Econometrics Toolbox™ provides functions for modeling economic data. You can select and estimate economic models for simulation and forecasting. For time series modeling and analysis, the toolbox includes univariate Bayesian linear regression, univariate ARIMAX/GARCH composite models with several GARCH variants, multivariate VARX models, and cointegration analysis. It also provides methods for modeling economic systems using state-space models and for estimating using the Kalman filter. You can use a variety of diagnostics for model selection, including hypothesis tests, unit root, stationarity, and structural change.
ARIMAX/GARCH composite models, including EGARCH and GJR
Multivariate simulation and forecasting of VAR, VEC, and cointegrated models
State-space models and Kalman filters for parameter estimation
Bayesian linear regression models and robust regression estimators
Tests for unit root, stationarity, cointegration, and structural change
Statistical tests, including likelihood ratio, LM, Wald, Engle’s ARCH, and Ljung-Box Q
Diagnostics and utilities, including AIC/BIC model selection and partial-, auto-, and cross-correlations