
semiconjugateblm Bayesian linear regression model with semiconjugate prior for data likelihood
diffuseblm Bayesian linear regression model with diffuse conjugate prior for data likelihood
empiricalblm Bayesian linear regression model with samples from prior or posterior distributions
customblm Bayesian linear regression model with custom joint prior distribution

Conditional Mean Models

arima Create ARIMA or ARIMAX time series model
LagOp Create lag operator polynomial (LagOp) object

Conditional Variance Models

GARCH Model

garch GARCH conditional variance time series model

EGARCH Model

egarch EGARCH conditional variance time series model

GJR Model

gjr GJR conditional variance time series model

Multivariate Models

varm Create vector autoregression model

State-Space Models

Standard State-Space Model

ssm Create state-space model

Diffuse State-Space Model

dssm Create diffuse state-space model
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