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ویرایش:
نویسندگان: The MathWorks. Inc.
سری:
ناشر: The MathWorks, Inc.
سال نشر: 2022
تعداد صفحات: 4164
زبان: English
فرمت فایل : PDF (درصورت درخواست کاربر به PDF، EPUB یا AZW3 تبدیل می شود)
حجم فایل: 27 مگابایت
در صورت تبدیل فایل کتاب MathWorks Econometrics Toolbox™ User's Guide به فرمت های PDF، EPUB، AZW3، MOBI و یا DJVU می توانید به پشتیبان اطلاع دهید تا فایل مورد نظر را تبدیل نمایند.
توجه داشته باشید کتاب راهنمای کاربر MathWorks Econometrics Toolbox™ نسخه زبان اصلی می باشد و کتاب ترجمه شده به فارسی نمی باشد. وبسایت اینترنشنال لایبرری ارائه دهنده کتاب های زبان اصلی می باشد و هیچ گونه کتاب ترجمه شده یا نوشته شده به فارسی را ارائه نمی دهد.
Getting Started Econometrics Toolbox Product Description Econometric Modeling Model Selection Econometrics Toolbox Features Represent Time Series Models Using Econometrics Toolbox Objects Model Objects Model Properties Create Model Object Retrieve Model Properties Modify Model Properties Object Functions Stochastic Process Characteristics What Is a Stochastic Process? Stationary Processes Linear Time Series Model Unit Root Process Lag Operator Notation Characteristic Equation Bibliography Data Preprocessing Data Transformations Why Transform? Common Data Transformations Trend-Stationary vs. Difference-Stationary Processes Nonstationary Processes Trend Stationary Difference Stationary Specify Lag Operator Polynomials Lag Operator Polynomial of Coefficients Difference Lag Operator Polynomials Nonseasonal Differencing Nonseasonal and Seasonal Differencing Time Series Decomposition Moving Average Filter Moving Average Trend Estimation Parametric Trend Estimation Hodrick-Prescott Filter Use Hodrick-Prescott Filter to Reproduce Original Result Seasonal Filters What Is a Seasonal Filter? Stable Seasonal Filter Sn × m seasonal filter Seasonal Adjustment What Is Seasonal Adjustment? Deseasonalized Series Seasonal Adjustment Process Seasonal Adjustment Using a Stable Seasonal Filter Seasonal Adjustment Using S(n,m) Seasonal Filters Model Selection Box-Jenkins Methodology Select ARIMA Model for Time Series Using Box-Jenkins Methodology Autocorrelation and Partial Autocorrelation What Are Autocorrelation and Partial Autocorrelation? Theoretical ACF and PACF Sample ACF and PACF Compute Sample ACF and PACF in MATLAB® Ljung-Box Q-Test Detect Autocorrelation Compute Sample ACF and PACF Conduct the Ljung-Box Q-Test Engle’s ARCH Test Detect ARCH Effects Test Autocorrelation of Squared Residuals Conduct Engle\'s ARCH Test Unit Root Nonstationarity What Is a Unit Root Test? Modeling Unit Root Processes Available Tests Testing for Unit Roots Unit Root Tests Test Simulated Data for a Unit Root Test Time Series Data for Unit Root Test Stock Data for a Random Walk Assess Stationarity of a Time Series Information Criteria for Model Selection Compute Information Criteria Using aicbic Model Comparison Tests Available Tests Likelihood Ratio Test Lagrange Multiplier Test Wald Test Covariance Matrix Estimation Conduct Lagrange Multiplier Test Conduct Wald Test Compare GARCH Models Using Likelihood Ratio Test Classical Model Misspecification Tests Check Fit of Multiplicative ARIMA Model Goodness of Fit Residual Diagnostics Check Residuals for Normality Check Residuals for Autocorrelation Check Residuals for Conditional Heteroscedasticity Assess Predictive Performance Nonspherical Models What Are Nonspherical Models? Plot a Confidence Band Using HAC Estimates Change the Bandwidth of a HAC Estimator Check Model Assumptions for Chow Test Power of the Chow Test Econometric Modeler Analyze Time Series Data Using Econometric Modeler Prepare Data for Econometric Modeler App Import Time Series Variables Perform Exploratory Data Analysis Fitting Models to Data Conducting Goodness-of-Fit Checks Finding Model with Best In-Sample Fit Export Session Results Specifying Univariate Lag Operator Polynomials Interactively Specify Lag Structure Using Lag Order Tab Specify Lag Structure Using Lag Vector Tab Specifying Multivariate Lag Operator Polynomials and Coefficient Constraints Interactively Specify Lag Structure Using Lag Order Tab Specify Lag Structure Using Lag Vector Tab Specify Coefficient Matrix Equality Constraints for Estimation Prepare Time Series Data for Econometric Modeler App Prepare Table of Multivariate Data for Import Prepare Numeric Vector for Import Import Time Series Data into Econometric Modeler App Import Data from MATLAB Workspace Import Data from MAT-File Plot Time Series Data Using Econometric Modeler App Plot Univariate Time Series Data Plot Multivariate Time Series and Correlations Detect Serial Correlation Using Econometric Modeler App Plot ACF and PACF Conduct Ljung-Box Q-Test for Significant Autocorrelation Detect ARCH Effects Using Econometric Modeler App Inspect Correlograms of Squared Residuals for ARCH Effects Conduct Ljung-Box Q-Test on Squared Residuals Conduct Engle\'s ARCH Test Assess Stationarity of Time Series Using Econometric Modeler Test Assuming Unit Root Null Model Test Assuming Stationary Null Model Test Assuming Random Walk Null Model Assess Collinearity Among Multiple Series Using Econometric Modeler App Transform Time Series Using Econometric Modeler App Apply Log Transformation to Data Stabilize Time Series Using Nonseasonal Differencing Convert Prices to Returns Remove Seasonal Trend from Time Series Using Seasonal Difference Remove Deterministic Trend from Time Series Implement Box-Jenkins Model Selection and Estimation Using Econometric Modeler App Select ARCH Lags for GARCH Model 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 Vector Autoregression Model Using Econometric Modeler Conduct Cointegration Test Using Econometric Modeler Estimate Vector Error-Correction Model Using Econometric Modeler Compare Predictive Performance After Creating Models Using Econometric Modeler Estimate ARIMAX Model Using Econometric Modeler App Estimate Regression Model with ARMA Errors 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 Time Series Regression Models Time Series Regression Models Regression Models with Time Series Errors What Are Regression Models with Time Series Errors? Conventions Create Regression Models with ARIMA Errors Default Regression Model with ARIMA Errors Specifications Specify regARIMA Models Using Name-Value Pair Arguments Specify Linear Regression Models Using Econometric Modeler App Specify the Default Regression Model with ARIMA Errors Modify regARIMA Model Properties Modify Properties Using Dot Notation Nonmodifiable Properties Create Regression Models with AR Errors Default Regression Model with AR Errors AR Error Model Without an Intercept AR Error Model with Nonconsecutive Lags Known Parameter Values for a Regression Model with AR Errors Regression Model with AR Errors and t Innovations Create Regression Models with MA Errors Default Regression Model with MA Errors MA Error Model Without an Intercept MA Error Model with Nonconsecutive Lags Known Parameter Values for a Regression Model with MA Errors Regression Model with MA Errors and t Innovations Create Regression Models with ARMA Errors Default Regression Model with ARMA Errors ARMA Error Model Without an Intercept ARMA Error Model with Nonconsecutive Lags Known Parameter Values for a Regression Model with ARMA Errors Regression Model with ARMA Errors and t Innovations Specify Regression Model with ARMA Errors Using Econometric Modeler App Create Regression Models with ARIMA Errors Default Regression Model with ARIMA Errors ARIMA Error Model Without an Intercept ARIMA Error Model with Nonconsecutive Lags Known Parameter Values for a Regression Model with ARIMA Errors Regression Model with ARIMA Errors and t Innovations Create Regression Models with SARIMA Errors SARMA Error Model Without an Intercept Known Parameter Values for a Regression Model with SARIMA Errors Regression Model with SARIMA Errors and t Innovations Specify Regression Model with SARIMA Errors Specify ARIMA Error Model Innovation Distribution About the Innovation Process Innovation Distribution Options Specify Innovation Distribution Impulse Response of Regression Models with ARIMA Errors Plot Impulse Response of Regression Model with ARIMA Errors Regression Model with AR Errors Regression Model with MA Errors Regression Model with ARMA Errors Regression Model with ARIMA Errors Maximum Likelihood Estimation of regARIMA Models Innovation Distribution Loglikelihood Functions regARIMA Model Estimation Using Equality Constraints Presample Values for regARIMA Model Estimation Initial Values for regARIMA Model Estimation Optimization Settings for regARIMA Model Estimation Optimization Options Constraints on Regression Models with ARIMA Errors Estimate Regression Model with ARIMA Errors Estimate a Regression Model with Multiplicative ARIMA Errors Select Regression Model with ARIMA Errors Choose Lags for ARMA Error Model Intercept Identifiability in Regression Models with ARIMA Errors Intercept Identifiability Intercept Identifiability Illustration Alternative ARIMA Model Representations Mathematical Development of regARIMA to ARIMAX Model Conversion Show Conversion in MATLAB® Simulate Regression Models with ARMA Errors Simulate an AR Error Model Simulate an MA Error Model Simulate an ARMA Error Model Simulate Regression Models with Nonstationary Errors Simulate a Regression Model with Nonstationary Errors Simulate a Regression Model with Nonstationary Exponential Errors Simulate Regression Models with Multiplicative Seasonal Errors Simulate a Regression Model with Stationary Multiplicative Seasonal Errors Untitled Monte Carlo Simulation of Regression Models with ARIMA Errors What Is Monte Carlo Simulation? Generate Monte Carlo Sample Paths Monte Carlo Error Presample Data for regARIMA Model Simulation Transient Effects in regARIMA Model Simulations What Are Transient Effects? Illustration of Transient Effects on Regression Forecast a Regression Model with ARIMA Errors Forecast a Regression Model with Multiplicative Seasonal ARIMA Errors Verify Predictive Ability Robustness of a regARIMA Model MMSE Forecasting Regression Models with ARIMA Errors What Are MMSE Forecasts? How forecast Generates MMSE Forecasts Forecast Error Monte Carlo Forecasting of regARIMA Models Monte Carlo Forecasts Advantage of Monte Carlo Forecasts Time Series Regression I: Linear Models Time Series Regression II: Collinearity and Estimator Variance Time Series Regression III: Influential Observations Time Series Regression IV: Spurious Regression Time Series Regression V: Predictor Selection Time Series Regression VI: Residual Diagnostics Time Series Regression VII: Forecasting Time Series Regression VIII: Lagged Variables and Estimator Bias Time Series Regression IX: Lag Order Selection Time Series Regression X: Generalized Least Squares and HAC Estimators Bayesian Linear Regression Bayesian Linear Regression Classical Versus Bayesian Analyses Main Bayesian Analysis Components Posterior Estimation and Inference Implement Bayesian Linear Regression Workflow for Standard Bayesian Linear Regression Models Workflow for Bayesian Predictor Selection Specify Gradient for HMC Sampler Posterior Estimation and Simulation Diagnostics Diagnose MCMC Samples Perform Sensitivity Analysis Tune Slice Sampler for Posterior Estimation Compare Robust Regression Techniques Bayesian Lasso Regression Bayesian Stochastic Search Variable Selection Replacing Removed Syntaxes of estimate Replace Removed Syntax When Estimating Analytical Marginal Posterior Replace Removed Syntax When Estimating Numerical Marginal Posterior Replace Removed Syntax When Estimating Conditional Posterior Conditional Mean Models Conditional Mean Models Unconditional vs. Conditional Mean Static vs. Dynamic Conditional Mean Models Conditional Mean Models for Stationary Processes Specify Conditional Mean Models Default ARIMA Model Specify Nonseasonal Models Using Name-Value Pairs Specify Multiplicative Models Using Name-Value Pairs Specify Conditional Mean Model Using Econometric Modeler App Autoregressive Model AR(p) Model Stationarity of the AR Model AR Model Specifications Default AR Model AR Model with No Constant Term AR Model with Nonconsecutive Lags ARMA Model with Known Parameter Values AR Model with t Innovation Distribution Specify AR Model Using Econometric Modeler App Moving Average Model MA(q) Model Invertibility of the MA Model MA Model Specifications Default MA Model MA Model with No Constant Term MA Model with Nonconsecutive Lags MA Model with Known Parameter Values MA Model with t Innovation Distribution Specify MA Model Using Econometric Modeler App Autoregressive Moving Average Model ARMA(p,q) Model Stationarity and Invertibility of the ARMA Model ARMA Model Specifications Default ARMA Model ARMA Model with No Constant Term ARMA Model with Known Parameter Values Specify ARMA Model Using Econometric Modeler App ARIMA Model ARIMA Model Specifications Default ARIMA Model ARIMA Model with Known Parameter Values Specify ARIMA Model Using Econometric Modeler App Multiplicative ARIMA Model Multiplicative ARIMA Model Specifications Seasonal ARIMA Model with No Constant Term Seasonal ARIMA Model with Known Parameter Values Specify Multiplicative ARIMA Model Using Econometric Modeler App Specify Multiplicative ARIMA Model ARIMA Model Including Exogenous Covariates ARIMAX(p,D,q) Model Conventions and Extensions of the ARIMAX Model ARIMAX Model Specifications Create ARIMAX Model Using Name-Value Pairs Specify ARMAX Model Using Dot Notation Specify ARIMAX or SARIMAX Model Using Econometric Modeler App Modify Properties of Conditional Mean Model Objects Dot Notation Nonmodifiable Properties Specify Conditional Mean Model Innovation Distribution About the Innovation Process Choices for the Variance Model Choices for the Innovation Distribution Specify the Innovation Distribution Modify the Innovation Distribution Specify Conditional Mean and Variance Models Plot the Impulse Response Function of Conditional Mean Model IRF of Moving Average Model IRF of Autoregressive Model IRF of ARMA Model IRF of Seasonal AR Model More About the Impulse Response Function Time Base Partitions for ARIMA Model Estimation Partition Time Series Data for Estimation Box-Jenkins Differencing vs. ARIMA Estimation Maximum Likelihood Estimation for Conditional Mean Models Innovation Distribution Loglikelihood Functions Conditional Mean Model Estimation with Equality Constraints Presample Data for Conditional Mean Model Estimation Initial Values for Conditional Mean Model Estimation Optimization Settings for Conditional Mean Model Estimation Optimization Options Conditional Mean Model Constraints Estimate Multiplicative ARIMA Model Model Seasonal Lag Effects Using Indicator Variables Forecast IGD Rate from ARX Model Estimate Conditional Mean and Variance Model Choose ARMA Lags Using BIC Infer Residuals for Diagnostic Checking Monte Carlo Simulation of Conditional Mean Models What Is Monte Carlo Simulation? Generate Monte Carlo Sample Paths Monte Carlo Error Presample Data for Conditional Mean Model Simulation Transient Effects in Conditional Mean Model Simulations Simulate Stationary Processes Simulate AR Process Simulate MA Process Simulate Trend-Stationary and Difference-Stationary Processes Simulate Multiplicative ARIMA Models Simulate Conditional Mean and Variance Models Monte Carlo Forecasting of Conditional Mean Models Monte Carlo Forecasts Advantage of Monte Carlo Forecasting MMSE Forecasting of Conditional Mean Models What Are MMSE Forecasts? How forecast Generates MMSE Forecasts Forecast Error Convergence of AR Forecasts Forecast Multiplicative ARIMA Model Specify Presample and Forecast Period Data to Forecast ARIMAX Model Forecast Conditional Mean and Variance Model Model and Simulate Electricity Spot Prices Using the Skew-Normal Distribution Conditional Variance Models Conditional Variance Models General Conditional Variance Model Definition GARCH Model EGARCH Model GJR Model Specify GARCH Models Default GARCH Model Specify Default GARCH Model Using Name-Value Pair Arguments Specify GARCH Model Using Econometric Modeler App Specify GARCH Model with Mean Offset Specify GARCH Model with Known Parameter Values Specify GARCH Model with t Innovation Distribution Specify GARCH Model with Nonconsecutive Lags Specify EGARCH Models Default EGARCH Model Specify Default EGARCH Model Using Name-Value Pair Arguments Specify EGARCH Model Using Econometric Modeler App Specify EGARCH Model with Mean Offset Specify EGARCH Model with Nonconsecutive Lags Specify EGARCH Model with Known Parameter Values Specify EGARCH Model with t Innovation Distribution Specify GJR Models Default GJR Model Specify Default GJR Model Using Name-Value Pair Arguments Specify GJR Model Using Econometric Modeler App Specify GJR Model with Mean Offset Specify GJR Model with Nonconsecutive Lags Specify GJR Model with Known Parameter Values Specify GJR Model with t Innovation Distribution Modify Properties of Conditional Variance Models Dot Notation Nonmodifiable Properties Specify the Conditional Variance Model Innovation Distribution Specify Conditional Variance Model for Exchange Rates Maximum Likelihood Estimation for Conditional Variance Models Innovation Distribution Loglikelihood Functions Conditional Variance Model Estimation with Equality Constraints Presample Data for Conditional Variance Model Estimation Initial Values for Conditional Variance Model Estimation Optimization Settings for Conditional Variance Model Estimation Optimization Options Conditional Variance Model Constraints Infer Conditional Variances and Residuals Likelihood Ratio Test for Conditional Variance Models Compare Conditional Variance Models Using Information Criteria Monte Carlo Simulation of Conditional Variance Models What Is Monte Carlo Simulation? Generate Monte Carlo Sample Paths Monte Carlo Error Presample Data for Conditional Variance Model Simulation Simulate GARCH Models Assess EGARCH Forecast Bias Using Simulations Simulate Conditional Variance Model Monte Carlo Forecasting of Conditional Variance Models Monte Carlo Forecasts Advantage of Monte Carlo Forecasting MMSE Forecasting of Conditional Variance Models What Are MMSE Forecasts? EGARCH MMSE Forecasts How forecast Generates MMSE Forecasts Forecast GJR Models Forecast a Conditional Variance Model Converting from GARCH Functions to Model Objects Using Bootstrapping and Filtered Historical Simulation to Evaluate Market Risk Using Extreme Value Theory and Copulas to Evaluate Market Risk Multivariate Time Series Models Vector Autoregression (VAR) Models Types of Stationary Multivariate Time Series Models Lag Operator Representation Stable and Invertible Models Models with Regression Component VAR Model Workflow Multivariate Time Series Data Formats Multivariate Time Series Data Load Multivariate Economic Data Multivariate Data Format Preprocess Data Time Base Partitions for Estimation Partition Multivariate Time Series Data for Estimation Vector Autoregression (VAR) Model Creation Create VAR Model Fully Specified Model Object Model Template for Unrestricted Estimation Partially Specified Model Object for Restricted Estimation Display and Change Model Objects Select Appropriate Lag Order Create and Adjust VAR Model Using Shorthand Syntax Create and Adjust VAR Model Using Longhand Syntax VAR Model Estimation Preparing VAR Models for Fitting Fitting Models to Data Examining the Stability of a Fitted Model Convert VARMA Model to VAR Model Fit VAR Model of CPI and Unemployment Rate Fit VAR Model to Simulated Data VAR Model Forecasting, Simulation, and Analysis VAR Model Forecasting Data Scaling Calculating Impulse Responses Generate VAR Model Impulse Responses Compare Generalized and Orthogonalized Impulse Response Functions Forecast VAR Model Forecast VAR Model Using Monte Carlo Simulation Forecast VAR Model Conditional Responses Implement Seemingly Unrelated Regression Estimate Capital Asset Pricing Model Using SUR Simulate Responses of Estimated VARX Model Simulate VAR Model Conditional Responses Simulate Responses Using filter VAR Model Case Study Convert from vgx Functions to Model Objects Cointegration and Error Correction Analysis Integration and Cointegration Cointegration and Error Correction The Role of Deterministic Terms Cointegration Modeling Determine Cointegration Rank of VEC Model Identifying Single Cointegrating Relations The Engle-Granger Test for Cointegration Limitations of the Engle-Granger Test Test for Cointegration Using the Engle-Granger Test Estimate VEC Model Parameters Using egcitest VEC Model Monte Carlo Forecasts Generate VEC Model Impulse Responses Identifying Multiple Cointegrating Relations Test for Cointegration Using the Johansen Test Estimate VEC Model Parameters Using jcitest Compare Approaches to Cointegration Analysis Testing Cointegrating Vectors and Adjustment Speeds Test Cointegrating Vectors Test Adjustment Speeds Model the United States Economy Structural Change Models Discrete-Time Markov Chains What Are Discrete-Time Markov Chains? Discrete-Time Markov Chain Theory Markov Chain Modeling Discrete-Time Markov Chain Object Framework Overview Markov Chain Analysis Workflow Create and Modify Markov Chain Model Objects Create Markov Chain from Stochastic Transition Matrix Create Markov Chain from Random Transition Matrix Specify Structure for Random Markov Chain Work with State Transitions Visualize Markov Chain Structure and Evolution Determine Asymptotic Behavior of Markov Chain Identify Classes in Markov Chain Compare Markov Chain Mixing Times Simulate Random Walks Through Markov Chain Compute State Distribution of Markov Chain at Each Time Step Create Threshold Transitions Visualize Threshold Transitions Evaluate Threshold Transitions Create Threshold-Switching Dynamic Regression Models Estimate Threshold-Switching Dynamic Regression Models Simulate Paths of Threshold-Switching Dynamic Regression Models Forecast Threshold-Switching Dynamic Regression Models Analyze US Unemployment Rate Using Threshold-Switching Model State-Space Models What Are State-Space Models? Definitions State-Space Model Creation What Is the Kalman Filter? Standard Kalman Filter State Forecasts Filtered States Smoothed States Smoothed State Disturbances Forecasted Observations Smoothed Observation Innovations Kalman Gain Backward Recursion of the Kalman Filter Diffuse Kalman Filter Explicitly Create State-Space Model Containing Known Parameter Values Create State-Space Model with Unknown Parameters Explicitly Create State-Space Model Containing Unknown Parameters Implicitly Create Time-Invariant State-Space Model Create State-Space Model Containing ARMA State Implicitly Create State-Space Model Containing Regression Component Implicitly Create Diffuse State-Space Model Containing Regression Component Implicitly Create Time-Varying State-Space Model Implicitly Create Time-Varying Diffuse State-Space Model Create State-Space Model with Random State Coefficient Estimate Time-Invariant State-Space Model Estimate Time-Varying State-Space Model Estimate Time-Varying Diffuse State-Space Model Estimate State-Space Model Containing Regression Component Filter States of State-Space Model Filter Time-Varying State-Space Model Filter Data Through State-Space Model in Real Time Filter Time-Varying Diffuse State-Space Model Filter States of State-Space Model Containing Regression Component Smooth States of State-Space Model Smooth Time-Varying State-Space Model Smooth Time-Varying Diffuse State-Space Model Smooth States of State-Space Model Containing Regression Component Simulate States and Observations of Time-Invariant State-Space Model Simulate Time-Varying State-Space Model Simulate States of Time-Varying State-Space Model Using Simulation Smoother Estimate Random Parameter of State-Space Model Forecast State-Space Model Using Monte-Carlo Methods Forecast State-Space Model Observations Forecast Observations of State-Space Model Containing Regression Component Forecast Time-Varying State-Space Model Forecast State-Space Model Containing Regime Change in the Forecast Horizon Forecast Time-Varying Diffuse State-Space Model Compare Simulation Smoother to Smoothed States Rolling-Window Analysis of Time-Series Models Rolling-Window Analysis for Parameter Stability Rolling Window Analysis for Predictive Performance Assess State-Space Model Stability Using Rolling Window Analysis Assess Model Stability Using Rolling Window Analysis Assess Stability of Implicitly Created State-Space Model Choose State-Space Model Specification Using Backtesting Apply State-Space Methodology to Analyze Diebold-Li Yield Curve Model Analyze Linearized DSGE Models Perform Outlier Detection Using Bayesian Non-Gaussian State-Space Models Functions addBusinessCalendar adftest aicbic archtest arima regARIMA.arima arma2ar arma2ma armafevd armairf asymptotics autocorr bayeslm bayesvarm bssm chowtest classify collintest conjugateblm conjugatebvarm convert2daily convert2weekly convert2monthly convert2quarterly convert2semiannual convert2annual corr customblm cusumtest corrplot crosscorr diffuseblm diffusebvarm distplot dssm.disp ssm.disp dssm dtmc Econometric Modeler egarch egcitest eigplot empiricalblm empiricalbvarm estimate estimate estimate estimate estimate estimate dssm.estimate estimate regARIMA.estimate ssm.estimate estimate estimate estimate fevd fevd fevd fgls filter filter dssm.filter LagOp.filter filter regARIMA.filter ssm.filter filter filter forecast forecast forecast forecast dssm.forecast forecast regARIMA.forecast ssm.forecast forecast forecast forecast garch gctest gctest gjr graphplot hac hitprob hittime hpfilter i10test impulse regARIMA.impulse infer arima.infer regARIMA.infer infer infer irf irf irf irfplot LagOp.isEqLagOp isergodic LagOp.isNonZero isreducible LagOp.isStable jcitest jcontest kpsstest lagmatrix LagOp lassoblm lazy lbqtest lmctest lmtest lratiotest mcmix LagOp.minus mixconjugateblm mixsemiconjugateblm LagOp.mldivide LagOp.mrdivide msVAR LagOp.mtimes normalbvarm parcorr plot LagOp.plus pptest price2ret print arima.print regARIMA.print recessionplot recreg redistribute dssm.refine ssm.refine regARIMA LagOp.reflect ret2price sampleroptions semiconjugateblm semiconjugatebvarm simplot ssm.simsmooth simsmooth simulate simulate simulate simulate simulate simulate simulate regARIMA.simulate ssm.simulate simulate simulate simulate dssm.smooth smooth ssm.smooth ssm ssm2bssm subchain arima.summarize summarize summarize summarize regARIMA.summarize summarize summarize summarize summarize summarize threshold LagOp.toCellArray tsVAR ttdata ttplot ttstates tune update var2vec varm varm vec2var vecm vecm vratiotest waldtest Appendices Data Sets and Examples