This page lists OxMetrics books of 2006. A recent book list is here. Older books are here

The following books describe the various components in the 2006 OxMetrics 4 system:

See the OxMetrics antique bookshop for a description of the previous OxMetrics books (2000-2005).


Books

OxMetrics  Doornik, J.A. (2006). An Introduction to OxMetrics 4, London: Timberlake Consultants Press. (ISBN: 0-9542603-9-2)

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 OxMetrics is an interactive graphics-oriented program, which acts as “front-end” to a series of integrated software modules: PcGive, Ox, STAMP, G@RCH and X12Arima. OxMetrics 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.

OxMetrics 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. OxMetrics 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 OxMetrics.


Books

Ox  Doornik, J.A. (2006). Ox: An Object-Oriented Matrix Language, London: Timberlake Consultants Press. (ISBN: 0-9533394-0-8).

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 Ox version 4 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 OxMetrics(PcGive) file formats. Ox uses the OxMetrics 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. Ox Packages for fractionally integrated, state space, dynamic panel data and stochastic volatility models are available for use with Ox.

See the antique bookshop for a description of the previous Ox 3.4 book (2001).


Books

Introduction to Ox  Doornik, J.A. and Ooms, M. (2006). Introduction to Ox: An Object-Oriented Matrix Language, London: Timberlake Consultants Press. (ISBN: 0-9552127-0-7).

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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

See the antique bookshop for a description of the previous Introduction to Ox book (2001).


Books

PcGive Japanese    D.F.ヘンドリー/著 J.A.ドーニック/著 市川博也/訳・解説
Hendry, D.F., Doornik, J.A., and Ichikawa Hiroya (2006)
. PcGive による時系列分析入門 , (ISBN 4-535-55401-3)

Buy at Yahoo Japan or Amazon Japan
書籍紹介
革新的なソフトウェア「PcGive」を用い、時系列分析を初歩からステップ・バイ・ステップで学ぶことができる画期的なテキスト。

目次
序説 時系列分析入門(マクロ経済変数と新しい時系列の経済分析入門 「過去の人生」が「現在の自分」を説明する―自己回帰モデルと単位根の役割 ほか) 第1部 PcGiveへのプロローグ(PcGiveを始める PcGiveを上手に使いこなすための基本的な操作) 第2部 PcGiveを用いた演習(クロスセクション回帰方程式の演習 記述統計量と単位根の演習 ほか) 第3部 PcGiveの計量経済学(概説 PcGiveを用いた初級計量経済学の学習)
 
 
 


Books

PcGive Volume I  Doornik, J.A. and Hendry, D.F. (2006). Empirical
 Econometric Modelling Using PcGive 11: Volume I
, London:
 Timberlake Consultants Press. (ISBN 0-9542603-4-1)

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 PcGive version 11 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 OxMetrics 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.

See the antique bookshop for a description of the previous PcGive volume I book (2001).


Books

PcGive Volume II Doornik, J.A. and Hendry, D.F. (2006). Modelling Dynamic Systems Using PcGive 11: Volume II, London: Timberlake Consultants Press. (ISBN 0-9533394-5-9)

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PcGive version 11 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 OxMetrics, 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.

See the antique bookshop for a description of the previous PcGive volume II book (2001).


Books

PcGive Volume III Doornik, J.A. and Hendry, D.F. (2006) Econometric Modelling Using PcGive 11: Volume III London: Timberlake Consultants Press. (ISBN 0-9542603-6-8)

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PcGive version 11 provides modern 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 dynamic econometric modelling to cointegration analysis and simultaneous equations methods.

Volume III , written with the cooperation of Manuel Arellano, Stephen Bond, H. Peter Boswijk and Marius Ooms, covers all remaining topics, including:

See the antique bookshop for a description of the previous PcGive volume III book (2000).


Books

PcNaive  Doornik, J.A. and Hendry, D.F. (2006). PcGive 11, Volume IV: Interactive Monte Carlo Experimentation in Econometrics Using PcNaive, London: Timberlake Consultants Press. (ISBN 0-9542603-7-6)

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 PcNaive, which is now part of PcGive 11, 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 the OxMetrics desktop, and includes:

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

PcNaive is part of PcGive 11.

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.

See the antique bookshop for a description of the previous PcNaive book (2001).


Books

STAMP  Koopman S.J., Harvey, A.C., Doornik, J.A. and
 Shephard, N. (2006)
.  
 STAMP: Structural Time Series Analyser, Modeller and  Predictor
, London: Timberlake Consultants Press.
 (ISBN: 0-9542603-3-3).

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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 7 for OxMetrics 4 handles time series with missing values. Explanatory variables with time varying coefficients and interventions can be included. Among the special features of STAMP are interactive model selection, a wide range of diagnostics, easy creation of model based forecasts, spectral filters, observation weight functions, 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.

See the antique bookshop for the book describing STAMP 6 (2001).


Books

G@RCH  Laurent S., Peters, J.-P. (2006). G@RCH 4.2, Estimating and Forecasting ARCH Models, London: Timberlake Consultants Press. (ISBN 0-9542603-2-5).

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 G@RCH 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

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 software modules: TSP, Stamp and PcGets. It 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.

The program 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.

Since the release of OxMetrics 4 in 2006, GiveWin can only be purchased as part of Stamp 6 or PcGets 1.


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.


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