Documentation

Classes in Econometrics Toolbox

  • By Category | Alphabetical List
  • Data Preprocessing

    LagOp Create lag operator polynomial (LagOp) object

    Model Selection

    Nonspherical Models

    arima Create ARIMA or ARIMAX time series model
    regARIMA Create regression model with ARIMA time series errors

    Time Series Regression Models

    Specification

    regARIMA Create regression model with ARIMA time series errors

    Conditional Mean Models

    Specification

    arima Create ARIMA or ARIMAX time series model
    LagOp Create lag operator polynomial (LagOp) object

    Conditional Variance Models

    Specification

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

    State-Space Models

    Specification

    ssm Create state-space model
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