Econometrics Toolbox

Model and analyze financial and economic systems using statistical methods

Econometrics Toolbox™ provides functions for modeling and analyzing time series data. It offers a wide range of diagnostic tests for model selection, including tests for impulse analysis, unit roots and stationarity, cointegration, and structural change. You can estimate, simulate, and forecast economic systems using a variety of models, including, regression, ARIMA, state space, GARCH, multivariate VAR and VEC, and switching models representing dynamic shifts in data. The toolbox also provides Bayesian and Markov-based tools for developing time-varying models that learn from new data.

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

Markov Models

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