Econometric Modeler

Analyze and model econometric time series

Description

The Econometric Modeler app provides an interface for interactive exploratory data analysis. The flexible interface supports analysis of univariate and multivariate time series and conditional mean (for example, ARIMA), conditional variance (for example, GARCH), multivariate (for example, VAR and VEC), and time series regression model estimation.

Using the app, you can:

• Visualize and transform time series data.

• Perform statistical specification and model identification tests.

• Estimate candidate models and compare fits.

• Perform post-fit assessments and residual diagnostics.

• Automatically generate code or a report from a session.

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Open the Econometric Modeler App

• MATLAB^® Toolstrip: On the Apps tab, under Computational Finance, click the app icon.

• MATLAB command prompt: Enter econometricModeler.

Examples

• Prepare Time Series Data for Econometric Modeler App
• Import Time Series Data into Econometric Modeler App
• Plot Time Series Data Using Econometric Modeler App
• Detect Serial Correlation Using Econometric Modeler App
• Detect ARCH Effects Using Econometric Modeler App
• Assess Stationarity of Time Series Using Econometric Modeler
• Assess Collinearity Among Multiple Series Using Econometric Modeler App
• Conduct Cointegration Test Using Econometric Modeler
• Transform Time Series Using Econometric Modeler App
• Implement Box-Jenkins Model Selection and Estimation Using Econometric Modeler App
• Estimate Multiplicative ARIMA Model Using Econometric Modeler App
• Perform ARIMA Model Residual Diagnostics Using Econometric Modeler App
• Specify t Innovation Distribution Using Econometric Modeler App
• Estimate ARIMAX Model Using Econometric Modeler App
• Estimate Regression Model with ARMA Errors Using Econometric Modeler App
• Estimate Vector Autoregression Model Using Econometric Modeler
• Estimate Vector Error-Correction Model Using Econometric Modeler
• Compare Predictive Performance After Creating Models Using Econometric Modeler
• Select ARCH Lags for GARCH Model Using Econometric Modeler App
• Compare Conditional Variance Model Fit Statistics Using Econometric Modeler App
• Perform GARCH Model Residual Diagnostics Using Econometric Modeler App
• Share Results of Econometric Modeler App Session

Version History

Introduced in R2018a