mVARbox is a Matlab toolbox for uni/multivariate data series analysis in both time/space and frequency domains, with focus on mutivariate autoregressive (VAR) models

Time Series Forecasting - Econometrics

A MatLab package for System Identification using linear and nonlinear auto-regresive models (N)AR, (N)ARX and (N)ARMAX models

Granger Causality (GC), Granger Isolation (GI) and Granger Autonomy (GA) for the assessment of bivariate causal and non-causal interactions in linear autoregressive processes.