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.
Format, plot, and transform time series data
Specification testing and model assessment
Regression models with ARIMA errors and robust standard errors
Autoregressive (AR), moving average (MA), ARMA, ARIMA, ARIMAX, and seasonal models
GARCH, exponential GARCH (EGARCH), and GJR models
Vector autoregressive (VAR), cointegration, and vector error correction (VEC) models
Time-invariant or time-varying, linear, Gaussian state-space models