Documentation

Econometrics Toolbox Functions

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

Model Selection

Specification Testing

archtest Engle test for residual heteroscedasticity
autocorr Sample autocorrelation
crosscorr Sample cross-correlation
lbqtest Ljung-Box Q-test for residual autocorrelation
parcorr Sample partial autocorrelation
corrplot Plot variable correlations
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

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

Diagnostic Checks

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

Specification

regARIMA Create regression model with ARIMA time series errors
impulse Impulse response of regression model with ARIMA errors
arima Convert regression model with ARIMA errors to ARIMAX model

Estimation

estimate Estimate parameters of regression models with ARIMA errors
infer Infer innovations of regression models with ARIMA errors
print Display estimation results for regression models with ARIMA errors
arima Convert regression model with ARIMA errors to ARIMAX model
hac Heteroscedasticity and autocorrelation consistent covariance estimators
fgls Feasible generalized least squares

Simulation

simulate Monte Carlo simulation of regression model with ARIMA errors
filter Filter disturbances through regression model with ARIMA errors

Forecasting

forecast Forecast responses of regression model with ARIMA errors

Conditional Mean Models

Specification

arima Create ARIMA or ARIMAX time series model
LagOp Create lag operator polynomial (LagOp) object
impulse Impulse response function
arma2ar Convert ARMA model to AR model
arma2ma Convert ARMA model to MA model

Estimation

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
hac Heteroscedasticity and autocorrelation consistent covariance estimators
fgls Feasible generalized least squares

Simulation

simulate Monte Carlo simulation of ARIMA or ARIMAX models
filter Filter disturbances using ARIMA or ARIMAX model

Forecasting

forecast Forecast ARIMA or ARIMAX process

Conditional Variance Models

Specification

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

Estimation

garch GARCH conditional variance time series model
egarch EGARCH conditional variance time series model
gjr GJR conditional variance time series model
estimate Fit conditional variance model to data
infer Infer conditional variances of conditional variance models
print Display parameter estimation results for conditional variance models

Simulation

garch GARCH conditional variance time series model
egarch EGARCH conditional variance time series model
gjr GJR conditional variance time series model
simulate Monte Carlo simulation of conditional variance models
filter Filter disturbances through conditional variance model

Forecasting

garch GARCH conditional variance time series model
egarch EGARCH conditional variance time series model
gjr GJR conditional variance time series model
forecast Forecast conditional variances from conditional variance models

Multivariate Models

Specification

vartovec Vector autoregression (VAR) to vector error-correction model (VEC)
vectovar Vector error-correction (VEC) to vector autoregression (VAR)
vgxget Get VARMAX model specification parameters
vgxset Set VARMAX model specification parameters

Estimation

egcitest Engle-Granger cointegration test
jcitest Johansen cointegration test
jcontest Johansen constraint test
vartovec Vector autoregression (VAR) to vector error-correction model (VEC)
vectovar Vector error-correction (VEC) to vector autoregression (VAR)
vgxar Convert VARMA model to VAR model
vgxma Convert VARMA model to VMA model
vgxvarx Estimate VARX model parameters
vgxdisp Display VARMAX model parameters and statistics
vgxqual Test VARMAX model for stability/invertibility
vgxplot Plot VARMAX model responses
vgxinfer Infer VARMAX model innovations

Simulation

vgxsim Simulate VARMAX model responses

Forecasting

vgxpred Forecast VARMAX model responses
vgxproc Generate VARMAX model responses from innovations

State-Space Models

Specification

ssm Create state-space model
disp Display summary information for state-space models

Estimation

estimate Estimate state-space model parameters
refine Refine initial parameters to aid estimation of state-space models
disp Display summary information for state-space models
filter Forward recursion of state-space models
smooth Backward recursion of a state-space model
simsmooth State-space model simulation smoother

Simulation

simulate Monte Carlo simulation of state-space models
simsmooth State-space model simulation smoother

Forecasting

forecast Forecast states and observations of state-space models
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