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.


Books

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

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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.


Books

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

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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.


Books

Introduction to 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).

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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


Books

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

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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.


Books

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

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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.


Books

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

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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.


Books

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

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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:


Books

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

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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:

 

  1. theoretical analysis of the DGP,
  2. live graphical output as the experiment progresses,
  3. 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.


Books

STAMP 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).

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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.


Books

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:


Books

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

Table of contentsOrder

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.


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