Linear time series model estimation

Version 2.1.1 (8,29 ko) par Apostolos Panagiotopoulos
A quick and easy way to estimate and analyze linear time series models
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Mise à jour 23 fév. 2024

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The function estimates:
  • Models with exogenous variables only
  • Autoregression models (AR)
  • Vector autoregression models (VAR)
  • Error correction models (ECM)
  • Vector error correction models (VECM)
The avalable estimation methods are the Ordinary Least Squares and the Maximum Likelihood Estimation
The output of the function includes:
  • Coefficients: estimation, standard errors, significance, lower and upper levels
  • Coefficients variance-covariance matrix
  • Residuals
  • Residuals variance-covariance matrix
  • ANOVA
  • Information criteria (AIC, AICc, BIC)
  • log-likelihood
  • R squared
  • Residuals tests: 1) One-sample Kolmogorov-Smirnov test, 2) Augmented Dickey-Fuller test, 3) Kwiatkowski, Phillips, Schmidt, and Shin test, 4) Durbin-Watson test, 5) Ljung-Box Q-test, 6) Engle’s ARCH test, and 7) Cross-sectional correlation (VAR and VECM only).
  • Variance inflation factor (VIF)

Citation pour cette source

Apostolos Panagiotopoulos (2024). Linear time series model estimation (https://www.mathworks.com/matlabcentral/fileexchange/98254-linear-time-series-model-estimation), MATLAB Central File Exchange. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2021a
Compatible avec toutes les versions
Plateformes compatibles
Windows macOS Linux
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Version Publié le Notes de version
2.1.1

Small correction
2.1.0

Addition of the variance inflation factor (VIF) in the outputs and small correction in MLE
2.0.6

Updated output
2.0.5

Correction in the code
2.0.4

Update for better functionality
2.0.3

Small correction in the code
2.0.2

Addition of simulated annealing
2.0.1

Constant of VECM
2.0.0

Addition of the Johansen procedure
1.3.0

Introduction of Maximum Likelihood Estimation option
1.2.6

Correction in the information criteria
1.2.5

Correction in the information criteria formula
1.2.4

Correction in the description
1.2.3

Correction in the notes
1.2.2

Update in ECM
1.2.1

Bug correction
1.2.0

Fixing a bug in VECM
1.1.4

Correction in ECM
1.1.3

Fixing a bug
1.1.2

Addition of residuals covariance and the Durbin-Watson test
1.1.1

small correction in the output
1.1.0

Residuals tests in the output
1.0.5

Small correction in the code
1.0.4

Correction in the comments
1.0.3

Change in the name
1.0.2

Option to use the lag of independent variables
1.0.1

Option to use the lag of independent variables
1.0.0