Get Started with Econometrics Toolbox
Econometrics Toolbox™ provides functions for analyzing and modeling time series data. It offers a wide range of visualizations and diagnostics for model selection, including tests for autocorrelation and heteroscedasticity, unit roots and stationarity, cointegration, causality, and structural change. You can estimate, simulate, and forecast economic systems using a variety of modeling frameworks. These frameworks include regression, ARIMA, state-space, GARCH, multivariate VAR and VEC, and switching models. The toolbox also provides Bayesian tools for developing time-varying models that learn from new data.
- Econometric Modeler App Overview
The Econometric Modeler app is an interactive tool for visualizing and analyzing univariate time series data.
- Estimate Multiplicative ARIMA Model
Estimate a multiplicative seasonal ARIMA model.
- Estimate a Regression Model with Multiplicative ARIMA Errors
Fit a regression model with multiplicative ARIMA errors to data using
- Estimate Conditional Mean and Variance Model
Estimate a composite conditional mean and variance model.
- Implement Bayesian Linear Regression
Combine standard Bayesian linear regression prior models and data to estimate posterior distribution features or to perform Bayesian predictor selection. Both workflows yield posterior models that are well suited for further analysis, such as forecasting.
- Fit VAR Model of CPI and Unemployment Rate
Estimate a VAR model composed of the consumer price index and unemployment rate.
- Create State-Space Model with Unknown Parameters
Explicitly and implicitly create state-space models with unknown parameters.
- Estimate Time-Invariant State-Space Model
Generate data from a known model, specify a state-space model containing unknown parameters corresponding to the data generating process, and then fit the state-space model to the data.
- Stochastic Process Characteristics
Understand the definition, forms, and properties of stochastic processes.
- Econometric Modeling
Understand model-selection techniques and Econometrics Toolbox features.
- Econometrics Toolbox Model Objects, Properties, and Object Functions
Learn how to create and work with Econometrics Toolbox model objects.