Get Started with Econometrics Toolbox

Econometrics Toolbox™ provides functions and interactive workflows for modeling, analyzing, and forecasting economic and financial time series data. It offers a wide range of visualizations and diagnostics for model selection, including tests for autocorrelation and heteroscedasticity, unit roots and stationarity, cointegration, causality, and structural change. You can estimate, simulate, and forecast economic systems using a variety of modeling frameworks that can be used either interactively, using the Econometric Modeler app, or programmatically, using functions provided in the toolbox. These frameworks include regression, ARIMA, state-space, GARCH, multivariate VAR and VEC, and switching models. Bayesian tools, included with the toolbox, enable adaptive modeling for time-varying systems.

Tutorials

• Time Series Regression I: Linear Models
  

  This example introduces basic assumptions behind multiple linear regression models.

• Analyze Time Series Data Using Econometric Modeler
  

  Interactively visualize and analyze univariate or multivariate time series data.

• Choose Time Series Filter for Business Cycle Analysis
  

  Compare the performance of the two-sided Hodrick-Prescott filter, on performing business cycle analysis, against the Baxter-King, Christiano-Fitzgerald, one-sided Hodrick-Prescott, and Hamilton filters.

• Assess Stationarity of a Time Series
  

  This example shows how to check whether a linear time series is a unit root process in several ways.

• Estimate Seasonal ARIMA (SARIMA) Model
  

  Estimate a multiplicative seasonal ARIMA model.

• Estimate Conditional Mean and Variance Model
  

  Estimate a composite conditional mean and variance model.

• Vector Autoregression (VAR) Model Creation
  

  Represent a vector autoregression (VAR) model using a varm object.

• Create Continuous State-Space Models for Economic Data Analysis
  

  Learn how Econometrics Toolbox supports state-space modeling of time series.

About Econometrics

• Stochastic Process Characteristics
  

  Understand the definition, forms, and properties of stochastic processes.

• Econometric Modeling
  

  Understand model-selection techniques and Econometrics Toolbox features.

• Represent Time Series Models Using Econometrics Toolbox Objects
  

  Learn how to represent time series models as model objects.