ECONOMETRICS: MATLAB toolbox of econometrics functions
James P. LeSage
This toolbox of MATLAB econometrics functions includes a collection of regression functions for least-squares, simultaneous systems (2SLS, 3SLS, SUR), limited dependent variable (logit, probit, tobit), time-series (VAR, BVAR, ECM) estimation and forecasting functions, ridge, Theil-Goldberger, switching regimes, robust regression, regression diagnostics functions, cointegration testing, statistical distributions (CDF, PDF and random deviate generation), Bayesian Gibbs sampling estimation and MCMC convergence diagnostics, maximum likelihood and Bayesian spatial econometrics functions. Demonstrations are provided for all functions and a 200 page manual is available in postscript and PDF form with examples and data sets (also available online). All functions provide printed and graphical output similar to that found in RATS, SAS or TSP. The toolbox, manual and examples are free; no attribution or blame need be assigned to the authors. User contributed functions are welcome and many such functions are included in the Econometrics Toolbox, as well as other MATLAB functions that have been placed in the public domain.
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