[转帖]matlab 2008b 新的Econometrics Toolbox 1.0 - MATLAB等数学软件专版

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rayho 发表于 2008-10-10 11:20:00 |只看作者 |坛友微信交流群|倒序 |AI写论文

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Model and analyze financial and economic systems using statistical methods

Econometrics Toolbox™ provides functions for modeling economic principles and behavior, with a focus on volatility modeling. It lets you perform Monte Carlo simulation and forecasting with linear and nonlinear stochastic differential equations (SDEs) and build univariate ARMAX/GARCH composite models with several GARCH variants and multivariate VARMAX models. You can use the toolbox to generate minimum mean square error forecasts, estimate parameters in ARMAX/GARCH models and unrestricted/restricted VARX models, and model volatility with Heston stochastic volatility models. You can also perform diagnostic and statistical hypothesis tests, including the likelihood ratio test and variants of Dickey-Fuller and Phillips-Perron unit root tests.

http://www.mathworks.com/products/econometrics/index.html?s_cid=HP_FP_ML_EconometricsToolbox

其实就是在以前GARCH Toolbox基础上开发的。有多元时间序列相关工具了。

另外，statics toolbox里面增加了一非线性混合效应拟合函数：nlmefit。