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.

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

See Also

Objects
arima | regARIMA | garch | gjr | egarch | varm | vecm

Functions
autocorr | parcorr | crosscorr | adftest | kpsstest | lmctest | lbqtest | archtest | vratiotest | pptest | collintest | egcitest | jcitest | aicbic

Topics
Analyze Time Series Data Using Econometric Modeler
Specifying Univariate Lag Operator Polynomials Interactively
Specifying Multivariate Lag Operator Polynomials and Coefficient Constraints Interactively