Using an Autoregressive Distributed Lag(ADL) model in MATLAB

Does anyone know a function in MATLAB for using an Autoregressive Distributed Lag(ADL) model? I want to be able to specify lag orders of the dependent variable, and an independent variable and use this to make forecasts?

Answer 1

[qiang zhang]

See the link here: https://www.mathworks.com/help/econ/what-are-time-series-regression-models.html

just before the reference, it writes "Transfer function (autoregressive distributed lag) model. This model extends the distributed lag framework in that it includes autoregressive terms (lagged responses). Econometrics Toolbox does not contain functions that model DLMs explicitly, but you can use the arima functionality with an appropriately constructed predictor matrix to analyze an autoregressive DLM."

Hope this may give you a direction to try.