Linear time series model estimation

버전 2.1.1 (8.29 KB) 작성자: Apostolos Panagiotopoulos
A quick and easy way to estimate and analyze linear time series models
0.0
(0)
다운로드 수: 159
업데이트 날짜: 2024/2/23

라이선스 보기

The function estimates:
  • Models with exogenous variables only
  • Autoregression models (AR)
  • Vector autoregression models (VAR)
  • Error correction models (ECM)
  • Vector error correction models (VECM)
The avalable estimation methods are the Ordinary Least Squares and the Maximum Likelihood Estimation
The output of the function includes:
  • Coefficients: estimation, standard errors, significance, lower and upper levels
  • Coefficients variance-covariance matrix
  • Residuals
  • Residuals variance-covariance matrix
  • ANOVA
  • Information criteria (AIC, AICc, BIC)
  • log-likelihood
  • R squared
  • Residuals tests: 1) One-sample Kolmogorov-Smirnov test, 2) Augmented Dickey-Fuller test, 3) Kwiatkowski, Phillips, Schmidt, and Shin test, 4) Durbin-Watson test, 5) Ljung-Box Q-test, 6) Engle’s ARCH test, and 7) Cross-sectional correlation (VAR and VECM only).
  • Variance inflation factor (VIF)

인용 양식

Apostolos Panagiotopoulos (2024). Linear time series model estimation (https://www.mathworks.com/matlabcentral/fileexchange/98254-linear-time-series-model-estimation), MATLAB Central File Exchange. 검색됨 .

MATLAB 릴리스 호환 정보
개발 환경: R2021a
모든 릴리스와 호환
플랫폼 호환성
Windows macOS Linux
태그 태그 추가

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

버전 게시됨 릴리스 정보
2.1.1

Small correction
2.1.0

Addition of the variance inflation factor (VIF) in the outputs and small correction in MLE
2.0.6

Updated output
2.0.5

Correction in the code
2.0.4

Update for better functionality
2.0.3

Small correction in the code
2.0.2

Addition of simulated annealing
2.0.1

Constant of VECM
2.0.0

Addition of the Johansen procedure
1.3.0

Introduction of Maximum Likelihood Estimation option
1.2.6

Correction in the information criteria
1.2.5

Correction in the information criteria formula
1.2.4

Correction in the description
1.2.3

Correction in the notes
1.2.2

Update in ECM
1.2.1

Bug correction
1.2.0

Fixing a bug in VECM
1.1.4

Correction in ECM
1.1.3

Fixing a bug
1.1.2

Addition of residuals covariance and the Durbin-Watson test
1.1.1

small correction in the output
1.1.0

Residuals tests in the output
1.0.5

Small correction in the code
1.0.4

Correction in the comments
1.0.3

Change in the name
1.0.2

Option to use the lag of independent variables
1.0.1

Option to use the lag of independent variables
1.0.0