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This page lists **OxMetrics Old books**.
A recent book list is **here**
The following books described the various packages in the OxMetrics
system anno 2005.

- GiveWin: An Interface to Empirical Modelling

by Doornik, J.A. and Hendry, D.F. (2001) - Ox: An Object-Oriented Matrix Language

by Doornik, J.A. (2001) - Introduction to Ox: An Object-Oriented Matrix Language

by Doornik, J.A. and Ooms, M. (2000) - Automatic Econometric Model Selection using PcGets

by Hendry, D.F. and Krolzig, H.-M. (2001) - Empirical Econometric Modelling Using PcGive Volume I

by Hendry, D.F. and Doornik, J.A. (2001) - Modelling Dynamic Systems Using PcGive Volume II

by Doornik, J.A. and Hendry, D.F. (2001) - Econometric Modelling Using PcGive Volume III

by Doornik, J.A. and Hendry, D.F. (2001) - Interactive Monte Carlo Experimentation in Econometrics Using PcNaive

by Doornik, J.A. and Hendry, D.F. (2001) - Stamp: Structural Time Series Analyser, Modeller and Predictor

by Koopman S.J., Harvey, A.C., Doornik, J.A. and Shephard, N. (2000) - G@RCH 4.0, Estimating and Forecasting ARCH Models

by Laurent S., Peters, J.-P. (2005)

**Doornik, J.A. and Hendry, D.F. (2001)**.
*GiveWin: An Interface to Empirical Modelling*,
London: Timberlake Consultants Press. (ISBN 0-9533394-3-2)

Table of contents | Order |

**GiveWin™**
is an interactive graphics-oriented program, which acts as
“front-end” to a series of integrated software modules:
PcGive, Ox, TSP, Stamp and X12Arima. GiveWin provides a complete
separation of the front-end (for data manipulation and visualisation)
and the econometric and statistical modules, while maintaining a
reliable communication channel, and giving a closely integrated
appearance from the user perspective.

GiveWin displays reports and graphics, which can be manipulated on screen, offers a calculator and algebraic language for transforming data, and enables the user to open multiple databases. A batch language allows for automation of many of these tasks. GiveWin reduces the learning curve for econometric and statistical packages by providing a common front-end which is easy to use. Users with the necessary programming skills can write programs in suitable languages (including Ox) which can communicate with GiveWin.

GiveWin can be purchased as part of “user packs,” such as PcGive Professional, Ox,TSP/GiveWin and Stamp, or separately as a statistical data management and visualisation package.

**Doornik, J.A. (2001)**.
*Ox: An Object-Oriented Matrix Language*,
London: Timberlake Consultants Press. (ISBN 0-9533394-0-8).

Table of contents | Order |

**Ox™**
is an object-oriented matrix programming language. It is an important
tool for statistical and econometric programming with a syntax similar to
C++ and a comprehensive range of commands for matrix and statistical
operations. Ox runs faster than other similar programs and can read and
write spreadsheet and PcGive file formats. Ox uses the GiveWin interface
to produce publication quality graphics and reports.

New estimation techniques and Monte Carlo experiments can be implemented easily and efficiently in Ox. Application procedures for dynamic econometric modelling (such as vector autoregressions and cointegration analysis) are included. Packages for fractionally integrated, state space, dynamic panel data and stochastic volatility models are available for use with Ox.

**Doornik, J.A. and Ooms, M. (2001)**.
*Introduction to Ox: An Object-Oriented Matrix Language*,
London: Timberlake Consultants Press. (ISBN 0-9533394-1-6).

Table of contents | Order |

**Introduction to Ox™** first introduces the Ox environment.
Syntax, operators, program flow and program design are discussed and illustrated using
econometric examples. Next we describe how to input and output data, how to generate graphics
and how to present results using string operators and print formats. Finally we discuss the use and
generation of Ox classes for object oriented programming, including a database class for time series
data and a simulation class for statistical models.

By working through the hands-on examples, readers will acquire an adequate level of Ox knowledge within a couple of days.

“*This takes the reader chapter by chapter through the intricacies of the Ox Language
(including object-oriented programming features), so that the users can appreciate the basics
of using Ox and its features efficiently*”

**Hendry, D.F. and Krolzig, H.-M. (2001)**.
*Automatic Econometric Model Selection using PcGets*,
London: Timberlake Consultants Press.

Table of contents | Order |

**PcGets™**
is a powerful new computer-automated approach to econometric
modelling, ‘outperforming’ even experienced econometricians.
Designed for modelling economic data when the precise formulation of the
equation under analysis is not certain, PcGets implements a
general-to-specific approach to automatically select a congruent
and undominated model: specify the general model nesting alternative
economic theories, lag structures etc., and let PcGets do the rest!
Monte Carlo experiments show that PcGets recovers the correct specification
from a general model with size and power close to commencing from the
data-generation process itself.

Interfacing with GiveWin, PcGets is easy to use and flexible, for both cross-section and time-series data, and applicable to modelling vector autoregressions. The accompanying book explains the underlying econometrics of this automatic approach to model selection as well as the program usage.

“*Seen from the perspective of even a few years ago, PcGets is
remarkable! It will be a valuable addition to the applied
econometrician’s toolbox.*”

**Hendry, D.F. and Doornik, J.A. (2001)**.
*Empirical Econometric Modelling Using PcGive Volume I*,
London: Timberlake Consultants Press. (ISBN 0-9533394-2-4)

Table of contents | Order |

**PcGive™**
is an essential tool for modern econometric modelling. It provides
the latest econometric techniques, from single equation methods, to
cointegration analysis and simultaneous equations modelling. PcGive is
easy to use and flexible, making it suitable for both teaching and research.
PcGive provides the estimation and testing procedures which have made it
indispensable in applied econometric analysis, and interacts with GiveWin
to give excellent graphics and data facilities.

The PcGive books introduce the econometric methods of the program, emphasising empirical issues. Each volume contains an extensive econometrics section, starting at an elementary level, yet progressing to advanced econometrics. There are also tutorial chapters explaining the detailed use of PcGive, as well as precise descriptions of the statistics which it computes. Each volume can be used as a stand-alone text book as much as a reference for PcGive.

**Doornik, J.A. and Hendry, D.F. (2001)**.
*Modelling Dynamic Systems Using PcGive Volume II*,
London: Timberlake Consultants Press.

Table of contents | Order |

**PcGive™**
is an essential tool for modern econometric modelling. It provides
the latest econometric techniques, from single equation methods to
cointegration analysis and simultaneous equations modelling.
Volume II covers advanced econometric techniques, including cointegration
analysis, simultaneous equations modelling and dynamic forecasting.
PcGive is easy to use and flexible, making it suitable both for teaching
and research. PcGive interacts with GiveWin, and provides excellent
graphics, together with the estimation and testing procedures which have
made PcGive indispensable in applied econometric analysis.

The PcGive books introduce the econometric methods of the program, emphasising empirical issues. Each volume contains an extensive econometrics section, starting at a very elementary level, moving on to more advanced econometrics. In addition, there are many tutorial chapters, as well as a detailed descriptions of the statistics which are computed. Each volume can be used as a reference for PcGive, just as much as a stand-alone text book.

**Doornik, J.A. and Hendry, D.F. (2001)**.
*Econometric Modelling Using PcGive Volume III*
London: Timberlake Consultants Press. (ISBN 0-9533394-7-5)

Table of contents | Order |

**PcGive™**
provides the latest econometric techniques within an environment
which makes them easy to use, thus allowing the user to focus on the
modelling process. These features make PcGive an essential tool for
modern econometric modelling.

Volume I and II range from single equation econometric modelling to cointegration analysis and simultaneous equations methods.

Volume III covers all remaining topics, including:

- Volatility models (GARCH, EGARCH, etc.)
- Fractionally integrated models (ARFIMA)
- Static and dynamic panel data models
- X12Arima for GiveWin (seasonal adjustment and ARIMA modelling)
- Limited dependent models

**Doornik, J.A. and Hendry, D.F. (2001)**.
*Interactive Monte Carlo Experimentation in Econometrics Using PcNaive*,
London: Timberlake Consultants Press.

Table of contents | Order |

**PcNaive™**
is a program for designing Monte Carlo experiments of static and
dynamic econometric models. There is a set of simple interactive dialogs
to design experiments for a static regression with up to two regressors
or a simple autoregressive process. These are particularly useful to new
users and for teaching introductory Econometrics. More advanced dialogs
give access to the full range of features of PcNaive, up to simultaneous
equations models and cointegration tests. PcNaive is an Ox package which
generates Ox programs from the settings in the dialogs; Monte Carlo output
appears in GiveWin, and includes:

- theoretical analysis of the DGP,
- live graphical output as the experiment progresses,
- numerical output of final results.

PcNaive requires Ox Professional.

The PcNaive book contains three major components. The first is a set of extensive tutorials introducing Monte Carlo analysis, and showing how the program can be used. This is followed by a separate part that discusses how PcNaive can be used in teaching Econometrics (from an elementary level, through intermediate to advanced). Finally, there is a comprehensive introduction to the theory of Monte Carlo analysis, including asymptotic analysis and response surfaces. Many econometric examples are used throughout, and the book covers important material which is often missing from standard text books.

**Koopman S.J., Harvey, A.C., Doornik, J.A. and Shephard, N. (2000)**.
*Stamp: Structural Time Series Analyser, Modeller and Predictor*,
London: Timberlake Consultants Press. (ISBN 0-9533394-4-0).

Table of contents | Order |

**STAMP™**
stands for Structural Time series Analyser, Modeller and Predictor.
It is a menu-driven system designed to model, describe and predict time
series. It is based on structural time series models. These models are
set up in terms of components such as trends, seasonals and cycles, which
have a direct interpretation. Estimation is carried out using state space
methods and Kalman filtering. However, Stamp is set up in an easy-to-use
form which enables the user to concentrate on model selection and
interpretation.

STAMP 6 handles both univariate and multivariate time series. Explanatory variables and interventions can be included and the multivariate models are able to handle features such as common factors and cointegration. Among the special features of Stamp are interactive model selection, a wide range of diagnostics, easy creation of forecasts and batch facilities.

The STAMP book introduces structural time series models and the way in which they can be used to model a wide range of series. Tutorials provide a step-by-step guide to learning the program and the structural time series methodology.

**Laurent S., Peters, J.-P. (2004)**.
*G@RCH 4.0, Estimating and Forecasting ARCH Models*,
London: Timberlake Consultants Press. (ISBN 0-9542603-2-5).

**G@RCH Professional™**
is a user-friendly system to estimate a wide range of GARCH-type models.

The G@RCH book provides extensive tutorials illustrating the use of the program. It also reviews some of the most recent contributions in this field:

- Conditional Mean: ARMA, ARFIMA, ARCH-in-Mean, Explanatory Variables;
- Conditional Variance: GARCH, EGARCH, GJR, APARCH, IGARCH, RiskMetrics, FIGARCH, FIEGARCH, FIAPARCH, HYGARCH; Explanatory Variables;
- (Quasi-)Maximum Likelihood: Normal, Student, GED or skewed-Student distribution;
- Constraint Maximum Likelihood, Simulated Annealing;
- (Mis)Specifications Tests: Information Criteria, Jarque-Bera, Box-Pierce statistics, LM ARCH test, Sign Bias Test, Pearson goodness-of-fit, The Nyblom stability test, Residual-Based Diagnostic for for Conditional Heteroscedasticity, etc;
- Value-at-Risk, Expected shortfall, Backtesting (Kupiec LRT, Dynamic Quantile test);
- Forecasting, Realized volatility.

**Hendry, D.F. and Krolzig, H.-M. (2001)**.
*Automatic Econometric Model Selection using PcGets*,
London: Timberlake Consultants Press.

Table of contents | Order |

**PcGets™**
is a powerful new computer-automated approach to econometric
modelling, ‘outperforming’ even experienced econometricians.
Designed for modelling economic data when the precise formulation of the
equation under analysis is not certain, PcGets implements a
general-to-specific approach to automatically select a congruent
and undominated model: specify the general model nesting alternative
economic theories, lag structures etc., and let PcGets do the rest!
Monte Carlo experiments show that PcGets recovers the correct specification
from a general model with size and power close to commencing from the
data-generation process itself.

Interfacing with GiveWin, PcGets is easy to use and flexible, for both cross-section and time-series data, and applicable to modelling vector autoregressions. The accompanying book explains the underlying econometrics of this automatic approach to model selection as well as the program usage.

“*Seen from the perspective of even a few years ago, PcGets is
remarkable! It will be a valuable addition to the applied
econometrician’s toolbox.*”