Econometrics Toolbox 1.2

Parameter Estimation

With Econometrics Toolbox, you can perform parameter estimation (model calibration) of univariate ARMAX/GARCH composite models and multivariate VAR/VARX models. The software also provides a variety of pre- and post-estimation diagnostics and statistical tests of interest in financial and economic time-series analysis, including tests of the presence of conditional heteroscedasticity, Q tests, likelihood ratio tests, and several variants of Dickey-Fuller and Phillips-Perron unit root tests, as well as AIC/BIC information criteria model order selection utilities.