matlab计量经济学工具箱.docxVIP

Econometric Modeling A simple model is easier to estimate, forecast, and interpret. 1． Specification testshelps you identify one or more model families that could plausibly describe the data generating process. 2． Model comparisons help you compare the fit of competing models, with penalties for complexity. 3．Goodness-of-fit checks help you assess the in-sample adequacy of your model, verify that all model assumptions hold , and evaluate out-of-sample forecast performance. arima garch egarch gjr(s a variant of the GARCH conditional variance model, named for Glosten, Jagannathan, and Runkle) A