Econometrics Toolbox™
Release Notes
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Econometrics Toolbox™ Release Notes
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Summary by Version ............................... 1
Version 1.3 (R2010a) Econometrics Toolbox
Software
Version 1.2 (R2009b) Econometrics Toolbox
Software
Version 1.1 (R2009a) Econometrics Toolbox
Software
Version 1.0 (R2008b) Econometrics Toolbox
Software
........................................ 4
........................................ 8
........................................ 10
........................................ 12
Contents
Version 2.4 (R2008a) GARCH Toolbox Software
Version 2.3.2 (R2007b) GARCH Toolbox Software
Version 2.3.1 (R2007a) GARCH Toolbox Software
Version 2.3 (R2006b) GARCH Toolbox Software
Version 2.2 (R2006a) GARCH Toolbox Software
Version 2.1 (R14SP3) GARCH Toolbox Software
Compatibility Summary for Econometrics Toolbox
Software
........................................ 21
....... 14
....... 17
....... 18
...... 20
..... 15
..... 16
iii
iv Contents
SummarybyVersion
This table provides quick access to what’s new in each version. For
clarification, see “Using Release Notes” on page 2 .
Econometrics Toolbox™ Release Notes
Version
(Release)
Latest Versi
V1.3 (R2010a
Econometri
Toolbox™
Software
V1.2 (R200
Econometr
Toolbox So
V1.1 (R20
Economet
Toolbox
Latest Version
V1.0 (R2008b)
Econometrics
Toolbox Software
V2.4 (R2008a)
GARCH
Toolbox™
Software
on
)
cs
9b)
ics
ftware
09a)
rics
Software
New Features
and Changes
Yes
Details
Yes
Details
Yes
Details
Yes
Details
Yes
ls
Detai
Version
Compatibility
Considerations
Yes
Summary
Yes
Summary
Yes
Summary
No No No
No No No
Fixed Bugs
and Known
Problems
No
No No
No No
Related
Documentation
at Web Site
Printable R elease
Notes: PDF
Current product
documentation
V2.3.2 (R2007b)
GARCH Toolbox
Software
V2.3.1 (R2007a)
GARCH Toolbox
Software
V2.3 (R2006b)
GARCH Toolbox
Software
Yes
ails
Det
No No No No
es
Y
etails
D
No No No
N
o
N
o
N
o
1
Econometrics Toolbox™ Release Notes
Version
(Release)
V2.2 (R2006a)
GARCH Toolbox
Software
V2.1 (R14SP3)
GARCH Toolbox
Software
New Features
and Changes
Yes
Details
Yes
Details
Version
Compatibility
Considerations
No No No
Yes
Summary
Fixed Bugs
and Known
Problems
No No
Related
Documentation
at Web Site
Using Release Notes
Use release notes when upgrading to a newer version to learn about:
• New features
• Changes
• Potential impact on your existing files and practices
Review the release notes for other MathWorks™ products required for this
product (for example, MATLAB
bugs, or compatibility considerations in other products impact you.
®
or Simulink®). Determine if enhancements,
If you are upgrading from a software version other than the m ost recent one,
review the current release notes and all interim versions. For example, when
you upg rade from V1.0 to V1.2, review the release notes for V1.1 and V1.2.
What Is in the Release Notes
New Features and Changes
• New functionality
• Changes to existing functionality
2
SummarybyVersion
Version Compatibility Con si derations
When a new feature or change introduces a reported incompatibility between
versions, the Compatibility Considerations subsection explains the
impact.
Compatibility issues reported after the product release appear under Bug
Reports at The MathWorks™ Web site. Bug fixes can sometimes result
in incompatibilities, so review the fixed bugs in Bug Reports for any
compatibility impact.
Fixed Bugs and Known Problems
The MathWorks offers a user-searchable Bug Reports database so you can
view Bug Reports. The development team updates this database at release
time and as more information becomes available. Bug Reports include
provisions for any known workarounds or file replacem ents. Information is
available for bugs existing in or fixed in Release 14SP2 or later. Information
is not avail able for all bugs in earlier releases.
Access Bug Reports using y our MathWorks Account.
3
Econometrics Toolbox™ Release Notes
Version 1.3 (R2010a) Econometrics Toolbox Software
This table summarizes new features in V1.3 (R2010a).
New Features and
Changes
Yes
Details below
Version
Compatibility
Considerations
Yes
Summary
New features and changes follow.
• “Functions Being Removed” on page 4
• “Demo Showing Multivariate Modeling Of the U.S. Economy” on page 5
• “Lag Operator Polynomial Objects” on page 6
• “Leybourne-McCabe Test for Stationarity” on page 6
• “Historical Data Sets for Calibrating Economic Models” on page 6
• “New Organization and Naming Standard for Data Sets” on page 6
• “New Naming Convention for Demos and Example Functions” on page 7
Fixed Bugs an d
Known Problems
No
Related
Documentation at
Web Site
Printable Release
Notes: PDF
Current product
documentation
Functions Being Removed
Function
Name
dfARDTest
What
Happens
When You
Use This
Function?
Error
Use This
Function
Instead
adftest
Compatibility
Considerations
The new function syntax
differs. Replace all
existing instances of
dfARDTest with the
correct
adftest syntax.
4
Version 1.3 (R2010a) Econometrics Toolbox™ Software
Function
Name
dfARTest
dfTSTest
ppARDTest
ppARTest
ppTSTest
What
Happens
When You
Use This
Function?
Error
Error
Error
Error
Error
Use This
Function
Instead
adftest
adftest
pptest
pptest
pptest
Compatibility
Considerations
The new function syntax
differs. Replace all
existing instances of
dfARTest with the correct
adftest syntax.
The new function syntax
differs. Replace all
existing instances of
dfTSTest with the correct
adftest syntax.
The new function syntax
differs. Replace all
existing instances of
ppARDTest with the
correct
pptest syntax.
The new function syntax
differs. Replace all
existing instances of
ppARTest with the correct
pptest syntax.
The new function syntax
differs. Replace all
existing instances of
ppTSTest with the correct
pptest syntax.
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 Toolbox™ Release Notes
2008fiscalcrisis.ItusesthemultipletimeseriestoolsfromtheEconometrics
Toolbox.
To run the demo in the command window, use the command
Demo_USEconModel
.
echodemo
Lag Operator Polynomial Objects
The new LagOp polynomial class provides methods to create and manipulate
lag operator polynomials and filter time series data, as we ll 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-stationar y
against the alternative that y is a nonstationary
ARIMA(p,1,1) process.
AR(p) process
Historical Data Sets for Calibrating Economic Models
The new data set Data_Schw ertM acro 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. 20, 1987, pp.
73–103.). These data are a benchmark for unit root tests. The new data
set
Data_SchwertStock contains indices of U.S. stock prices as published
in G. William Schwert’s article “Indexes of U.S. Stock Prices from 1802 to
1987,” (The Journal of Business,Vol. 63, 1990, pp. 399–42.). The new data
set
Data_USEconModelcontains the macroeconomic series for the new demo
Demo_USEconModel.
New O rganization and Naming Standard for Data
Sets
Econometrics Toolbox has a new set of naming conventions for d ata sets.
Data set names are prefixed by
For full information on the available data sets, demos, and examples, see
“Data Sets, Demos, and Example Functions” o r type
6
Data_.
help econ/econdemos
Version 1.3 (R2010a) Econometrics Toolbox™ Software
at the command line. For more information on Dataset Array objects, see
dataset in the Statistics Toolbox™ 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 ex amples in the Econometrics T oolbo x have been moved to the
folder
econ/econdemos and renamed according to the foll owing convention:
• Demos are named
• Examples are named Example_ExampleName
For full information on the available, demos, and examples, see“Data Sets,
Demos, and Example Functions” or type
command line.
Demo_DemoName
help econ/econdemos at the
7
Econometrics Toolbox™ Release Notes
Version 1.2 (R2009b) Econometrics Toolbox Software
This table summarizes new features in V1.2 (R2009b).
New Features and
Changes
Yes
Details below
Version
Compatibility
Considerations
Yes
Summary
New features and changes follow.
• “UnitRootTests”onpage8
• “Financial Toolbox Required” on page 9
• “Nelson-Plosser Data” on page 9
Fixed Bugs an d
Known Problems
No
Related
Documentation at
Web Site
Printable Release
Notes: PDF
Current product
documentation
Unit Root Tests
There a re 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-P erron Tests
Dickey-Fuller and Phillips-Perron tests now have single interfaces, with
new capabilities for multiple testing. Both
root null hypothesis against autoregressive, autoregressive with drift, or
trend-stationary alternatives.
adftest and pptest test a unit
KPSS Test
The new kpsstest function tests a null hypothesis of (trend) stationarity
against nonstationary unit root alternatives.
8
Version 1.2 (R2009b) Econometrics Toolbox™ 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,anddfTSTest
functions. The pptest function replaces the ppARDTest, ppARTest,and
ppTSTest functions. The new function syntax differs from the functions they
replace.
Financial Toolbox Required
Econometrics Toolbox requires Financial Toolbox™ as of this vers ion .
Nelson-Plosser Data
The Nelson and Plosser [47] data set is now available. To access the data,
enter
load Data_NelsonPlosser at the MATLAB command line.
9
Econometrics Toolbox™ Release Notes
Version 1.1 (R2009a) Econometrics Toolbox Software
This table summarizes new features in V1.1 (R2009a).
New Features and
Changes
Yes
Details below
Version
Compatibility
Considerations
Yes
Summary
New features and changes follow.
• “Hypothesis Tests” on page 10
• “Structural VAR, VARX, and VARMAX models” on page 10
• “New Demo” on page 11
Fixed Bugs an d
Known Problems
No No
Related
Documentation at
Web Site
Hypothesis Tests
There are two new h ypothesis tests for model misspecification:
• Lagrange Multiplier tests,
• Wald tests, waldtest
Furthermore, the likelihood ratio test, lratiotest, has been enhanced to
be able to “test up” as well as “test do wn” when performing m ultiple model
comparisons. It now accepts vectors of model parameters for restricted log
likelihoods, for unrestricted log likelihoods, or for both.
lmtest
10
Thereisanewdemoaboutthesetests;see“NewDemo”onpage11.
Compatibility Considerations
lratiotest error messages and message IDs differ from previous v ersions.
Structural VAR, VARX, and VARMAX models
Econometrics Toolbox multiple time series functions now include structural
multiple time series. Structural models have the general form
Version 1.1 (R2009a) Econometrics Toolbox™ Software
p
AY a Xb AY BW BW
=+ + + +
ttiti
∑∑
i
=
11
q
−
=
j
−
jtj
.
t0
0
Previously, Econometrics Toolbox multiple time series functions a ddress ed
models of the form
p
YaXb AY BW W
=+ + + +
ttiti
∑∑
11
i
=
q
.
t
j
=
itj
−
−
The mathematical difference is the inclusion of A0and B0matrices. These
matrices allow practitioners to specify structural dependencies between
variables. For more information, see the “Multiple Time Series” chapter of the
Econometrics Toolbox User’s Guide.
Compatibility Considerations
Objects created with the Econometrics Toolbox V1.0 vgxset function, and
saved in MAT files, do not work with Econometrics Toolbox V1.1 functions.
Recreate the objects with the Econometrics Toolbox V1.1
vgxset function.
New Demo
Thereisanewdemoonhypothesistests. RunthedemoattheMATLAB
command line by entering
showdemo classicalTestsDemo.
11
Econometrics Toolbox™ Release Notes
Version 1.0 (R2008b) Econometrics Toolbox Software
This table summarizes new features in V1.0 (R2008b).
New Features and
Changes
Yes
Details below
Version
Compatibility
Considerations
No No No
New features and changes follow.
• “Multivariate VAR, VARX, and VARMA Models” on page 12
• “Heston Stochastic Volatility Models” on page 13
Fixed Bugs an d
Known Problems
Related
Documentation at
Web Site
Multivariate VAR, VAR X, and VARMA Models
A new suite of functions, listed in the following table, adds support for
multivariate VAR, VARX, and VARMA models.
Function Description
vgxar
vgxcount
vgxdisp
vgxget
Convert VARMA specification into a pure vector
autoregressive (VAR) mo de l
Count restricted and unrestricted parameters in VAR
or VARX models
Display VGX model parameters and standard errors
in different formats
Get multivariate time-series specification parameters
12
Infer innovations of a VG X process
vgxloglik
vgxma
vgxplot Plot multivariate time series process
Compute conditional log-li ke lihoods of V GX process
Convert VARMA specification into a pure vector moving
average (VMA) model
Function Description
Version 1.0 (R2008b) Econometrics Toolbox™ Software
vgxpred
vgxqual
vgxset
vgxvarx
Generate transient response of VGX process during a
specified forecast period
Generate a VGX process from an innovations process
Determine if a VGX process is stable and invertible
Set or modify multivariate time-series specification
parameters
Simulate VGX processes
Solve VAR or VARX model using maximum likelihood
estimation
Heston Stochastic Volatility Models
The n ew heston function adds support for Heston stochastic volatility models
to the SDE engine.
13
Econometrics Toolbox™ Release Notes
Version 2.4 (R2008a) GARCH Toolbox Software
This table summarizes new features in V2.4 (R2008a).
New Features and
Changes
Yes
Details below
Version
Compatibility
Considerations
No No No
New features and changes follow:
Fixed Bugs an d
Known Problems
Related
Documentation at
Web Site
Monte Carlo Simulation of Stochastic Differential
Equations
The GARCH Toolbox software now allows you to model dependent financial
and economic variables, such as interest rates and equity prices, via Monte
Carlo simulation of multivariate diffusion processes. For more information,
see “Stochastic Differential Equations” in the GARCH Toolbox documentation.
14
Version 2.3.2 (R2007b) GARCH Toolbox™ Software
Version 2.3.2 (R2007b) GARCH Toolbox Software
This table summarizes new features in V2.3.2 (R2007b).
New Features and
Changes
Yes
Details below
Version
Compatibility
Considerations
No No No
New features and changes follow:
Fixed Bugs an d
Known Problems
Related
Documentation at
Web Site
Changes to garchsim
The garchsim function previously allowed you to specify the State argument
as either a scalar or a time series matrix of standardized, independent,
identically distributed disturbances to drive the output
series process. The
State inputargumentonthegarchsim reference page for more information.
State argument must now be a time series matrix. See the
Innovations in a time
15
Econometrics Toolbox™ Release Notes
Version 2.3.1 (R2007a) GARCH Toolbox Software
This table summarizes new features in V2.3.1 (R2007a).
Version
New Features and
Changes
No No No No
Compatibility
Considerations
There are no new features or changes in this version.
Fixed Bugs an d
Known Problems
Related
Documentation at
Web Site
16
Version 2.3 (R2006b) G ARCH Toolbox™ Software
Version 2.3 (R2006b) GARCH Toolbox Software
This table summarizes new features in V2.3 (R2006b).
New Features and
Changes
Yes
Details below
Version
Compatibility
Considerations
No No No
New features and changes follow:
• “Data Preprocessing” on page 17
• “Demos” on page 17
Fixed Bugs an d
Known Problems
Related
Documentation at
Web Site
Data Preprocessing
A new Hodrick-Pres cott filter, hpfilter, separates time series into trend
and cyclical components
Demos
Anewdemousesthehpfilter function to reproduce the results in Hodrick
and Prescott’s original paper on U.S. business cycles
17
Econometrics Toolbox™ Release Notes
Version 2.2 (R2006a) GARCH Toolbox Software
This table summarizes new features in V2.2 (R2006a).
New Features and
Changes
Yes
Details below
Version
Compatibility
Considerations
No No No
New features and changes follow:
• “User’s Guide” on page 18
• “Statistical Functions” on page 18
Fixed Bugs an d
Known Problems
Related
Documentation at
Web Site
User’s Guide
AnewchapterintheGARCH Toolbox User’s Guide explains how to conduct
Dickey-Fuller and Phillips-Perron unitroottestswiththenewstatistical
functions in the toolbox.
Statistical Functions
Version 2.2 of the GARCH Toolbox s oftw are has six new functions. All of
them support the ability to conduct univariate unit root tests on time series
data. Three functions support augmented Dickey-Fuller unit root tests. The
remaining three support Phillips-Perron unit root tests.
18
Dickey-Fuller Unit Root Tests
Function Purpose
dfARDTest
dfARTest
dfTSTest
Augmented Dickey-Fuller unit root test based on AR
model with drift.
Augmented Dickey-Fuller unit root test based on zero
drift AR model.
Augmented Dickey-Fuller unit root test based on
trend stationary AR model.
Phillips-Perron Unit Root Tests
Function Purpose
ppARDTest
ppARTest
ppTSTest
Phillips-Perron unit root test based on AR(1) model
with drift.
Phillips-Perron unit root test based on zero drift AR(1)
model.
Phillips-Perron unit root test based on trend
stationary AR(1) model.
Version 2.2 (R2006a) G ARCH Toolbox™ Software
19
Econometrics Toolbox™ Release Notes
Version 2.1 (R14SP3) GARCH Toolbox Software
This table summarizes what’s new in V2.1 (R14SP3):
New Features and
Changes
Yes
Details below
Version
Compatibility
Considerations
Yes
Fixed Bugs an d
Known Problems
No bug fixes
Related
Documentation at
Web Site
No
Summary
New features and changes follow:
Changes to garchsim
A change introduced in V2.1 of the GARCH Toolbox software concerns
user-specified noise processes. The
provide a time series matrix of standardized, i.i.d. disturbances to drive the
output
Innovations in a time series process. In previous versions, you could
only provide a state that was used to generate a random noise process. See the
State inputargumentonthegarchsim reference page for more information.
Compatibility Considerations
garchsim argument Is renamed. In V2.1, the garchsim argument
Seed is renamed to State for consistency with the MATLAB rand and
randn functions. The name change, in itself, introduces no backward
incompatibilities. The following topic explains a rela ted change.
garchsim function now allows you to
20
garchsim defaults to current random number generator state. In
V2.0.1 of the GARCH Toolbox software, the
random number generator state,
Seed argument. The Seed argument corresponded to the rand and randn
0, if you did not specify a value f or the
garchsim function used the initial
state value.
In V2.1, if you do not specify a value for the
garchsim uses the current state of rand and randn, rather than the initial
state. Use the commands
s = rand('state') and s = randn('state') to
State (formerly Seed)argument,
determine the current state of these random number generators. For more
information, see the
rand and randn reference pages.
Compatibility Summary for Econometrics Toolbox™ Softw are
Compatibility Summary for Econometrics Toolbox
Software
This table summarizes new features and changes that might cause
incompatibilities when you upgrade from an earlier version, or wh en you
use files on m ultiple versions.
NewFeaturesandChangeswith
Version (Release)
Version Compatib ility Impact
Latest Version
Econometrics Toolbox Software
V1.3 (R2010a)
Econometrics Toolbox Software V1.2
(R2009b)
Econometrics Toolbox Software V1.1
(R2009a)
See the Compatibil ity
Considerations subheading
for each of these new features and
changes:
• “Functions Being Removed” on
page 4
• “New Organization and Naming
Standard for Data Sets” on page 6
• “New Naming Convention for
Demos and Example Functions”
on page 7
See the Compatibil ity
Considerations subheading
for each of these new features and
changes:
• “UnitRootTests”onpage8
See the Compatibil ity
Considerations subheading
for each of these new features and
changes:
• “Hypothesis Tests” on page 10
• “Structural VAR, VARX, and
VARMAX models” on page 10
21
Econometrics Toolbox™ Release Notes
Version (Release)
NewFeaturesandChangeswith
Version Compatib ility Impact
Econometrics Toolbox Software V1.0
(R2008b)
GARCH Toolbox Software V2.4
(R2008a)
GARCH Toolbox Software V2.3.2
(R2007b)
GARCH Toolbox Software V2.3.1
(R2007a)
GARCH Toolbox Software V2.3
(R2006b)
GARCH Toolbox Software V2.2
(R2006a)
GARCH Toolbox Software V2.1
(R14SP3)
None
None
None
None
None
None
See the Compatibil ity
Considerations subheading
for each of these new features and
changes:
• “Changes to garchsim” on page 20
22
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