Econometrics Toolbox Functions
Alphabetical List
By Category
A
adftest |
Augmented Dickey-Fuller test |
aicbic |
Akaike or Bayesian information criteria |
archtest |
Engle test for residual heteroscedasticity |
arima |
Create ARIMA or ARIMAX time series model |
arima |
Convert regression model with ARIMA errors to ARIMAX model |
arma2ar |
把手臂A model to AR model |
arma2ma |
把手臂A model to MA model |
armairf |
Generate ARMA model impulse responses |
asymptotics |
Determine Markov chain asymptotics |
autocorr |
Sample autocorrelation |
B
bayeslm |
Create Bayesian linear regression model object |
C
chowtest |
Chow test for structural change |
classify |
Classify Markov chain states |
collintest |
Belsley collinearity diagnostics |
conjugateblm |
Bayesian linear regression model with conjugate prior for data likelihood |
corrplot |
Plot variable correlations |
crosscorr |
Sample cross-correlation |
customblm |
Bayesian linear regression model with custom joint prior distribution |
cusumtest |
Cusum test for structural change |
D
diffuseblm |
Bayesian linear regression model with diffuse conjugate prior for data likelihood |
disp |
Display summary information for state-space model |
disp |
Display summary information for diffuse state-space model |
distplot |
Plot Markov chain redistributions |
dssm |
Create diffuse state-space model |
dtmc |
Create discrete-time Markov chain |
E
egarch |
EGARCH conditional variance time series model |
egarch |
Create EGARCH conditional variance model object |
egcitest |
Engle-Granger cointegration test |
eigplot |
Plot Markov chain eigenvalues |
empiricalblm |
Bayesian linear regression model with samples from prior or posterior distributions |
estimate |
Estimate parameters of regression models with ARIMA errors |
estimate |
Fit parameters of Bayesian linear regression model to data |
estimate |
Estimate ARIMA or ARIMAX model parameters |
estimate |
Fit conditional variance model to data |
estimate |
Fit vector autoregression (VAR) model to data |
estimate |
Fit vector error-correction (VEC) model to data |
estimate |
最大似然参数估计的状态pace models |
estimate |
Maximum likelihood parameter estimation of diffuse state-space models |
F
fgls |
Feasible generalized least squares |
filter |
Filter disturbances through regression model with ARIMA errors |
filter |
Filter disturbances using ARIMA or ARIMAX model |
filter |
Filter disturbances through conditional variance model |
filter |
Filter disturbances through vector autoregression (VAR) model |
filter |
Filter disturbances through vector error-correction (VEC) model |
filter |
Forward recursion of state-space models |
filter |
Forward recursion of diffuse state-space models |
forecast |
Forecast responses of regression model with ARIMA errors |
forecast |
Forecast responses of Bayesian linear regression model |
forecast |
Forecast ARIMA or ARIMAX process |
forecast |
Forecast conditional variances from conditional variance models |
forecast |
Forecast vector autoregression (VAR) model responses |
forecast |
Forecast vector error-correction (VEC) model responses |
forecast |
Forecast states and observations of state-space models |
forecast |
Forecast states and observations of diffuse state-space models |
G
garch |
GARCH conditional variance time series model |
garch |
Create GARCH conditional variance model object |
gjr |
GJR conditional variance time series model |
gjr |
Create GJR conditional variance model object |
graphplot |
Plot Markov chain directed graph |
H
hac |
Heteroscedasticity and autocorrelation consistent covariance estimators |
hpfilter |
Hodrick-Prescott filter for trend and cyclical components |
I
i10test |
Paired integration and stationarity tests |
impulse |
Impulse response of regression model with ARIMA errors |
impulse |
Impulse response function |
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 |
infer |
Infer vector autoregression model (VAR) innovations |
infer |
Infer vector error-correction (VEC) model innovations |
isergodic |
Check Markov chain for ergodicity |
isreducible |
Check Markov chain for reducibility |
isStable |
Determine stability of lag operator polynomial |
J
jcitest |
Johansen cointegration test |
jcontest |
Johansen constraint test |
K
kpsstest |
KPSS test for stationarity |
L
lagmatrix |
Create matrix of lagged time series |
LagOp |
Create lag operator polynomial (LagOp) object |
LagOp.isEqLagOp |
Determine if two LagOp objects are same mathematical polynomial |
LagOp.isNonZero |
Find lags associated with nonzero coefficients of LagOp objects |
LagOp.minus |
Lag operator polynomial subtraction |
LagOp.mldivide |
Lag operator polynomial left division |
LagOp.mrdivide |
Lag operator polynomial right division |
LagOp.mtimes |
Lag operator polynomial multiplication |
LagOp.plus |
Lag operator polynomial addition |
lazy |
Adjust Markov chain state inertia |
lbqtest |
Ljung-Box Q-test for residual autocorrelation |
lmctest |
Leybourne-McCabe stationarity test |
lmtest |
Lagrange multiplier test of model specification |
lratiotest |
Likelihood ratio test of model specification |
M
mcmix |
Create random Markov chain with specified mixing structure |
P
parcorr |
Sample partial autocorrelation |
plot |
Visualize prior and posterior densities of Bayesian linear regression model parameters |
pptest |
Phillips-Perron test for one unit root |
price2ret |
Convert prices to returns |
print |
Display estimation results for regression models with ARIMA errors |
print |
Display parameter estimation results for ARIMA or ARIMAX models |
print |
Display parameter estimation results for conditional variance models |
R
recessionplot |
Overlay recession bands on a time series plot |
recreg |
Recursive linear regression |
redistribute |
Compute Markov chain redistributions |
refine |
Refine initial parameters to aid state-space model estimation |
refine |
Refine initial parameters to aid diffuse state-space model estimation |
reflect |
Reflect lag operator polynomial coefficients around lag zero |
regARIMA |
Create regression model with ARIMA time series errors |
ret2price |
Convert returns to prices |
S
sampleroptions |
Create Markov chain Monte Carlo (MCMC) sampler options |
semiconjugateblm |
Bayesian linear regression model with semiconjugate prior for data likelihood |
simplot |
Plot Markov chain simulations |
simsmooth |
State-space model simulation smoother |
simulate |
Monte Carlo simulation of regression model with ARIMA errors |
simulate |
Simulate regression coefficients and disturbance variance of Bayesian linear regression model |
simulate |
Monte Carlo simulation of ARIMA or ARIMAX models |
simulate |
Monte Carlo simulation of conditional variance models |
simulate |
Monte Carlo simulation of vector autoregression (VAR) model |
simulate |
Monte Carlo simulation of vector error-correction (VEC) model |
simulate |
Simulate Markov chain state walks |
simulate |
Monte Carlo simulation of state-space models |
smooth |
Backward recursion of state-space models |
smooth |
Backward recursion of diffuse state-space models |
ssm |
Create state-space model |
subchain |
Extract Markov subchain |
summarize |
Distribution summary statistics of Bayesian linear regression model |
summarize |
Display vector autoregression (VAR) model estimation results |
summarize |
Display vector error-correction (VEC) model estimation results |
T
toCellArray |
Convert lag operator polynomial object to cell array |
V
var2vec |
Convert VAR model to VEC model |
varm |
Create vector autoregression (VAR) model |
varm |
Convert vector error-correction (VEC) model to vector autoregression (VAR) model |
vec2var |
Convert VEC model to VAR model |
vecm |
Convert vector autoregression (VAR) model to vector error-correction (VEC) model |
vecm |
Create vector error-correction (VEC) model |
vgxar |
(To be removed) Convert VARMA model to VAR model |
vgxcount |
(To be removed) Count VARMAX model parameters |
vgxdisp |
(To be removed) Display VARMAX model parameters and statistics |
vgxget |
(To be removed) Get VARMAX model specification parameters |
vgxinfer |
(To be removed) Infer VARMAX model residuals |
vgxloglik |
(To be removed) VARMAX model loglikelihoods |
vgxma |
(To be removed) Convert VARMA model to VMA model |
vgxplot |
(To be removed) Plot VARMAX model responses |
vgxpred |
(To be removed) Forecast VARMAX model responses |
vgxproc |
(To be removed) Generate VARMAX model responses from innovations |
vgxqual |
(To be removed) Test VARMAX model for stability/invertibility |
vgxset |
(To be removed) Set VARMAX model specification parameters |
vgxsim |
(To be removed) Simulate VARMAX model responses |
vgxvarx |
(To be removed) Estimate VARX model parameters |
vratiotest |
Variance ratio test for random walk |
W
waldtest |
Wald test of model specification |
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