Econometric Modeling with Matlab. Multivariate Time Series Models

Download or read book Econometric Modeling with Matlab. Multivariate Time Series Models written by B. Noriega and published by Independently Published. This book was released on 2019-03-06 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometrics Toolbox provides functions for modeling economic data. You can select and estimate economic models for simulation and forecasting. For time series modeling and analysis, the toolbox includes univariate Bayesian linear regression, univariate ARIMAX/GARCH composite models with several GARCH variants, multivariate VARX models, and cointegration analysis. It also provides methods for modeling economic systems using state-space models and for estimating using the Kalman filte. You can use a variety of diagnostics for model selection, including hypothesis tests, unit root, stationarity, and structural change.The more important topics in this book are the next: -"Vector Autoregression (VAR) Models" -"Multivariate Time Series Data Structures" -"Multivariate Time Series Model Creation" -"VAR Model Estimation" -"Convert VARMA Model to VAR Model" -"Fit VAR Model of CPI and Unemployment Rate" -"Fit VAR Model to Simulated Data" -"VAR Model Forecasting, Simulation, and Analysis" -"Generate VAR Model Impulse Responses" -"Compare Generalized and Orthogonalized Impulse Response Functions"-"Forecast VAR Model"-"Forecast VAR Model Using Monte Carlo Simulation" -"Forecast VAR Model Conditional Responses"-"Multivariate Time Series Models with Regression Terms" -"Implement Seemingly Unrelated Regression" -"Estimate Capital Asset Pricing Model Using SUR" -"Simulate Responses of Estimated VARX Model"-"Simulate VAR Model Conditional Responses" -"Simulate Responses Using filter -"VAR Model Case Study" -"Cointegration and Error Correction Analysis" -"Determine Cointegration Rank of VEC Model" -"Identifying Single Cointegrating Relations"-"Test for Cointegration Using the Engle-Granger Test" -"Estimate VEC Model Parameters Using egcitest"-"VEC Model Monte Carlo Forecasts" -"Generate VEC Model Impulse Responses" -"Identifying Multiple Cointegrating Relations" -"Test for Cointegration Using the Johansen Test" -"Estimate VEC Model Parameters Using jcitest" -"Compare Approaches to Cointegration Analysis" -"Testing Cointegrating Vectors and Adjustment Speeds" -"Test Cointegrating Vectors" -"Test Adjustment Speeds"