Time Series in Matlab

Examining Data:

- Trend
- Correlation
- Condition Number

Estimator Variance

- Variance Inflation Factor.

- Colinearity Analysis.
- Belsley Colinearity
- Ridge Regression.

Time Series Preprocessing:

- Crook’s Distance
- Stationarity Test
- Cointegration Test

Predictor Selection:

- Step-wise Fit:
- Information Criteria
- Cross Validation
- Lasso

Regression Diagnostics

- Durbin-Watson Test
- Lijung-Box Q-test
%%Ljung-Box Test

[hLBQ, pvalLBQ]=lbqtest(res, 'Lags',5,'Dof', 5-4);

%%
fprintf('Ljung-Box %d %5.4f\n',hLBQ,pvalLBQ);

- Runs Test.
- ARCH Test.
%%Heteroskedasticity

- Lillirfors test.
- Box-Cox Transformation.

Forecasting:

- VAR Models VAR

- Fitting vgxvarx
- Prediction vgxpred