Documentation

Econometrics Toolbox

Model and analyze financial and economic systems using statistical methods

Econometrics Toolbox™ provides functions for modeling economic data. You can select and calibrate economic models for simulation and forecasting. For time series modeling and analysis, the toolbox includes univariate ARMAX/GARCH composite models with several GARCH variants, multivariate VARMAX models, and cointegration analysis. It also provides methods for modeling economic systems using state-space models and for estimating using the Kalman filter. You can use a variety of diagnostic functions for model selection, including hypothesis, unit root, and stationarity tests.

Data Preprocessing

Format, plot, and transform time series data

Model Selection

Specification testing and model assessment

Time Series Regression Models

Regression models with ARIMA errors and robust standard errors

Conditional Mean Models

Autoregressive (AR), moving average (MA), ARMA, ARIMA, ARIMAX, and seasonal models

Conditional Variance Models

GARCH, exponential GARCH (EGARCH), and GJR models

Multivariate Models

Vector autoregressive (VAR), cointegration, and vector error correction (VEC) models

State-Space Models

Time-invariant or time-varying, linear, Gaussian state-space models