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All the materials in this page are distributed under the terms of the GNU General Public License (GPL) as published by the Free Software Foundation. |
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This is the source code of our free MATLAB Toolbox for econometric modeling of time series.
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E4 Toolbox |
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This is the manual user of the Toolbox. Chapter 7 includes several case studies that cover both, introductory and advanced time series analysis with E4. |
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E4 User Manual |
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Advanced pre-estimation functions (BETA code) |
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Documentation for Time-Varying Parameters regression functions |
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Downloads |
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This is a collection of all the source code and data required to replicate the examples in Chapter 7 of the User Manual |
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Source code and data for the examples in the User Manual |
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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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Contact info: |
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This library includes several functions to compute fast approximations to maximum-likelihood estimates. They were described in: Garcia-Hiernaux, A., Casals, J. and M. Jerez (2009) "Fast estimation methods for time series models in state-space form". Journal of Statistical Computation and Simulation, 79, 2, 121-134. |
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This documentation describes the E4 functions dealing with RegARIMA models with time-varying regression parameters. The source code of these functions is included in E4.zip |
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Documentation for time series disaggregation |
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This documentation describes the time series disaggregation functions, as well as the source code for all the examples in: Casals, J., Jerez, M. and S. Sotoca (2009) "Modeling and Forecasting Time Series Sampled at Different Frequencies". Journal of Forecasting, 28, 4, 316-342. The source code of these functions is included in E4.zip |