Documentation

Functions in Econometrics Toolbox

  • By Category | Alphabetical List
  • Data Preprocessing

    LagOp Create lag operator polynomial (LagOp) object
    filter Apply lag operator polynomial to filter time series
    hpfilter Hodrick-Prescott filter for trend and cyclical components
    price2ret Convert prices to returns
    ret2price Convert returns to prices
    recessionplot Overlay recession bands on a time series plot

    Model Selection

    Specification Testing

    archtest Engle test for residual heteroscedasticity
    autocorr Sample autocorrelation
    crosscorr Sample cross-correlation
    lbqtest Ljung-Box Q-test for residual autocorrelation
    parcorr Sample partial autocorrelation
    corrplot Plot variable correlations
    collintest Belsley collinearity diagnostics
    adftest Augmented Dickey-Fuller test
    kpsstest KPSS test for stationarity
    lmctest Leybourne-McCabe stationarity test
    pptest Phillips-Perron test for one unit root
    vratiotest Variance ratio test for random walk
    i10test Paired integration and stationarity tests
    egcitest Engle-Granger cointegration test
    jcitest Johansen cointegration test
    jcontest Johansen constraint test

    Model Comparisons

    aicbic Akaike or Bayesian information criteria
    lmtest Lagrange multiplier test of model specification
    lratiotest Likelihood ratio test of model specification
    waldtest Wald test of model specification
    vgxcount Count VARMAX model parameters
    vgxloglik VARMAX model loglikelihoods

    Diagnostic Checks

    infer Infer ARIMA or ARIMAX model residuals or conditional variances
    infer Infer GARCH model conditional variances
    infer Infer EGARCH model conditional variances
    infer Infer GJR model conditional variances

    Nonspherical Models

    arima Create ARIMA or ARIMAX time series model
    regARIMA Create regression model with ARIMA time series errors
    autocorr Sample autocorrelation
    lbqtest Ljung-Box Q-test for residual autocorrelation
    parcorr Sample partial autocorrelation
    archtest Engle test for residual heteroscedasticity
    arima Convert regression model with ARIMA errors to ARIMAX model
    hac Heteroscedasticity and autocorrelation consistent covariance estimators
    fgls Feasible generalized least squares

    Time Series Regression Models

    Specification

    regARIMA Create regression model with ARIMA time series errors
    impulse Impulse response of regression model with ARIMA errors
    arima Convert regression model with ARIMA errors to ARIMAX model

    Estimation

    estimate Estimate parameters of regression models with ARIMA errors
    infer Infer innovations of regression models with ARIMA errors
    print Display estimation results for regression models with ARIMA errors
    arima Convert regression model with ARIMA errors to ARIMAX model
    hac Heteroscedasticity and autocorrelation consistent covariance estimators
    fgls Feasible generalized least squares

    Simulation

    simulate Monte Carlo simulation of regression model with ARIMA errors
    filter Filter disturbances through regression model with ARIMA errors

    Forecasting

    forecast Forecast responses of regression model with ARIMA errors

    Conditional Mean Models

    Specification

    arima Create ARIMA or ARIMAX time series model
    LagOp Create lag operator polynomial (LagOp) object
    impulse Impulse response function

    Estimation

    estimate Estimate ARIMA or ARIMAX model parameters
    infer Infer ARIMA or ARIMAX model residuals or conditional variances
    print Display parameter estimation results for ARIMA or ARIMAX models
    hac Heteroscedasticity and autocorrelation consistent covariance estimators
    fgls Feasible generalized least squares

    Simulation

    simulate Monte Carlo simulation of ARIMA or ARIMAX models
    filter Filter disturbances using ARIMA or ARIMAX model

    Forecasting

    forecast Forecast ARIMA or ARIMAX process

    Conditional Variance Models

    Specification

    garch Create GARCH time series model object
    egarch Create EGARCH time series model
    gjr Create GJR time series model object

    Estimation

    estimate Estimate GARCH model parameters
    infer Infer GARCH model conditional variances
    print Display parameter estimation results for GARCH models
    estimate Fit EGARCH conditional variance model to data
    infer Infer EGARCH model conditional variances
    print Display parameter estimation results for EGARCH models
    estimate Estimate GJR model parameters
    infer Infer GJR model conditional variances
    print Display parameter estimation results for GJR models

    Simulation

    simulate Monte Carlo simulation of GARCH models
    filter Filter disturbances with GARCH model
    simulate Monte Carlo simulation of EGARCH models
    filter Filter disturbances with EGARCH model
    simulate Monte Carlo simulation of GJR models
    filter Filter disturbances with GJR model

    Forecasting

    forecast Forecast GARCH process
    forecast Forecast EGARCH process
    forecast Forecast GJR process

    Multivariate Models

    Specification

    vartovec Vector autoregression (VAR) to vector error-correction model (VEC)
    vectovar Vector error-correction (VEC) to vector autoregression (VAR)
    vgxget Get VARMAX model specification parameters
    vgxset Set VARMAX model specification parameters

    Estimation

    egcitest Engle-Granger cointegration test
    jcitest Johansen cointegration test
    jcontest Johansen constraint test
    vartovec Vector autoregression (VAR) to vector error-correction model (VEC)
    vectovar Vector error-correction (VEC) to vector autoregression (VAR)
    vgxar Convert VARMA model to VAR model
    vgxma Convert VARMA model to VMA model
    vgxvarx Estimate VARX model parameters
    vgxdisp Display VARMAX model parameters and statistics
    vgxqual Test VARMAX model for stability/invertibility
    vgxplot Plot VARMAX model responses
    vgxinfer Infer VARMAX model innovations

    Simulation

    vgxsim Simulate VARMAX model responses

    Forecasting

    vgxpred Forecast VARMAX model responses
    vgxproc Generate VARMAX model responses from innovations

    State-Space Models

    Specification

    ssm Create state-space model
    disp Display summary information for state-space models

    Estimation

    estimate Estimate state-space model parameters
    refine Refine initial parameters to aid estimation of state-space models
    disp Display summary information for state-space models
    filter Forward recursion of state-space models
    smooth Backward recursion of a state-space model
    simsmooth State-space model simulation smoother

    Simulation

    simulate Monte Carlo simulation of state-space models
    simsmooth State-space model simulation smoother

    Forecasting

    forecast Forecast states and observations of state-space models
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