Version 1.2 (R2009b) Econometrics Toolbox Software

This table summarizes new features in V1.2 (R2009b).

New Features and Changes	Version Compatibility Considerations	Fixed Bugs and Known Problems
Yes Details below	Yes Summary	No

New features and changes follow.

• Unit Root Tests

• Financial Toolbox Required

• Nelson-Plosser Data

Unit Root Tests

There are now four classes of unit root tests. More information on the tests is available in the Unit Root Nonstationarity section of the User's Guide.

Dickey-Fuller and Phillips-Perron Tests

Dickey-Fuller and Phillips-Perron tests now have single interfaces, with new capabilities for multiple testing. Both adftest and pptest test a unit root null hypothesis against autoregressive, autoregressive with drift, or trend-stationary alternatives.

KPSS Test

The new kpsstest function tests a null hypothesis of (trend) stationarity against nonstationary unit root alternatives.

Variance Ratio Test

The new vratiotest function tests a null hypothesis of a random walk against alternatives with innovations that are not independent and identically distributed.

Compatibility Considerations

The ardtest function replaces the dfARDTest, dfARTest, and dfTSTest functions. The pptest function replaces the ppARDTest, ppARTest, and ppTSTest functions. The new function syntax differs from the functions they replace.

Financial Toolbox Required

Econometrics Toolbox requires Financial Toolbox™ as of this version.

Nelson-Plosser Data

The Nelson and Plosser [50] data set is now available. To access the data, enter load Data_NelsonPlosser at the MATLAB command line.

Version 1.3 (R2010a) Econometrics Toolbox Software

Version 1.1 (R2009a) Econometrics Toolbox Software

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