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Econometrics Toolbox

Model Conversion Functions

Model Conversion Functions

Convert between VEC models and VAR models​​​

Diffuse Kalman Filter

Diffuse Kalman Filter

Model state-space systems having diffuse initial state distributions​​

Chow Structural Change Test

Chow Structural Change Test

Assess stability of multiple linear regression models

ARMAIRF Function

ARMAIRF Function

Calculate impulse responses for ARMA models​​

Latest Releases

R2016a (Version 3.4) - 3 Mar 2016

Version 3.4 part of Release 2016a, includes the following enhancements:

  • Cusum Structural Change Tests: Assess stability of multiple linear regression models
  • Recursive Linear Regression: Recursively estimate coefficients of multiple linear regression models

See the Release Notes for details.

R2015b (Version 3.3) - 3 Sep 2015

Version 3.3, part of Release 2015b, includes the following enhancements:

  • Model Conversion Functions: Convert between VEC models and VAR models​​​
  • Diffuse Kalman Filter: Model state-space systems having diffuse initial state distributions​​
  • Chow Structural Change Test: Assess stability of multiple linear regression models
  • ARMAIRF Function: Calculate impulse responses for ARMA models​​

See the Release Notes for details.

R2015a (Version 3.2) - 5 Mar 2015

Version 3.2, part of Release 2015a, includes the following enhancements:

  • State-space example for Diebold-Li model
  • Autoregressive moving average (ARMA) to AR and MA conversions

See the Release Notes for details.

R2014b (Version 3.1) - 2 Oct 2014

Version 3.1, part of Release 2014b, includes the following enhancements:

  • Simulation smoothing for state-space models​
  • Feasible generalized least squares (FGLS) estimators
  • Time-series regression example​

See the Release Notes for details.

R2014a (Version 3) - 6 Mar 2014

Version 3, part of Release 2014a, includes the following enhancements:

  • Time-invariant and time-varying, linear, Gaussian state-space models
  • Kalman filter with missing data
  • Performance enhancements for ARIMA and GARCH models

See the Release Notes for details.