Functions in Econometrics Toolbox

By Category | Alphabetical List

adftest Augmented Dickey-Fuller test
aicbic Akaike or Bayesian information criteria
archtest Engle test for residual heteroscedasticity
arima Create ARIMA or ARIMAX time series model
arima Convert regression model with ARIMA errors to ARIMAX model
autocorr Sample autocorrelation
collintest Belsley collinearity diagnostics
corrplot Plot variable correlations
crosscorr Sample cross-correlation
disp Display summary information for state-space models
egarch Create EGARCH time series model
egcitest Engle-Granger cointegration test
estimate Estimate ARIMA or ARIMAX model parameters
estimate Fit EGARCH conditional variance model to data
estimate Estimate GARCH model parameters
estimate Estimate GJR model parameters
estimate Estimate parameters of regression models with ARIMA errors
estimate Estimate state-space model parameters
fgls Feasible generalized least squares
filter Filter disturbances using ARIMA or ARIMAX model
filter Filter disturbances with EGARCH model
filter Filter disturbances with GARCH model
filter Filter disturbances with GJR model
filter Apply lag operator polynomial to filter time series
filter Filter disturbances through regression model with ARIMA errors
filter Forward recursion of state-space models
forecast Forecast ARIMA or ARIMAX process
forecast Forecast EGARCH process
forecast Forecast GARCH process
forecast Forecast GJR process
forecast Forecast responses of regression model with ARIMA errors
forecast Forecast states and observations of state-space models
garch Create GARCH time series model object
garchar Convert ARMA model to AR model
garchma Convert ARMA model to MA model
gjr Create GJR time series model object
hac Heteroscedasticity and autocorrelation consistent covariance estimators
hpfilter Hodrick-Prescott filter for trend and cyclical components
i10test Paired integration and stationarity tests
impulse Impulse response function
impulse Impulse response of regression model with ARIMA errors
infer Infer ARIMA or ARIMAX model residuals or conditional variances
infer Infer EGARCH model conditional variances
infer Infer GARCH model conditional variances
infer Infer GJR model conditional variances
infer Infer innovations of regression models with ARIMA errors
jcitest Johansen cointegration test
jcontest Johansen constraint test
kpsstest KPSS test for stationarity
lagmatrix Create matrix of lagged time series
LagOp Create lag operator polynomial (LagOp) object
lbqtest Ljung-Box Q-test for residual autocorrelation
lmctest Leybourne-McCabe stationarity test
lmtest Lagrange multiplier test of model specification
lratiotest Likelihood ratio test of model specification
parcorr Sample partial autocorrelation
pptest Phillips-Perron test for one unit root
price2ret Convert prices to returns
print Display parameter estimation results for ARIMA or ARIMAX models
print Display parameter estimation results for EGARCH models
print Display parameter estimation results for GARCH models
print Display parameter estimation results for GJR models
print Display estimation results for regression models with ARIMA errors
recessionplot Overlay recession bands on a time series plot
refine Refine initial parameters to aid estimation of state-space models
regARIMA Create regression model with ARIMA time series errors
ret2price Convert returns to prices
simsmooth State-space model simulation smoother
simulate Monte Carlo simulation of ARIMA or ARIMAX models
simulate Monte Carlo simulation of EGARCH models
simulate Monte Carlo simulation of GARCH models
simulate Monte Carlo simulation of GJR models
simulate Monte Carlo simulation of regression model with ARIMA errors
simulate Monte Carlo simulation of state-space models
smooth Backward recursion of a state-space model
ssm Create state-space model
vartovec Vector autoregression (VAR) to vector error-correction model (VEC)
vectovar Vector error-correction (VEC) to vector autoregression (VAR)
vgxar Convert VARMA model to VAR model
vgxcount Count VARMAX model parameters
vgxdisp Display VARMAX model parameters and statistics
vgxget Get VARMAX model specification parameters
vgxinfer Infer VARMAX model innovations
vgxloglik VARMAX model loglikelihoods
vgxma Convert VARMA model to VMA model
vgxplot Plot VARMAX model responses
vgxpred Forecast VARMAX model responses
vgxproc Generate VARMAX model responses from innovations
vgxqual Test VARMAX model for stability/invertibility
vgxset Set VARMAX model specification parameters
vgxsim Simulate VARMAX model responses
vgxvarx Estimate VARX model parameters
vratiotest Variance ratio test for random walk
waldtest Wald test of model specification
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