What Is Econometrics Toolbox?
Econometrics Toolbox™ provides tools to analyze and model time series data. Visualize time series and transform data before modeling. Perform diagnostic tests like stationarity and cointegration on your time series. The product supports both univariate and multivariate time series modeling techniques. Supported techniques include regression, conditional mean models, volatility models, multivariate models like vector autoregression and vector error correction, and switching models. Use Bayesian and state-space models for situations requiring more flexible models. Once the model is specified, generate Monte Carlo simulations to generate distributions or get deterministic forecasts from the model.
Leverage the Econometric Modeler app to perform time series transformations, visualizations, and model selections interactively. The app will then generate code that can be used to automate and deploy the interactive workflow. The app can also generate an automated report that can be used to document and share the results of your analysis with collaborators or colleagues.
To get started with time series modeling, download a free trial of the Econometrics Toolbox.
Published: 5 Apr 2022
Econometrics Toolbox provides functions and interactive tools to analyze and model time series data. You can perform diagnostic tests to check for stationarity, co-integration, and other characteristics in your data. You can visualize time series before and after performing transformations, such as trending or differencing to remove seasonality or enforce stationarity.
The toolbox includes a variety of univariate and multivariate models, along with utilities for analyzing economic systems. Supported univariate models include conditional mean models, such as ARIMA, volatility models such as GARCH, and regression models for time series problems. Supported multivariate models include vector auto-regression and vector error correction.
After specifying a model, you can estimate model parameters and get a deterministic forecast from the model, or generate Monte Carlo simulations to understand distributions. The toolbox also provides the Econometric Modeler App, an interactive tool that eases the typically iterative and time-consuming process of exploring, diagnosing, and modeling time series.
In addition to visualizing and transforming time series, the app enables you to perform statistical specification and model identification tests, fit models to your data, and choose the best model for your application. The app will save you time by generating the corresponding MATLAB code from your session, while also giving you the ability to document your session by generating a report that you can share with collaborators or colleagues.
Econometrics Toolbox also provides Markov and threshold switching models. The model time series containing nonlinearities, cost by regime shifts, like economic recessions. You can leverage Bayesian tools and state-space models in the product for situations requiring more flexible models.
For more information about the Econometrics Toolbox, return to the Product page.