Econometrics Toolbox

Econometrics Toolbox™ provides functions for modeling economic data. You can select and calibrate economic models for simulation and forecasting. Time series capabilities include univariate ARMAX/GARCH composite models with several GARCH variants, multivariate VARMAX models, and cointegration analysis. The toolbox provides Monte Carlo methods for simulating systems of linear and nonlinear stochastic differential equations and a variety of diagnostics for model selection, including hypothesis, unit root, and stationarity tests.

Key Features

• Univariate ARMAX/GARCH composite models, including EGARCH, GJR, and other variants
• Multivariate simulation and forecasting of VAR, VEC, and cointegrated models
• Monte Carlo simulation of stochastic differential equations (SDEs), including Brownian motion, CEV, CIR, Hull-White, Vasicek, Heston stochastic volatility, and user-defined SDEs
• Tests for unit root (Dickey-Fuller, Phillips-Perron) and stationarity (Leybourne-McCabe, KPSS)
• Statistical tests, including likelihood ratio, LM, Wald, Engle’s ARCH, and Ljung-Box Q
• Cointegration tests, including Engle-Granger and Johansen
• Diagnostics and utilities, including AIC/BIC model selection and partial-, auto-, and cross-correlations
• Hodrick-Prescott filter for business-cycle analysis

Plot of forecasts from a multivariate VARMAX model, produced by the vgxplot function.

Introduction to Econometrics Toolbox (Webinar)
Model and analyze financial and economic systems using statistical methods.