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Econometrics Toolbox Classes

Alphabetical List By Category

Data Preprocessing

LagOp Create lag operator polynomial (LagOp) object

Model Selection

Nonspherical Models

arima Create ARIMA or ARIMAX time series model
regARIMA Create regression model with ARIMA time series errors

Time Series Regression Models

regARIMA Create regression model with ARIMA time series errors

Conditional Mean Models

arima Create ARIMA or ARIMAX time series model
LagOp Create lag operator polynomial (LagOp) object

Conditional Variance Models

GARCH Model

garch GARCH conditional variance time series model

EGARCH Model

egarch EGARCH conditional variance time series model

GJR Model

gjr GJR conditional variance time series model

State-Space Models

Standard State-Space Model

ssm Create state-space model

Diffuse State-Space Model

dssm Create diffuse state-space model
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