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Econometrics Toolbox Product Description

Model and analyze financial and economic systems using statistical methods

Econometrics Toolbox™ provides functions for modeling economic data. You can select and calibrate economic models for simulation and forecasting. For time series modeling and analysis, the toolbox includes univariate ARMAX/GARCH composite models with several GARCH variants, multivariate VARMAX 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 diagnostic functions for model selection, including hypothesis, unit root, and stationarity tests.

Key Features

  • Univariate ARMAX/GARCH composite models, including EGARCH, GJR, and other variants

  • Multivariate simulation and forecasting of VAR, VEC, and cointegrated models

  • State-space models and the Kalman filter for estimation

  • Tests for unit root (Dickey-Fuller, Phillips-Perron) and stationarity (Leybourne-McCabe, KPSS)

  • Statistical tests, including likelihood ratio, LM, Wald, Engle's ARCH, and Ljung-Box Q

  • Cointegration tests, including Engle-Granger and Johansen

  • Diagnostics and utilities, including AIC/BIC model selection and partial-, auto-, and cross-correlations

  • Hodrick-Prescott filter for business-cycle analysis

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