Anyone is free to use these routines, no attribution (or blame)
need be placed on the author/authors.
To obtain, install and use these functions:
- Go to the download index item at the left
- Download the zip file
- unpack the zip file to a folder of your choice
- Start MATLAB and use the file/menu/set path item
- On the set path dialogue choose add folder with sub-folder
- Use the file navigation window to select the root folder where you unpacked
the toolbox functions
- Use the Save and Close to exit the set path dialogue window
DO NOT try downloading individual files using the view menu item.
This will not give you a working function because almost all of these functions
call other functions in the toolbox, so you need the whole thing.
MATLAB econometrics functions for:
- least-squares, simultaneous systems (2SLS,3SLS, SUR)
- limited dependent variable (logit, probit, tobit) and Bayesian variants
- time-series (VAR, BVAR, ECM) estimation and accompanying forecasting functions
- ridge, Theil-goldberger, switching regimes, robust regression
- regression diagnostics, e.g. Belsley, Kuh Welsch, Cook-Weisberg
- cointegration testing
- statistical distributions (CDF, PDF and random deviate generation)
- Bayesian Gibbs sampling estimation and MCMC convergence diagnostics
- maximum likelihood and Bayesian spatial econometrics functions
- lots of other stuff, over 350 functions
Demonstrations are provided for almost
all functions and a 350 page manual is available in
postscript and
Acrobat PDF.
The demo files consist of files with the function
name and a trailing letter d. For example: the
ols.m function demo file is named ols_d.m, and
the ols_g.m demo file is named ols_gd.m
In some cases where more than one demo file
exist, the files are named sar_gd.m, sar_gd2.m, sar_gd3.m
Most estimation functions provide printed and graphical output similar to that found in
RATS, SAS or TSP.
User contributed functions are welcome and many such functions are included
in the Econometrics Toolbox, as well as other useful MATLAB functions that
have been placed in the public domain. I've attempted
to make the documentation and usage of all functions
consistent, which involved tampering with some of the
public domain source files.