User manual MATLAB ECONOMETRICS TOOLBOX RELEASE NOTES

[. . . ] Other product or brand names may be trademarks or registered trademarks of their respective holders. Patents The MathWorks products are protected by one or more U. S. Please see www. mathworks. com/patents for more information. Contents Summary by Version . Version 1. 3 (R2010a) Econometrics Toolbox Software . Version 1. 2 (R2009b) Econometrics Toolbox Software . [. . . ] Error Use This Function Instead Compatibility Considerations dfARTest adftest The new function syntax differs. 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. It uses the multiple time series tools from the Econometrics Toolbox. 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. These data are a benchmark for unit root tests. The new data set Data_SchwertStock contains indices of U. S. William Schwert's article "Indexes of U. S. Stock Prices from 1802 to 1987, " (The Journal of Business, 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 name change, in itself, introduces no backward incompatibilities. The following topic explains a related change. garchsim defaults to current random number generator state. In V2. 0. 1 of the GARCH Toolbox software, thegarchsim function used the initial random number generator state, 0, if you did not specify a value for the Seed argument. [. . . ]