Econometrics Toolbox 1.3

Sample Functions

Univariate Time-Series Modeling

• Estimate parameters of composite ARMAX/GARCH processes
• Forecast conditional mean and volatility of ARMAX/GARCH processes
• Simulate ARMAX/GARCH processes
• Infer residuals and time-dependent standard deviations

Multiple Time-Series Modeling

• Estimate parameters of VAR/VARX multiple time-series processes
• Forecast VARMAX multiple time-series processes
• Simulate VARMAX multiple time-series processes
• Infer residuals from VARMAX multiple time-series processes

Monte Carlo Simulation of Stochastic Differential Equations

• Simulate common stochastic differential equations with predefined model classes
• Simulate any linear or nonlinear stochastic differential equation with predefined interfaces

Statistics and Tests

• Compute Akaike and Bayesian information criteria for model selection
• Perform Engle’s hypothesis test for the presence of ARCH/GARCH
• Compute or plot sample autocorrelation, cross-correlation, and partial autocorrelation functions
• Perform Ljung-Box Q-statistic lack-of-fit and likelihood ratio hypothesis tests
• Perform Dickey-Fuller and Phillips-Perron unit root test