Econometrics Toolbox Icon

Econometrics Toolbox

Model and analyze financial and economic systems using statistical methods.

Econometrics ToolboxOverview

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

NEW

Fixed some bugs.

Econometrics ToolboxInformation

Version
1.1
Date
03.25.09
License
Trial
Language
English
File Size
N/A
SubCategory
Operating Systems
Windows XP, 2000, 98,Mac OS X,Linux
System Requirements
No additional system requirements.
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