User manual MATLAB ECONOMETRICS TOOLBOX RELEASE NOTES

[. . . ] Please see www. mathworks. com/patents for more information. Contents Summary by Version . 1 4 8 10 12 14 15 16 17 18 20 21 iii iv Contents Econometrics ToolboxTM Release Notes Summary by Version This table provides quick access to what's new in each version. Version Compatibility Considerations Yes Summary Fixed Bugs and Known Problems No Related Documentation at Web Site Printable Release Notes: PDF Current product documentation Yes Details Yes Details Yes Details Yes Summary Yes Summary No No No Version (Release) Latest Version V1. 3 (R2010a) Econometrics ToolboxTM Software V1. 2 (R2009b) Econometrics Toolbox Software V1. 1 (R2009a) Econometrics Toolbox Software Latest Version V1. 0 (R2008b) Econometrics Toolbox Software V2. 4 (R2008a) GARCH ToolboxTM Software V2. 3. 2 (R2007b) GARCH Toolbox Software V2. 3. 1 (R2007a) GARCH Toolbox Software V2. 3 (R2006b) GARCH Toolbox Software New Features and Changes Yes Details No No No No Yes Details No No No Yes Details No No No No No No No Yes Details No No No 1 Econometrics ToolboxTM Release Notes Version (Release) V2. 2 (R2006a) GARCH Toolbox Software V2. 1 (R14SP3) GARCH Toolbox Software New Features and Changes Yes Details Yes Details Version Compatibility Considerations No Fixed Bugs and Known Problems No Related Documentation at Web Site No Yes Summary No No Using Release Notes Use release notes when upgrading to a newer version to learn about: · New features · Changes · Potential impact on your existing files and practices Review the release notes for other MathWorksTM products required for this product (for example, MATLAB® or Simulink®). Determine if enhancements, bugs, or compatibility considerations in other products impact you. [. . . ] Replace all existing instances of dfARTest with the correct adftest syntax. Replace all existing instances of dfTSTest with the correct adftest syntax. Replace all existing instances of ppARDTest with the correct pptest syntax. Replace all existing instances of ppARTest with the correct pptest syntax. Replace all existing instances of ppTSTest with the correct pptest syntax. dfTSTest Error adftest ppARDTest Error pptest ppARTest Error pptest ppTSTest Error pptest Demo Showing Multivariate Modeling Of the U. S. Economy A new demo, "Modeling the United States Economy, " develops a small macroeconomic model. This model is used to examine the impact of various shocks on the United States economy, particularly around the period of the 5 Econometrics ToolboxTM Release Notes 2008 fiscal crisis. To run the demo in the command window, use the command echodemo Demo_USEconModel. Lag Operator Polynomial Objects The new LagOp polynomial class provides methods to create and manipulate lag operator polynomials and filter time series data, as well as methods to perform polynomial algebra including addition, subtraction, multiplication, and division. Leybourne-McCabe Test for Stationarity The new Leybourne-McCabe test function lmctest assesses the null hypothesis that a univariate time series y is a trend-stationary AR(p) process against the alternative that y is a nonstationary ARIMA(p, 1, 1) process. Historical Data Sets for Calibrating Economic Models The new data set Data_SchwertMacro contains original data from G. William Schwert's article "Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data, " (Journal of Monetary Economics, Vol. The new data set Data_USEconModelcontains the macroeconomic series for the new demo Demo_USEconModel. New Organization and Naming Standard for Data Sets Econometrics Toolbox has a new set of naming conventions for data sets. For full information on the available data sets, demos, and examples, see "Data Sets, Demos, and Example Functions" or type help econ/econdemos 6 Version 1. 3 (R2010a) Econometrics ToolboxTM Software at the command line. For more information on Dataset Array objects, see dataset in the Statistics ToolboxTM documentation. Compatibility Considerations Replace any instances of load Old_Data with load and the new filename. New Naming Convention for Demos and Example Functions All demos and examples in the Econometrics Toolbox have been moved to the folder econ/econdemos and renamed according to the following convention: · Demos are named Demo_DemoName · Examples are named Example_ExampleName For full information on the available, demos, and examples, see"Data Sets, Demos, and Example Functions" or type help econ/econdemos at the command line. 7 Econometrics ToolboxTM Release Notes Version 1. 2 (R2009b) Econometrics Toolbox Software This table summarizes new features in V1. 2 (R2009b). Version Compatibility Considerations Yes Summary Related Documentation at Web Site Printable Release Notes: PDF Current product documentation New features and changes follow. · "Unit Root Tests" on page 8 · "Financial Toolbox Required" on page 9 · "Nelson-Plosser Data" on page 9 New Features and Changes Yes Details below Fixed Bugs and Known Problems No Unit Root Tests There are now four classes of unit root tests. More information on the tests is available in the section of the User's Guide. Dickey-Fuller and Phillips-Perron Tests Dickey-Fuller and Phillips-Perron tests now have single interfaces, with new capabilities for multiple testing. Both adftest and pptest test a unit root null hypothesis against autoregressive, autoregressive with drift, or trend-stationary alternatives. KPSS Test The new kpsstest function tests a null hypothesis of (trend) stationarity against nonstationary unit root alternatives. 8 Version 1. 2 (R2009b) Econometrics ToolboxTM Software Variance Ratio Test The new vratiotest function tests a null hypothesis of a random walk against alternatives with innovations that are not independent and identically distributed. Compatibility Considerations The ardtest function replaces the dfARDTest, dfARTest, and dfTSTest functions. The pptest function replaces the ppARDTest, ppARTest, and ppTSTest functions. Recreate the objects with the Econometrics Toolbox V1. 1 vgxset function. New Demo There is a new demo on hypothesis tests. Run the demo at the MATLAB command line by entering showdemo classicalTestsDemo. 11 Econometrics ToolboxTM Release Notes Version 1. 0 (R2008b) Econometrics Toolbox Software This table summarizes new features in V1. 0 (R2008b). Version Compatibility Considerations No Related Documentation at Web Site No New Features and Changes Yes Details below Fixed Bugs and Known Problems No New features and changes follow. · "Multivariate VAR, VARX, and VARMA Models" on page 12 · "Heston Stochastic Volatility Models" on page 13 Multivariate VAR, VARX, and VARMA Models A new suite of functions, listed in the following table, adds support for multivariate VAR, VARX, and VARMA models. Function vgxar vgxcount vgxdisp vgxget vgxloglik vgxma vgxplot Description Convert VARMA specification into a pure vector autoregressive (VAR) model Count restricted and unrestricted parameters in VAR or VARX models Display VGX model parameters and standard errors in different formats Get multivariate time-series specification parameters Infer innovations of a VGX process Compute conditional log-likelihoods of VGX process Convert VARMA specification into a pure vector moving average (VMA) model Plot multivariate time series process 12 Version 1. 0 (R2008b) Econometrics ToolboxTM Software Function vgxpred Description Generate transient response of VGX process during a specified forecast period Generate a VGX process from an innovations process Determine if a VGX process is stable and invertible Set or modify multivariate time-series specification parameters Simulate VGX processes Solve VAR or VARX model using maximum likelihood estimation vgxqual vgxset vgxvarx Heston Stochastic Volatility Models The new heston function adds support for Heston stochastic volatility models to the SDE engine. 13 Econometrics ToolboxTM Release Notes Version 2. 4 (R2008a) GARCH Toolbox Software This table summarizes new features in V2. 4 (R2008a). [. . . ] disturbances to drive the output Innovations in a time series process. In previous versions, you could only provide a state that was used to generate a random noise process. See the State input argument on the garchsim reference page for more information. Compatibility Considerations garchsim argument Is renamed. In V2. 1, the garchsim argument Seed is renamed to State for consistency with the MATLAB rand and randn functions. [. . . ]