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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 also supports 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:

Jerez, M., Casals, J. and S. Sotoca (2011) "Signal Extraction for Linear State-Space Models". Lambert Academic Publishing GmbH & Co. KG, Saarbrücken (Germany).

 

 

 

 

Contact: Miguel Jerez

Webmaster: Alfredo Garcia-Hiernaux

Tel. +34 913 942 383

Dpto. Fundamentos del Análisis Económico II

Facultad de Ciencias Economicas y Empresariales

Universidad Complutense de Madrid.

Campus de Somosaguas. 28223 Madrid (Spain)

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