Newey-West Standard Errors by Guillaume

Computes Newey-West adjusted heteroscedastic-serial consistent standard errors. (standard errors, econometrics, timeseries)

NeweyWest(e,X,L)

TEMPORAL DISAGGREGATION LIBRARY by Enrique M. Quilis

Temporal disaggregation of economic time series (balancing, econometrics, time series)

[]=mtd_plot(res)

[]=td_plot(res)

[]=tduni_plot(res)

Simple Econometrics and Computational Finance Laboratory Toolbox by Leo Chen

Simple Econometrics and Computational finance Laboratory Toolbox for MATLAB 7.x (econometrics, computational finance, computational intelli...)

SECF__assess_R2( y_test, y_calculation )

SECF__assess_RMS( xi )

SECF__assess_mAP(data_matrix)

Aptech Gauss Dot Multiplication by Timos Papadopoulos

Computes dot multiplication (.*) as implemented in Aptech Gauss (finance, econometrics)

gauss_dot_mul(a,b)

Fast & Detailed Multivariate OLS Regression by Léon

Performs a fast multivariate OLS regression and gives detailed information at your fingertips (statistics, finance, mathematics)

aic.m

ci1.m

ci2.m

GARCH Tool by Phil Goddard

User Interface for fitting and evaluating a generic GARCH model using the Econometrics Toolbox. (garch, ar, ma)

GARCHTool

Toolkit on Econometrics and Economics Teaching by Hang Qian

Many MATLAB routines related to econometrics, statistics and introductory economics teaching. (econometrics, bayesian statistics, economic diagrams)

ADAPT_REJECT_SAMPLE.m

AGGREGATE_GIBBS1.m

AGGREGATE_ML1.m

ARFIMA(p,d,q) estimator by György Inzelt

Maximum likelihood estimators of stationary univariate ARFIMA(p,d,q) processes. (arfima, econometrics, long memory)

ar_constraint(params,arma_part)

arfima_covs(uptolag,params1,arma_part)

arfima_estimate(Z,modeltype,arma_part)

ARFIMA(p,d,q) goodness-of-fit test by György Inzelt

Goodness of fit test for post-validating fitted ARFIMA(p,d,q)processes (arfima, long memory, short memory)

arfima_gof(Z,params,arma_part,wn_var,display)

arfima_pr(Z,esttype,arma_part,uroottest)

Local Regression 2D by Arnout Tilgenkamp

Local Regression for 2D Data with plot/figure (finance, regression, local regression)

[y0]=MLR(X,y,span,X0,robuust)

Regression by Arnout Tilgenkamp

Non parametric regression using kernels to estimate density function of residuals. (regression, parametric, nonparametric)

KLMHR2(X,y)

KMLHR(B,X,y)

Symbolic Derivatives for Econometric Tests by Alan Weiss

How to calculate derivatives required by Econometric Toolbox tests via Symbolic Math Toolbox (symbolic, econometrics, jacobian)

symbolic_econometric_tests.m

Using MATLAB to Develop Macroeconomic Models by Bob Taylor

Analyze a stylized version of the Smets-Wouters model for the United States economy. (econometrics, forecasting, econometrics toolbox)

ARFIMA simulations by Simone Fatichi

Time series simulation with ARFIMA models. (arfima, time series, statistics)

ARFIMA_SIM(N,F,O,d,stdx,er)

Very large AR regressions by Alexander Migita

Very large autoregressions (econometrics, least squares, ols)

xL(y, x, lags)

example.m

Temporal Disaggregation Library by Enrique M. Quilis

Temporal disaggregation of economic time series (how to display tempor..., benchmarking, interpolation)

bbcorr: Bootstrap statistics for Pearson's correlation coefficient by Thomas Maag

Double block bootstrap percentile confidence interval for Pearson's r and Fisher's z. (econometrics, regression, statistics)

[R,Rpc,Rsd,Rpt,Z,Zpc,Zsd,Zpt]=bbcorr(X,reps1,reps2,p,bL,sil...

bbcorrdiff: Bootstrap statistics for the difference of correlation coefficients by Thomas Maag

Double block bootstrap confidence interval for the difference of two correlation coefficients. (econometrics, regression, statistics)

bbcorrdiff(X,reps1,reps2,p,bL,silent)

ACMUB: Median Unbiased Estimation of the AR(p) Model by Thomas Maag

Approximately median unbiased estimation of the AR(p) model following Andrews and Chen (1994). (econometrics, statistics, time series)

[bw,b0,aw,a0]=acmub(Y,p,reps,tol1,tol2,model,silent)

GINV(X) by Luis Frank

GINV(X) computes a generalized inverse of matrix X. (matrix, moorepenrose, statistics)

ginv(X)

Analytical solution for Orthogonal Linear Least Squares in two dimensions by Francesco Pozzi

The function returns the Orthogonal Linear Least Squares estimate for parameters of line ax+by+c=0 (statistics, least squares, orthogonal linear lea...)

OrthLLS2D(x, y)

Introduction to Econometrics Toolbox by Maziar Motahari

The M-file for "Introduction to Econometrics Toolbox" webinar (econometrics, garch, var)

Introduction_To_Econometrics_Toolbox_Webinar.m