Multivariate Time Series Analysis With Matlab

Multivariate Time Series Analysis With Matlab

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MATLAB Econometrics Toolbox provides functions for modeling economic data You can select and calibrate economic models for simulation and forecasting Time series capabilities include univariate ARMAX/GARCH composite models with several GARCH variants, multivariate VARMAX models, and cointegration analysis The toolbox provides Monte Carlo methods for simulating systems of linear and nonlinear stochastic differential equations and a variety of diagnostics for model selection, including hypothesis, unit root, and stationarity tests.This book develops, among others, the following topics Multivariate Time Series ModelsVector Autoregressive Models Introduction to Vector Autoregressive (VAR) Models Data Structures Model Specification Structures VAR and VARMAX Model Estimation VAR and VARMAX Model Forecasting, Simulation, and Analysis VAR and VARMAX Model Case Study Cointegration and Error Correction Introduction to Cointegration Analysis Identifying Single Cointegrating Relations Identifying Multiple Cointegrating Relations Testing Cointegrating Vectors and Adjustment SpeedsMATLAB Econometrics Toolbox provides functions for modeling economic data You can select and calibrate economic models for simulation and forecasting Time series capabilities include univariate ARMAX/GARCH composite models with several ...


Title:Multivariate Time Series Analysis With Matlab
Author: Mara Prez
Publisher:CreateSpace - 2014-09-12
ISBN-13:

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