State-Space Estimation of Econometric Models

E4 is a MATLAB Toolbox for time series modeling. Its name, E4, refers to the Spanish: Estimación de modelos Econométricos en Espacio de los Estados, meaning "State-Space Estimation of Econometric Models."

E4 uses state-space methods to achieve flexibility and reliability. Despite its orientation to state-space, it provides interface functions to support many standard time series models, such as VARMAX, structural econometric models or single-output transfer functions. These models can be estimated by exact maximum-likelihood, either under standard conditions or in an extended framework that allows for measurement errors, missing data, vector GARCH errors and constraints on the parameters. The Toolbox also includes ready-to-use functions for model specification, preliminary parameter estimation, analytical computation of the likelihood gradient and the information matrix, simulation, forecasting and signal extraction.

E4 is free software. You may redistribute it and/or modify it under the terms of the GNU General Public License (GPL) as published by the Free Software Foundation. If you feel that  our contribution deserves an acknowledgement, you can do so by citing the following book in your works:

Jose Manuel Casals, Alfredo Garcia-Hiernaux, Miguel Jerez, Sonia Sotoca, A. Alexandre Trindade: "State-Space Methods for Time Series Analysis: Theory, Applications and Software." Chapman and Hall/CRC. ISBN 9781482219593 - CAT# K22164

See this book at Taylor & Francis, Chapman and Hall/CRC or, or download free supplementary materials from the book microsite.