Vector Autoregression (VAR models) in MatLab


I have Matlab 2008a and would like to perform a vector autoregression analysis? However, from what I read on the web so far this option is available only from 2008b in the econometrics toolbox. Is there any way in which I can get hold of it? Otherwise, I found this third party MatLab package:

Does anyone have experience with it??

Basically what I need to do is the following:

I have a 2000x3 matrix where the rows are days and the colums represent the daily value of three parameters I estimate on a daily basis - b0, b1 and b2. Now, I want to create a prediction model based on the data to have the one day ahead forecast.

Let's say that I need 6 months (--> 180 rows) observations to do the first forecast and then I re-do the forecast each time by adding the new data to my estimation sample.
How can I do it?


  • Let's try the package in the link, it seems good and there is also a m-file with some examples. It could be a starting point so that you have not to rewrite all the code for VAR models.
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