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Econometrics Toolbox Functions

Alphabetical List By Category

Data Preprocessing

LagOpCreate lag operator polynomial (LagOp) object
hpfilterHodrick-Prescott filter for trend and cyclical components
price2retConvert prices to returns
ret2priceConvert returns to prices
recessionplotOverlay recession bands on a time series plot
isStableDetermine stability of lag operator polynomial
reflectReflect lag operator polynomial coefficients around lag zero
toCellArrayConvert lag operator polynomial object to cell array

Model Selection

Specification Testing

archtestEngle test for residual heteroscedasticity
autocorrSample autocorrelation
parcorrSample partial autocorrelation
crosscorrSample cross-correlation
corrplotPlot variable correlations
lbqtestLjung-Box Q-test for residual autocorrelation
collintestBelsley collinearity diagnostics
adftestAugmented Dickey-Fuller test
kpsstestKPSS test for stationarity
lmctestLeybourne-McCabe stationarity test
pptestPhillips-Perron test for one unit root
vratiotestVariance ratio test for random walk
i10testPaired integration and stationarity tests
egcitestEngle-Granger cointegration test
jcitestJohansen cointegration test
jcontest Johansen constraint test
chowtestChow test for structural change
cusumtestCusum test for structural change
recregRecursive linear regression

Model Comparisons

aicbicAkaike or Bayesian information criteria
lmtestLagrange multiplier test of model specification
lratiotestLikelihood ratio test of model specification
waldtestWald test of model specification
arma2arConvert ARMA model to AR model
arma2maConvert ARMA model to MA model
var2vecConvert VAR model to VEC model
vec2varConvert VEC model to VAR model

Residual Diagnostics

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

Nonspherical Models

arimaCreate ARIMA or ARIMAX time series model
regARIMACreate regression model with ARIMA time series errors
autocorrSample autocorrelation
lbqtestLjung-Box Q-test for residual autocorrelation
parcorrSample partial autocorrelation
archtestEngle test for residual heteroscedasticity
arimaConvert regression model with ARIMA errors to ARIMAX model
hacHeteroscedasticity and autocorrelation consistent covariance estimators
fglsFeasible generalized least squares

Time Series Regression Models

Autocorrelated and Heteroscedastic Disturbances

regARIMACreate regression model with ARIMA time series errors
regARIMACreate regression model with ARIMA time series errors
arimaConvert regression model with ARIMA errors to ARIMAX model
estimateEstimate parameters of regression models with ARIMA errors
hacHeteroscedasticity and autocorrelation consistent covariance estimators
fglsFeasible generalized least squares
inferInfer innovations of regression models with ARIMA errors
printDisplay estimation results for regression models with ARIMA errors
simulateMonte Carlo simulation of regression model with ARIMA errors
filterFilter disturbances through regression model with ARIMA errors
impulseImpulse response of regression model with ARIMA errors
forecastForecast responses of regression model with ARIMA 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
bayeslmCreate Bayesian linear regression model object
estimateFit parameters of Bayesian linear regression model to data
summarizeDistribution summary statistics of Bayesian linear regression model
plotVisualize prior and posterior densities of Bayesian linear regression model parameters
simulateSimulate regression coefficients and disturbance variance of Bayesian linear regression model
sampleroptionsCreate Markov chain Monte Carlo (MCMC) sampler options
forecastForecast responses of Bayesian linear regression model

Conditional Mean Models

arimaCreate ARIMA or ARIMAX time series model
LagOpCreate lag operator polynomial (LagOp) object
arimaCreate ARIMA or ARIMAX time series model
LagOpCreate lag operator polynomial (LagOp) object
arma2arConvert ARMA model to AR model
arma2maConvert ARMA model to MA model
estimateEstimate ARIMA or ARIMAX model parameters
inferInfer ARIMA or ARIMAX model residuals or conditional variances
printDisplay parameter estimation results for ARIMA or ARIMAX models
simulateMonte Carlo simulation of ARIMA or ARIMAX models
filterFilter disturbances using ARIMA or ARIMAX model
impulseImpulse response function
armairfGenerate ARMA model impulse responses
forecastForecast ARIMA or ARIMAX process

Conditional Variance Models

GARCH Model

garchGARCH conditional variance time series model
garchCreate GARCH conditional variance model object
estimateFit conditional variance model to data
inferInfer conditional variances of conditional variance models
printDisplay parameter estimation results for conditional variance models
simulateMonte Carlo simulation of conditional variance models
filterFilter disturbances through conditional variance model
forecastForecast conditional variances from conditional variance models

EGARCH Model

egarchEGARCH conditional variance time series model
egarchCreate EGARCH conditional variance model object
estimateFit conditional variance model to data
inferInfer conditional variances of conditional variance models
printDisplay parameter estimation results for conditional variance models
simulateMonte Carlo simulation of conditional variance models
filterFilter disturbances through conditional variance model
forecastForecast conditional variances from conditional variance models

GJR Model

gjrGJR conditional variance time series model
gjrCreate GJR conditional variance model object
estimateFit conditional variance model to data
inferInfer conditional variances of conditional variance models
printDisplay parameter estimation results for conditional variance models
simulateMonte Carlo simulation of conditional variance models
filterFilter disturbances through conditional variance model
forecastForecast conditional variances from conditional variance models

Multivariate Models

Cointegration Analysis

egcitestEngle-Granger cointegration test
jcitestJohansen cointegration test
jcontest Johansen constraint test

Vector Autoregression Models

varmCreate vector autoregression (VAR) model
varmCreate vector autoregression (VAR) model
estimateFit vector autoregression (VAR) model to data
inferInfer vector autoregression model (VAR) innovations
summarizeDisplay vector autoregression (VAR) model estimation results
arma2arConvert ARMA model to AR model
arma2maConvert ARMA model to MA model
vec2varConvert VEC model to VAR model
var2vecConvert VAR model to VEC model
vecmConvert vector autoregression (VAR) model to vector error-correction (VEC) model
simulateMonte Carlo simulation of vector autoregression (VAR) model
filterFilter disturbances through vector autoregression (VAR) model
armairfGenerate ARMA model impulse responses
forecastForecast vector autoregression (VAR) model responses

Vector Error-Correction Models

vecmCreate vector error-correction (VEC) model
vecmCreate vector error-correction (VEC) model
estimateFit vector error-correction (VEC) model to data
inferInfer vector error-correction (VEC) model innovations
summarizeDisplay vector error-correction (VEC) model estimation results
arma2arConvert ARMA model to AR model
arma2maConvert ARMA model to MA model
vec2varConvert VEC model to VAR model
var2vecConvert VAR model to VEC model
varmConvert vector error-correction (VEC) model to vector autoregression (VAR) model
simulateMonte Carlo simulation of vector error-correction (VEC) model
filterFilter disturbances through vector error-correction (VEC) model
forecastForecast vector error-correction (VEC) model responses

Markov Models

Markov Chain Models

dtmcCreate discrete-time Markov chain
dtmcCreate discrete-time Markov chain
mcmixCreate random Markov chain with specified mixing structure
asymptoticsDetermine Markov chain asymptotics
isergodicCheck Markov chain for ergodicity
isreducibleCheck Markov chain for reducibility
classifyClassify Markov chain states
lazyAdjust Markov chain state inertia
subchainExtract Markov subchain
redistributeCompute Markov chain redistributions
simulateSimulate Markov chain state walks
distplotPlot Markov chain redistributions
eigplotPlot Markov chain eigenvalues
graphplotPlot Markov chain directed graph
simplotPlot Markov chain simulations

State-Space Models

Standard State-Space Model

ssmCreate state-space model
ssmCreate state-space model
dispDisplay summary information for state-space model
estimateMaximum likelihood parameter estimation of state-space models
refineRefine initial parameters to aid state-space model estimation
filterForward recursion of state-space models
smoothBackward recursion of state-space models
simulateMonte Carlo simulation of state-space models
simsmoothState-space model simulation smoother
forecastForecast states and observations of state-space models

Diffuse State-Space Model

dssmCreate diffuse state-space model
dssmCreate diffuse state-space model
dispDisplay summary information for diffuse state-space model
estimateMaximum likelihood parameter estimation of diffuse state-space models
refineRefine initial parameters to aid diffuse state-space model estimation
filterForward recursion of diffuse state-space models
smoothBackward recursion of diffuse state-space models
forecastForecast states and observations of diffuse state-space models
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