Econometrics Toolbox 1.4

Econometrics Toolbox™ provides functions for modeling economic data. It enables econometricians and financial professionals to select and calibrate economic models for use in simulation and forecasting. Capabilities include univariate ARMAX/GARCH composite models with several GARCH variants, multivariate VARMAX models, Monte Carlo methods for linear and nonlinear stochastic differential equations, and a variety of diagnostic tests.

Key Features

• Univariate ARMAX/GARCH composite models, with EGARCH, GJR, and other variants
• Multivariate VARX and VARMAX simulation and forecasting
• Dickey-Fuller and Phillips-Perron unit root tests
• Monte Carlo simulation of stochastic differential equations (SDEs), including Brownian motion, CEV, CIR, Hull-White, Vasicek, Heston stochastic volatility, and user-defined SDEs
• Statistical tests, including likelihood ratio, Engle’s ARCH, and Ljung-Box Q
• Diagnostic tools, including AIC/BIC model selection and partial-, auto-, and cross-correlation functions
• Hodrick-Prescott filter for business-cycle analysis

Plot of forecasts from a multivariate VARMAX model, produced by the VGXPLOT function.