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Econometrics Toolbox™
User's Guide
R2017a
How to Contact MathWorks
Latest news:
www.mathworks.com
Sales and services:
www.mathworks.com/sales_and_services
User community:
www.mathworks.com/matlabcentral
Technical support:
www.mathworks.com/support/contact_us
Phone: 508-647-7000
The MathWorks, Inc.
3 Apple Hill Drive
Natick, MA 01760-2098
Econometrics Toolbox™ User's Guide
© COPYRIGHT 1999–2017 by The MathWorks, Inc.
The software described in this document is furnished under a license agreement. The software may be used
or copied only under the terms of the license agreement. No part of this manual may be photocopied or
reproduced in any form without prior written consent from The MathWorks, Inc.
FEDERAL ACQUISITION: This provision applies to all acquisitions of the Program and Documentation
by, for, or through the federal government of the United States. By accepting delivery of the Program
or Documentation, the government hereby agrees that this software or documentation qualifies as
commercial computer software or commercial computer software documentation as such terms are used
or defined in FAR 12.212, DFARS Part 227.72, and DFARS 252.227-7014. Accordingly, the terms and
conditions of this Agreement and only those rights specified in this Agreement, shall pertain to and
govern the use, modification, reproduction, release, performance, display, and disclosure of the Program
and Documentation by the federal government (or other entity acquiring for or through the federal
government) and shall supersede any conflicting contractual terms or conditions. If this License fails
to meet the government's needs or is inconsistent in any respect with federal procurement law, the
government agrees to return the Program and Documentation, unused, to The MathWorks, Inc.
Trademarks
MATLAB and Simulink are registered trademarks of The MathWorks, Inc. See
www.mathworks.com/trademarks for a list of additional trademarks. Other product or brand
names may be trademarks or registered trademarks of their respective holders.
Patents
MathWorks products are protected by one or more U.S. patents. Please see
www.mathworks.com/patents for more information.
Revision History
October 2008 Online only Version 1.0 (Release 2008b)
March 2009 Online only Revised for Version 1.1 (Release 2009a)
September 2009 Online only Revised for Version 1.2 (Release 2009b)
March 2010 Online only Revised for Version 1.3 (Release 2010a)
September 2010 Online only Revised for Version 1.4 (Release 2010b)
April 2011 Online only Revised for Version 2.0 (Release 2011a)
September 2011 Online only Revised for Version 2.0.1 (Release 2011b)
March 2012 Online only Revised for Version 2.1 (Release 2012a)
September 2012 Online only Revised for Version 2.2 (Release 2012b)
March 2013 Online only Revised for Version 2.3 (Release 2013a)
September 2013 Online only Revised for Version 2.4 (Release 2013b)
March 2014 Online Only Revised for Version 3.0 (Release 2014a)
October 2014 Online Only Revised for Version 3.1 (Release 2014b)
March 2015 Online Only Revised for Version 3.2 (Release 2015a)
September 2015 Online Only Revised for Version 3.3 (Release 2015b)
March 2016 Online Only Revised for Version 3.4 (Release 2016a)
September 2016 Online Only Revised for Version 3.5 (Release 2016b)
March 2017 Online Only Revised for Version 4.0 (Release 2017a)
Contents
Getting Started
1
Econometrics Toolbox Product Description . . . . . . . . . . . . . 1-2
Key Features . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-2
Econometric Modeling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-3
Model Selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-3
Econometrics Toolbox Features . . . . . . . . . . . . . . . . . . . . . . . 1-3
Econometrics Toolbox Model Objects, Properties, and
Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-8
Model Objects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-8
Model Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-9
Specify Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-11
Retrieve Model Properties . . . . . . . . . . . . . . . . . . . . . . . . . . 1-16
Modify Model Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-17
Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-18
Stochastic Process Characteristics . . . . . . . . . . . . . . . . . . . . 1-20
What Is a Stochastic Process? . . . . . . . . . . . . . . . . . . . . . . . 1-20
Stationary Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-21
Linear Time Series Model . . . . . . . . . . . . . . . . . . . . . . . . . . 1-22
Unit Root Process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-22
Lag Operator Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-24
Characteristic Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-24
Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-27
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