Econometrics Toolbox 1.0

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

First submitted by MATLAB Central Team on 12 Nov 2008

Model and analyze financial and economic systems using statistical methods

Econometrics Toolbox™...

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Date	Contributor	Description	Rating
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.

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.

Tag Activity

Tag	Applied By	Date/Time
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

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