Econometrics Toolbox


Econometrics Toolbox

Model and analyze financial and economic systems using statistical time series methods

Interactive Time Series Modeling

Use the Econometric Modeler app to preprocess, visualize, and perform model identification and parameter estimations. Estimate and compare univariate as well as multivariate time series models and generate MATLAB code or reports from the app.

Conditional Mean and Regression Modeling

Fit, simulate, and forecast univariate and multivariate time series with models such as ARIMA, Bayesian Regression, vector autoregression (VAR), and vector error-correction (VEC).

Volatility Modeling

Fit, simulate, and forecast volatility using variance models such as GARCH, GJR, and EGARCH.

Regime-Switching Modeling

Model the dynamic behavior of univariate and multivariate time series in the presence of structural breaks and economic regime shifts.

State-Space Modeling

Create and simulate time-invariant or time-varying state-space models. Estimate model parameters from full data sets or from data sets with missing data using a Kalman filter.

Hypothesis Testing

Perform a variety of pre- and post-estimation diagnostic tests, including stationarity, correlation, heteroscedasticity, structural change, collinearity, and cointegration.

"My expertise is in finance, not programming. To perform sophisticated analysis on vast amounts of data, I needed software that was easy to use and included many of the functions I needed. With MATLAB I can do everything in one environment, and that is a real benefit."

Omid Rezania, CalPERS

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