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Econometrics Toolbox Functions

Alphabetical List By Category

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
isStable Determine stability of lag operator polynomial
reflect Reflect lag operator polynomial coefficients around lag zero
toCellArray Convert lag operator polynomial object to cell array

Model Selection

Specification Testing

archtest Engle test for residual heteroscedasticity
autocorr Sample autocorrelation
parcorr Sample partial autocorrelation
crosscorr Sample cross-correlation
corrplot Plot variable correlations
lbqtest Ljung-Box Q-test for residual autocorrelation
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
chowtest Chow test for structural change
cusumtest Cusum test for structural change
recreg Recursive linear regression

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
arma2ar Convert ARMA model to AR model
arma2ma Convert ARMA model to MA model
var2vec Convert VAR model to VEC model
vec2var Convert VEC model to VAR model

Residual Diagnostics

infer Infer ARIMA or ARIMAX model residuals or conditional variances
infer Infer innovations of regression models with ARIMA errors
infer Infer conditional variances of conditional variance models

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

regARIMA Create regression model with ARIMA time series errors
regARIMA Create regression model with ARIMA time series errors
arima Convert regression model with ARIMA errors to ARIMAX model
estimate Estimate parameters of regression models with ARIMA errors
hac Heteroscedasticity and autocorrelation consistent covariance estimators
fgls Feasible generalized least squares
infer Infer innovations of regression models with ARIMA errors
print Display estimation results for regression models with ARIMA errors
simulate Monte Carlo simulation of regression model with ARIMA errors
filter Filter disturbances through regression model with ARIMA errors
impulse Impulse response of regression model with ARIMA errors
forecast Forecast responses of regression model with ARIMA errors

Conditional Mean Models

arima Create ARIMA or ARIMAX time series model
LagOp Create lag operator polynomial (LagOp) object
arima Create ARIMA or ARIMAX time series model
LagOp Create lag operator polynomial (LagOp) object
arma2ar Convert ARMA model to AR model
arma2ma Convert ARMA model to MA model
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
simulate Monte Carlo simulation of ARIMA or ARIMAX models
filter Filter disturbances using ARIMA or ARIMAX model
impulse Impulse response function
armairf Generate ARMA model impulse responses
forecast Forecast ARIMA or ARIMAX process

Conditional Variance Models

GARCH Model

garch GARCH conditional variance time series model
garch Create GARCH conditional variance model object
estimate Fit conditional variance model to data
infer Infer conditional variances of conditional variance models
print Display parameter estimation results for conditional variance models
simulate Monte Carlo simulation of conditional variance models
filter Filter disturbances through conditional variance model
forecast Forecast conditional variances from conditional variance models

EGARCH Model

egarch EGARCH conditional variance time series model
egarch Create EGARCH conditional variance model object
estimate Fit conditional variance model to data
infer Infer conditional variances of conditional variance models
print Display parameter estimation results for conditional variance models
simulate Monte Carlo simulation of conditional variance models
filter Filter disturbances through conditional variance model
forecast Forecast conditional variances from conditional variance models

GJR Model

gjr GJR conditional variance time series model
gjr Create GJR conditional variance model object
estimate Fit conditional variance model to data
infer Infer conditional variances of conditional variance models
print Display parameter estimation results for conditional variance models
simulate Monte Carlo simulation of conditional variance models
filter Filter disturbances through conditional variance model
forecast Forecast conditional variances from conditional variance models

Multivariate Models

vgxset Set VARMAX model specification parameters
vgxget Get VARMAX model specification parameters
arma2ar Convert ARMA model to AR model
arma2ma Convert ARMA model to MA model
var2vec Convert VAR model to VEC model
vec2var Convert VEC model to VAR model
vgxvarx Estimate VARX model parameters
vgxinfer Infer VARMAX model innovations
vgxdisp Display VARMAX model parameters and statistics
vgxplot Plot VARMAX model responses
vgxqual Test VARMAX model for stability/invertibility
egcitest Engle-Granger cointegration test
jcitest Johansen cointegration test
jcontest Johansen constraint test
vgxsim Simulate VARMAX model responses
vgxproc Generate VARMAX model responses from innovations
armairf Generate ARMA model impulse responses
vgxpred Forecast VARMAX model responses

State-Space Models

Standard State-Space Model

ssm Create state-space model
ssm Create state-space model
disp Display summary information for state-space model
estimate Maximum likelihood parameter estimation of state-space models
refine Refine initial parameters to aid state-space model estimation
filter Forward recursion of state-space models
smooth Backward recursion of state-space models
simulate Monte Carlo simulation of state-space models
simsmooth State-space model simulation smoother
forecast Forecast states and observations of state-space models

Diffuse State-Space Model

dssm Create diffuse state-space model
dssm Create diffuse state-space model
disp Display summary information for diffuse state-space model
estimate Maximum likelihood parameter estimation of diffuse state-space models
refine Refine initial parameters to aid diffuse state-space model estimation
filter Forward recursion of diffuse state-space models
smooth Backward recursion of diffuse state-space models
forecast Forecast states and observations of diffuse state-space models
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