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| R2012a Documentation → Econometrics Toolbox | |
Learn more about Econometrics Toolbox |
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| Contents | Index |
This table summarizes new features in V2.0 (R2011a).
| New Features and Changes | Version Compatibility Considerations | Fixed Bugs and Known Problems |
|---|---|---|
Yes | No | No |
New features and changes follow.
Econometrics Toolbox now offers functions for cointegration testing and modeling. The egcitest function uses Engle-Granger methods to test for individual cointegrating relationships, and estimates their parameters. The jcitest function uses Johansen methods to test for multiple cointegrating relationships, and estimates parameters in corresponding vector error-correction models. The jcontest function tests linear restrictions on both error-correction speeds and the space of cointegrating vectors, and estimates restricted model parameters.
The functions vectovar and vartovec allow you to convert between vector autoregressive (VAR) models and vector error-correction (VEC) models.
Econometrics Toolbox includes three new data sets:
Data_Canada. Mackinnon's data on inflation and interest rates in Canada, 1954–1994. Data are those used in: MacKinnon, J. G. "Numerical Distribution Functions for Unit Root and Cointegration Tests." Journal of Applied Econometrics. v. 11, 1996, pp. 601–618.
Data_JDanish, Data_JAustralian. Johansen's data on money and income in Denmark, 1974–1987, and Australia/U.S. purchasing power and interest parity, 1972–1991. Data are those used in: Johansen, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press, 1995.
 | Version 2.0.1 (R2011b) Econometrics Toolbox Software | Version 1.4 (R2010b) Econometrics Toolbox Software |  |
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