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E4 Toolbox: This is the source code of our MATLAB Toolbox for econometric modeling of time series.
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User manual: This is the manual of the Toolbox, including a detailed description of its functions and many examples.
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Source code and data for the examples in the User Manual: 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 book: "State-Space Methods for Time Series Analysis: Theory, Applications and Software." |
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Documentation for Time-Varying Parameters regression functions: This documentation describes the E4 functions dealing with RegARIMA models with time-varying regression parameters. The source code of these functions is included in the E4 main download file. |
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Documentation for the disaggregation functions: 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 the E4 main download file. |
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Advanced pre-estimation functions (BETA code): 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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