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Time Series Analysis With MATLAB and Econometrics Toolbox

This document provides an overview of using MATLAB and the Econometrics Toolbox to analyze time series data. It describes important steps like importing data, transforming data, selecting and comparing models, and diagnosing models. It also outlines various time series models and how to estimate, simulate, forecast and diagnose them.

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Kamel Ramtan
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© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
338 views

Time Series Analysis With MATLAB and Econometrics Toolbox

This document provides an overview of using MATLAB and the Econometrics Toolbox to analyze time series data. It describes important steps like importing data, transforming data, selecting and comparing models, and diagnosing models. It also outlines various time series models and how to estimate, simulate, forecast and diagnose them.

Uploaded by

Kamel Ramtan
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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QUICK START GUIDE

Time Series Analysis with MATLAB® and Econometrics Toolbox™


This reference shows common use cases but is not comprehensive.
The icon provides a link to relevant sections of the documentation.

Analyze Time Series Using the Econometric Modeler App

Import data

Conduct a specification test

Transform data

Select models

Perform model diagnostics

Share session results:


• Export variables
• Generate functions and reports

Econometric Modeler App Overview

Data Transformation Data Visualization


Prices Returns ACF Plot PACF Plot Correlation Plot
Returns = price2ret(Prices);  autocorr(y); parcorr(y); corrplot(X);
Prices = ret2price(Returns);

First-Order Differencing
dy = diff(y);
∆𝑦𝑡= 𝑦𝑡− 𝑦𝑡−1

Detrending
y = detrend(y);

Model Comparisons
Akaike or Bayesian Information Criteria
Learn more: mathworks.com/help/econ
[aic,bic] = aicbic(logL,numParam,numObs);

mathworks.com
Specification Tests Conditional Mean Models
ARMA, ARIMA, and ARIMAX
Stationarity
Create Models
[h,pValue] = testName(y);
Mdl = arima(p,D,q);
adftest Augmented Dickey-Fuller test
kpsstest KPSS test for stationarity Estimate/Fit

lmctest [EstMdl,EstParamCov,logL,info] = estimate(Mdl,Y);


Leybourne-McCabe stationarity test
pptest Phillips-Perron test for one unit root Impulse Simulate Forecast
vratiotest Variance ratio test for random walk impulse(Mdl); [Y,E] = ... [Y,YMSE] = ...
simulate ... forecast ...
(EstMdl,numObs); EstMdl,numperiods,Y0);
Heteroscedasticity
Engle test
[h,pValue] = archtest (residual);

Correlation
Ljung-Box Q-Test for autocorrelation
[h,pValue] = lbqtest(residual);

Belsley Collinearity Diagnostics


collintest(X) Multivariate Model
Vector Autoregression (VAR)
Cointegration and Vector-Error Correction (VEC)
egcitest Engle-Granger cointegration test Create Models
jcitest VAR
Johansen cointegration test
Mdl = varm(numseries,numlags);
jcontest Johansen constraint test
VEC
Causality Mdl = vecm(numseries,rank,numlags);
Block-wise Granger causality and block exogeneity tests
[h,pValue] = gctest(Y1,Y2); Estimate/Fit
[EstMdl,EstSE,logL,E] = estimate(Mdl,Y);

Conditional Variance Models Investigate


GARCH, EGARCH, and GJR h = gctest(Mdl); % For VAR model only
Create Models Response = irf(Mdl);
Mdl = garch(p,q); Decomposition = fevd(Mdl);
Mdl = egarch(p,q); Simulate
Mdl = gjr(p,q); [Y,E] = simulate(EstMdl,numObs);

Estimate / Fit
[EstMdl,EstParamCov,logL,info] = estimate(Mdl,Y);
Simulate Forecast
[V,Y] = V =
simulate(EstMdl,numObs); forecast(EstMdl,numperiods,Y0);
Forecast
[Y,YMSE] = forecast(EstMdl,numperiods,Y0);

mathworks.com

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