Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

Econometrics Toolbox Functions

Alphabetical List By Category
adftestAugmented Dickey-Fuller test
aicbicAkaike or Bayesian information criteria
archtestEngle test for residual heteroscedasticity
arimaCreate ARIMA or ARIMAX time series model
arimaConvert regression model with ARIMA errors to ARIMAX model
arma2arConvert ARMA model to AR model
arma2maConvert ARMA model to MA model
armairfGenerate ARMA model impulse responses
asymptoticsDetermine Markov chain asymptotics
autocorrSample autocorrelation
bayeslmCreate Bayesian linear regression model object
chowtestChow test for structural change
classifyClassify Markov chain states
collintestBelsley collinearity diagnostics
conjugateblmBayesian linear regression model with conjugate prior for data likelihood
corrplotPlot variable correlations
crosscorrSample cross-correlation
customblmBayesian linear regression model with custom joint prior distribution
cusumtestCusum test for structural change
diffuseblmBayesian linear regression model with diffuse conjugate prior for data likelihood
dispDisplay summary information for state-space model
dispDisplay summary information for diffuse state-space model
distplotPlot Markov chain redistributions
dssmCreate diffuse state-space model
dtmcCreate discrete-time Markov chain
egarchEGARCH conditional variance time series model
egarchCreate EGARCH conditional variance model object
egcitestEngle-Granger cointegration test
eigplotPlot Markov chain eigenvalues
empiricalblmBayesian linear regression model with samples from prior or posterior distributions
estimateEstimate parameters of regression models with ARIMA errors
estimateFit parameters of Bayesian linear regression model to data
estimateEstimate ARIMA or ARIMAX model parameters
estimateFit conditional variance model to data
estimateFit vector autoregression (VAR) model to data
estimateFit vector error-correction (VEC) model to data
estimateMaximum likelihood parameter estimation of state-space models
estimateMaximum likelihood parameter estimation of diffuse state-space models
fglsFeasible generalized least squares
filterFilter disturbances through regression model with ARIMA errors
filterFilter disturbances using ARIMA or ARIMAX model
filterFilter disturbances through conditional variance model
filterFilter disturbances through vector autoregression (VAR) model
filterFilter disturbances through vector error-correction (VEC) model
filterForward recursion of state-space models
filterForward recursion of diffuse state-space models
forecastForecast responses of regression model with ARIMA errors
forecastForecast responses of Bayesian linear regression model
forecastForecast ARIMA or ARIMAX process
forecastForecast conditional variances from conditional variance models
forecastForecast vector autoregression (VAR) model responses
forecastForecast vector error-correction (VEC) model responses
forecastForecast states and observations of state-space models
forecastForecast states and observations of diffuse state-space models
garchGARCH conditional variance time series model
garchCreate GARCH conditional variance model object
gjrGJR conditional variance time series model
gjrCreate GJR conditional variance model object
graphplotPlot Markov chain directed graph
hacHeteroscedasticity and autocorrelation consistent covariance estimators
hpfilterHodrick-Prescott filter for trend and cyclical components
i10testPaired integration and stationarity tests
impulseImpulse response of regression model with ARIMA errors
impulseImpulse response function
inferInfer ARIMA or ARIMAX model residuals or conditional variances
inferInfer innovations of regression models with ARIMA errors
inferInfer conditional variances of conditional variance models
inferInfer vector autoregression model (VAR) innovations
inferInfer vector error-correction (VEC) model innovations
isergodicCheck Markov chain for ergodicity
isreducibleCheck Markov chain for reducibility
isStableDetermine stability of lag operator polynomial
jcitestJohansen cointegration test
jcontest Johansen constraint test
kpsstestKPSS test for stationarity
lagmatrixCreate matrix of lagged time series
LagOpCreate lag operator polynomial (LagOp) object
LagOp.isEqLagOpDetermine if two LagOp objects are same mathematical polynomial
LagOp.isNonZeroFind lags associated with nonzero coefficients of LagOp objects
LagOp.minusLag operator polynomial subtraction
LagOp.mldivideLag operator polynomial left division
LagOp.mrdivideLag operator polynomial right division
LagOp.mtimesLag operator polynomial multiplication
LagOp.plusLag operator polynomial addition
lazyAdjust Markov chain state inertia
lbqtestLjung-Box Q-test for residual autocorrelation
lmctestLeybourne-McCabe stationarity test
lmtestLagrange multiplier test of model specification
lratiotestLikelihood ratio test of model specification
mcmixCreate random Markov chain with specified mixing structure
parcorrSample partial autocorrelation
plotVisualize prior and posterior densities of Bayesian linear regression model parameters
pptestPhillips-Perron test for one unit root
price2retConvert prices to returns
printDisplay estimation results for regression models with ARIMA errors
printDisplay parameter estimation results for ARIMA or ARIMAX models
printDisplay parameter estimation results for conditional variance models
recessionplotOverlay recession bands on a time series plot
recregRecursive linear regression
redistributeCompute Markov chain redistributions
refineRefine initial parameters to aid state-space model estimation
refineRefine initial parameters to aid diffuse state-space model estimation
reflectReflect lag operator polynomial coefficients around lag zero
regARIMACreate regression model with ARIMA time series errors
ret2priceConvert returns to prices
sampleroptionsCreate Markov chain Monte Carlo (MCMC) sampler options
semiconjugateblmBayesian linear regression model with semiconjugate prior for data likelihood
simplotPlot Markov chain simulations
simsmoothState-space model simulation smoother
simulateMonte Carlo simulation of regression model with ARIMA errors
simulateSimulate regression coefficients and disturbance variance of Bayesian linear regression model
simulateMonte Carlo simulation of ARIMA or ARIMAX models
simulateMonte Carlo simulation of conditional variance models
simulateMonte Carlo simulation of vector autoregression (VAR) model
simulateMonte Carlo simulation of vector error-correction (VEC) model
simulateSimulate Markov chain state walks
simulateMonte Carlo simulation of state-space models
smoothBackward recursion of state-space models
smoothBackward recursion of diffuse state-space models
ssmCreate state-space model
subchainExtract Markov subchain
summarizeDistribution summary statistics of Bayesian linear regression model
summarizeDisplay vector autoregression (VAR) model estimation results
summarizeDisplay vector error-correction (VEC) model estimation results
toCellArrayConvert lag operator polynomial object to cell array
var2vecConvert VAR model to VEC model
varmCreate vector autoregression (VAR) model
varmConvert vector error-correction (VEC) model to vector autoregression (VAR) model
vec2varConvert VEC model to VAR model
vecmConvert vector autoregression (VAR) model to vector error-correction (VEC) model
vecmCreate vector error-correction (VEC) model
vgxar(To be removed) Convert VARMA model to VAR model
vgxcount(To be removed) Count VARMAX model parameters
vgxdisp(To be removed) Display VARMAX model parameters and statistics
vgxget(To be removed) Get VARMAX model specification parameters
vgxinfer(To be removed) Infer VARMAX model residuals
vgxloglik(To be removed) VARMAX model loglikelihoods
vgxma(To be removed) Convert VARMA model to VMA model
vgxplot(To be removed) Plot VARMAX model responses
vgxpred(To be removed) Forecast VARMAX model responses
vgxproc(To be removed) Generate VARMAX model responses from innovations
vgxqual(To be removed) Test VARMAX model for stability/invertibility
vgxset(To be removed) Set VARMAX model specification parameters
vgxsim(To be removed) Simulate VARMAX model responses
vgxvarx(To be removed) Estimate VARX model parameters
vratiotestVariance ratio test for random walk
waldtestWald test of model specification
Was this topic helpful?