The Econometrics Toolbox

The Econometrics Toolbox contains some useful tools for analysing and preprocessing time series data. It is especially useful for fitting seasonal models. Unfortunately, not all the validation functions can be as easily obtained with this toolbox. Table 7.13 contains the required functions for creating an econometric model, Table 7.14 contains the functions for creating various types of correlatiOTi plots. Table 7.15 contains the functions for estimating the model parameters of econometric functions, and Table 7.16 contains useful functions for model validation. 

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The System Identification Toolbox in MATLAB is a very useful toolbox when fitting models for system identification using the prediction error model. It provides a convenient and concise way of storing, accessing, and manipulating different data sets and their associated models. Although most time series analyses can be performed using the System Identification Toolbox, at times it is easier to use the econometric toolbox described below. In order to fully appreciate and use the System Identification Toolbox, it is first useful to examine in detail the special data objects that store and hold the information the Iddata and the idpoly objects. 

The Signal Processing Toolbox contains complementary functions that can be used to create cross- and autocorrelation plots without using the Econometrics Toolbox. It can also be used to effectively create periodograms. Table 7.17 contains a summary of the useful functions. 

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