Econometrics Toolbox

Model and analyze financial and economic systems using statistical methods

Econometrics Toolbox™ provides functions for modeling economic data. You can select and estimate economic models for simulation and forecasting. For time series modeling and analysis, the toolbox includes univariate Bayesian linear regression, univariate ARIMAX/GARCH composite models with several GARCH variants, multivariate VARX 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 diagnostics for model selection, including hypothesis tests, unit root, stationarity, and structural change.

Getting Started

Learn the basics of Econometrics Toolbox

Data Preprocessing

Format, plot, and transform time series data

Model Selection

Specification testing and model assessment

Time Series Regression Models

Bayesian linear regression models and regression models with nonspherical disturbances

Conditional Mean Models

Autoregressive (AR), moving average (MA), ARMA, ARIMA, ARIMAX, and seasonal models

Conditional Variance Models

GARCH, exponential GARCH (EGARCH), and GJR models

Multivariate Models

Cointegration analysis, and vector autoregression (VAR) and vector error-correction (VEC) models

Markov Models

Discrete-time Markov chains, Markov-switching autoregression, and state-space models