Linear time series model estimation

Version 2.1.1 (8.29 KB) by Apostolos Panagiotopoulos
A quick and easy way to estimate and analyze linear time series models
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Updated 23 Feb 2024

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The function estimates:
  • Models with exogenous variables only
  • Autoregression models (AR)
  • Vector autoregression models (VAR)
  • Error correction models (ECM)
  • Vector error correction models (VECM)
The avalable estimation methods are the Ordinary Least Squares and the Maximum Likelihood Estimation
The output of the function includes:
  • Coefficients: estimation, standard errors, significance, lower and upper levels
  • Coefficients variance-covariance matrix
  • Residuals
  • Residuals variance-covariance matrix
  • ANOVA
  • Information criteria (AIC, AICc, BIC)
  • log-likelihood
  • R squared
  • Residuals tests: 1) One-sample Kolmogorov-Smirnov test, 2) Augmented Dickey-Fuller test, 3) Kwiatkowski, Phillips, Schmidt, and Shin test, 4) Durbin-Watson test, 5) Ljung-Box Q-test, 6) Engle’s ARCH test, and 7) Cross-sectional correlation (VAR and VECM only).
  • Variance inflation factor (VIF)

Cite As

Apostolos Panagiotopoulos (2024). Linear time series model estimation (https://www.mathworks.com/matlabcentral/fileexchange/98254-linear-time-series-model-estimation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2021a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
2.1.1

Small correction
2.1.0

Addition of the variance inflation factor (VIF) in the outputs and small correction in MLE
2.0.6

Updated output
2.0.5

Correction in the code
2.0.4

Update for better functionality
2.0.3

Small correction in the code
2.0.2

Addition of simulated annealing
2.0.1

Constant of VECM
2.0.0

Addition of the Johansen procedure
1.3.0

Introduction of Maximum Likelihood Estimation option
1.2.6

Correction in the information criteria
1.2.5

Correction in the information criteria formula
1.2.4

Correction in the description
1.2.3

Correction in the notes
1.2.2

Update in ECM
1.2.1

Bug correction
1.2.0

Fixing a bug in VECM
1.1.4

Correction in ECM
1.1.3

Fixing a bug
1.1.2

Addition of residuals covariance and the Durbin-Watson test
1.1.1

small correction in the output
1.1.0

Residuals tests in the output
1.0.5

Small correction in the code
1.0.4

Correction in the comments
1.0.3

Change in the name
1.0.2

Option to use the lag of independent variables
1.0.1

Option to use the lag of independent variables
1.0.0