Econometrics Toolbox 1.0

http://www.mathworks.com/products/econometrics/

First submitted by MATLAB Central Team on 12 Nov 2008

Updated by Stuart Kozola on 8 Dec 2011

Model and analyze financial and economic systems using statistical methods

Econometrics Toolbox™...

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Descriptions and Ratings (2)

Date	Contributor	Description	Rating
8 Dec 2011	Stuart Kozola	Econometrics Toolbox provides Engle-Granger and Johansen methods for cointegration testing and modeling. The Engel-Granger method tests for individual cointegrating relationships, and estimates their parameters. Johansen methods tests for multiple cointegrating relationships, and estimates parameters in corresponding vector error-correction (VEC) models. In addition, Johansen methods tests linear restrictions on both error-correction speeds and the space of cointegrating vectors, and estimates restricted model parameters.
19 Jun 2009	MATLAB Central Team	Model and analyze financial and economic systems using statistical methods Econometrics Toolbox™ provides functions for modeling economic principles and behavior, with a focus on volatility modeling. It lets you perform Monte Carlo simulation and forecasting with linear and nonlinear stochastic differential equations (SDEs) and build univariate ARMAX/GARCH composite models with several GARCH variants and multivariate VARMAX models. You can use the toolbox to generate minimum mean square error forecasts, estimate parameters in ARMAX/GARCH models and unrestricted/restricted VARX models, and model volatility with Heston stochastic volatility models. You can also perform diagnostic and statistical hypothesis tests, including the likelihood ratio test and variants of Dickey-Fuller and Phillips-Perron unit root tests.

8 Dec 2011

Stuart Kozola

Econometrics Toolbox provides Engle-Granger and Johansen methods for cointegration testing and modeling. The Engel-Granger method tests for individual cointegrating relationships, and estimates their parameters. Johansen methods tests for multiple cointegrating relationships, and estimates parameters in corresponding vector error-correction (VEC) models. In addition, Johansen methods tests linear restrictions on both error-correction speeds and the space of cointegrating vectors, and estimates restricted model parameters.

19 Jun 2009

MATLAB Central Team

Model and analyze financial and economic systems using statistical methods

Econometrics Toolbox™ provides functions for modeling economic principles and behavior, with a focus on volatility modeling. It lets you perform Monte Carlo simulation and forecasting with linear and nonlinear stochastic differential equations (SDEs) and build univariate ARMAX/GARCH composite models with several GARCH variants and multivariate VARMAX models. You can use the toolbox to generate minimum mean square error forecasts, estimate parameters in ARMAX/GARCH models and unrestricted/restricted VARX models, and model volatility with Heston stochastic volatility models. You can also perform diagnostic and statistical hypothesis tests, including the likelihood ratio test and variants of Dickey-Fuller and Phillips-Perron unit root tests.

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Tag Activity

Tag	Applied By	Date/Time
economics	christophe	23 Aug 2011 at 9:52am
dickey-fuller	Alexandra	22 Sep 2009 at 10:52am
economics	MATLAB Central Team	19 Jun 2009 at 10:22am
finance	MATLAB Central Team	19 Jun 2009 at 10:22am