Econometrics Toolbox

Key Features

  • Univariate ARMAX/GARCH composite models, including EGARCH, GJR, and other variants
  • Multivariate simulation and forecasting of VAR, VEC, and cointegrated models
  • State-space models and Kalman filters for parameter estimation
  • Tests for unit root (Dickey-Fuller, Phillips-Perron) and stationarity (Leybourne-McCabe, KPSS)
  • Statistical tests, including likelihood ratio, LM, Wald, Engle’s ARCH, and Ljung-Box Q
  • Cointegration tests, including Engle-Granger and Johansen
  • Diagnostics and utilities, including AIC/BIC model selection and partial-, auto-, and cross-correlations
  • Hodrick-Prescott filter for business-cycle analysis


Introduction to Econometrics Toolbox 26:17
In this webinar, we’ll demonstrate selected features of Econometrics Toolbox. Econometrics Toolbox lets you perform Monte Carlo simulation and forecasting with linear and nonlinear stochastic differential equations (SDEs) and build univariate ARMAX/G

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Calibrazione e simulazione di modelli di tasso di interesse in MATLAB

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