MFE Toolbox Documentation

MFE MATLAB Function Reference
Financial Econometrics
Kevin Sheppard
October 30, 2009

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2001-2009 Kevin Sheppard

Contents

Notes

v

1

Included but not documented functions

1

2

Cross Sectional Analysis

5

2.1

Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5

2.1.1
3

Regression: ols

Stationary Time Series
3.1

ARMA Simulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9

Simulation: armaxfilter_simulate . . . . . . . . . . . . . . . . . . . . . . . . . . .

9

ARMA Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13

3.2.1

Estimation: armaxfilter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13

3.2.2

Heterogeneous Autoregression: heterogeneousar . . . . . . . . . . . . . . . . . . . .

19

3.2.3

Residual Plotting: tsresidualplot . . . . . . . . . . . . . . . . . . . . . . . . . . . .

23

3.2.4

Characteristic Roots: armaroots . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

26

3.2.5

Information Criteria: aicsbic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

29

ARMA Forecasting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

31

Forecasting: arma_forecaster . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

31

Sample autocorrelation and partial autocorrelation . . . . . . . . . . . . . . . . . . . . . . . . . .

33

3.4.1

Sample Autocorrelations: sacf . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

33

3.4.2

Sample Partial Autocorrelations: spacf . . . . . . . . . . . . . . . . . . . . . . . . . . .

35

Theoretical autocorrelation and partial autocorrelation . . . . . . . . . . . . . . . . . . . . . . . .

37

3.5.1

ARMA Autocorrelations: acf . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Bibliography: Baxter, M. & King, R. G. (1999), ‘Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series’, The Review of Economics and Statistics 81(4), 575–593 Berkowitz, J. (2001), ‘Testing density forecasts, with applications to risk management’, Journal of Business and Economic Statistics 19, 465–474 Hansen, P. R. (2005), ‘A Test for Superior Predictive Ability’, Journal of Business and Economic Statistics 23(4), 365–380 Hansen, P. R., Lunde, A. & Nason, J. M. (2005), Model confidence sets for forecasting models. Federal Reserve Bank of Atlanta Working Paper 2005-7 Hodrick, R. J. & Prescott, E. C. (1997), ‘Postwar U.S. Business Cycles: An Empirical Investigation’, Journal of Money, Credit and Banking 29(1), 1–16 White, H. (2000), ‘A Reality Check for Data Snooping’, Econometrica 68(5), 1097–1126. 116 Index