|OxMetrics A family of of software packages providing an integrated solution for the econometric analysis of time series, forecasting, financial econometric modelling, or statistical analysis of cross-section and panel data. The core packages of the family are OxMetrics, which provides the user interface, data handling, and graphics, and Ox Professional, which provides the implementation language. The other elements of the family are interactive, easy-to-use and powerful tools that can help solve your specific modelling and forecasting needs.|
OxMetrics Enterprise Edition is a single product that includes and integrates all the important components
for theoretical and empirical research in econometrics, time series analysis and forecasting,
applied economics and financial time series:
In 2006 the OxMetrics 'desktop' replaced Givewin as the new front-end for all the members of the OxMetrics family. 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 the automation of many of these tasks. OxMetrics also offers an integrated development environment for Ox programming. Versions for Mac OS and Linux have become available in 2008.
What's Improved/Fixed for OxMetrics 6.2 & 6.3 (2012): # Improved: xlsx: allow reading of strings created through a formula # Improved: xlsm can be read as xlsx # Improved: default browser detection under Windows; Chrome/Safari jumping to help item.
What's Improved/Fixed for OxMetrics 6.1 (2010): read and write support for Excel xlsx files. Added read (113,114) and write (114) support for Stata 11 .dta files, PDF as new save format for graphics,default Windows 7 fonts, Format menu for text files
What's added for OxMetrics 5.1 (2008): Support for Mac OS X and Linux (32 and 64-bit).
What's new in OxMetrics 5 (2007): Ability to generate Ox Code for some models using a single combined keystroke (Alt-O), next to the ability to generate OxMetrics Batch .fl code using Alt-B. Autometrics for automatic model selection. Support for Microsoft Excel 2007 files. Support for Internet Explorer 7 and Firefox 2 browsers. Improved support for Windows Vista.
OxMetrics is used in all components belonging to
OxMetrics Enterprise Edition.
An OxMetrics 4 Demo (May 2007) with PcGive 12 and STAMP 7 is available for download.
The edit window in OxMetrics desktop is based on OxEdit technology, allowing for unlimited undo/redo, column editing and sorting, and syntax highlighting for Ox, TSP and OxGauss code. Users with the necessary programming skills can develop their own statistical modules for OxMetrics (this is especially easy to do with Ox Professional).
OxMetrics desktop is interactive and graphics-oriented providing nearly 50 types of graphs, ranging from time-series plots to cross-plots, ACF, density, 3-D plots, automatic graphing of logs and growth rates, seasonal subplots, error fans and many others.
Facilities for publication quality graphics include LaTeX-style text to allow mathematics in a graph, as well as black and white mode.
See What's new in Ox 6.21 (2011): Gauss Hypergeometric function, improved functions, function fixes See What's new in Ox 6.1 (2010): Read and write support for Excel xlsx files. Read (113,114) and write (114) support for Stata 11 .dta files. PDF as new save format for graphics. See What's new in Ox 6 (2009): Std.Error bands on normal QQ-plots, Recession shading line style.
See What's fixed in Ox 5.1 (2008): OxPack, graphs, linking 64bit version, reading Excel .csv files on Mac.
See What's new in Ox 5 (2007) : Multithreaded version (Ox Professional only) to use multiple cores/processors on a single computer.
Ox Professional (version 5) is an object-oriented programming system.
Ox Professional is also part of OxMetrics Enterprise Edition.
At its core is a powerful matrix language, which is complemented by a comprehensive statistical library. Among the special features of Ox are its speed (several reviewers rated it much faster than other comparable systems), well-designed syntax and editor, and graphical facilities. Ox can read and write many data formats, including spreadsheets and OxMetrics data and graphics files;
Ox can run most econometric Gauss programs directly if M@ximize is added; if necessary, existing C or FORTRAN code can be added to Ox in the form of dynamic link libraries (DLLs); there is sufficient flexibility in the Ox system to allow it to be fully integrated in applications requiring an econometric or statistical engine; Ox is available on Windows, Linux, and several Unix platforms.
There are many functions integral to Ox: ARMA, numerical optimisation and differentiation, probability (density, quantile, cumulative density and random generation of various probability functions), econometrics (e.g. VAR and cointegration), and Monte Carlo simulation. Additional packages are available and are described later in this brochure. Ox Professional 5 is available with an effective introductory booklet and a 400 page reference manual. The ox help files are also available online for viewing.
Ox Packages extend the functionality of Ox
in various ways. Once installed, they becan integrated part of Ox. Some packages just add a few useful functions, whereas others offer their functionality in an extensive class. A package is also a convenient way for communicating research. The following summary describes some of the currently available freely downloadable Ox packages . Other third party Ox packages are described below.
Free Ox packages: (Note Ox 4 packages continue to work under Ox 5 and Ox 6 without recompiling)
ARFIMA 1.04 - estimation and forecasting of ARFIMA(p,d,q) and ARMA(p,q) models. By Jurgen Doornik and Marius Ooms.
ASV pack (Asymmetric Stochastic Volatility with leverage) by Jouchi Nakajima (2008)
Bootstrap and Simulation parametric bootstrap test package by James Davidson.
DCM 2.0 by and Melvyn Weeks Discrete Choice Modeling package by Mathias Eklöf and Melvyn Weeks , (2009), see OxMetrics Newsletters 9 (Aug 2009)
DDMSVAR for time series modeling with duration-dependent Markov-Switching Models. by Matteo Pelagatti
DPD 1.24 - estimation of static and dynamic panel-data models, by Manuel Arrellano, Stephen Bond and Jurgen Doornik. User friendly interface in PcGive.
DGLM models of Fahrmeir and Wagenpfeil, by Michael Höhle (2001)
EmmPack 1.08 for Ox 5 and up by Pieter Jelle van der Sluis - estimation of univariate stochastic volatility models with the efficient method of moments.
Financial Numerical Recipes 1.01 by - advanced financial calculations, Ox port of C++ code by Bernt Arne Ødegaard (2006)
Lapack - solving linear equations, linear least squares problems, eigenvalue problems, and singular value problems.
Loess - smoothing of multivariate scattered data (LOESS), and decomposition of time series into trend + seasonal + remainder (STL).
M@ximize 1.1 Run Econometric Gauss programs with (constrained) nonlinear optimization using Ox . By Sébastien Laurent and Jean-Pierre Urbain. (2010)
MultiGARCH by Matteo Pelagatti - Dynamic Conditional Correlation (DCC) GARCH models with elliptical conditional distributions.
MC2 pack for Bayesian Markov Chain Monte Carlo Analysis (MCMC) of Econometric Models, posterior sampling and marginal likelihood computation, by Charles Bos.
MULCOM 2.0 by Peter Reinhard Hansen and Asger Lunde. Package for Multiple Comparisons (of Forecasting ability). (2010)
RQ 1.0 , Quantile regression - computation of quantile regression estimates by Roger Koenker and Daniel Morillo
SsfPack Basic 3.0 (SsfPack 2.2) - analysis of univariate and multivariate Gaussian and non-Gaussian time series which can be placed in the state-space form (SSF), described in Time Series Analysis by State Space Methods, by J. Durbin and S.J. Koopman (2002), Oxford University Press, see also SsfPack (Extended) 3.0.
Free Third party Ox classes:
DB1 class by Cambridge Econometrics, store and access all permissible data types in Ox under variable names supplied by the user.
CellTable class by Cambridge Econometrics, to import, modify and export tabular data in Spreadsheet format.
Third party Ox packages:
Time Series Modelling 4.33 (TSM) by James Davidson. Wide range of univariate and multivariate (non-)linear (non-)Gaussian time series models upto Markov-Switching ARFIMA-HYGARCH, BEKK and DCC.
More Ox information (UK)
PcGets for OxMetrics is no longer updated (2007). PcGive 12 (2007) (and later versions) includes Autometrics for automatic econometric model selection, including facilities for automatic detection of outliers and breaks.
PcGets is an automatic econometric model selection program. This package is designed for modelling economic data when the precise formulation of the equation under analysis is not known a priori. The current version is for models that are linear in variables. PcGets is a revolutionary approach to model building, based on recent advances in the understanding of model selection procedures. Experiments show that PcGets outperforms even the most experienced econometrician. With PcGets all the drudgery has gone you choose the variables, then PcGets selects sensible and statistically-valid model(s), allowing you to concentrate on the variable choice and interpretation of the model(s).
PcGets combines the user friendliness, powerful graphics and flexible data management of OxMetrics with the latest methods for single-equation econometric model building provided by PcGive.
The accompanying book explains the underlying econometrics of this automatic approach to model selection as well as the program usage.
(version 13.3) is an essential tool for modern econometric modelling.
See What's fixed and improved in PcGive 13.3 (2012): Output and input procedures improved
What's added for PcGive 13 (2009): (Markov) Regime Switching, New diagnostic tests, Autometrics for nonlinear models, Robust standard errors better integrated in estimation.
See What's new in PcGive 13.0 (2009): Regime switching models: Markov Switching, Selection of robust standard errors is now done in estimation menu,
Pointwise asymptotic Std.Error bands on residual QQ-plots, improved output.
Ox(Batch) .ox code for most models (now including PcGive GARCH) can be generated
automatically by a single combined keystroke (using Alt-O), next to the OxMetrics Batch .fl code (using Alt-B)
See What's fixed in PcGive 12.1 (2008) and new in 12.0 (2007): Autometrics for Single-Equation Dynamic Modelling. Automatic selection of variables, outliers and breaks,
see Autometrics Documentation in PcGive 12 Volume I book and
OxMetrics Newsletter 7 (2007) and
Chapter 4 in: The Methodology and Practice of Econometrics (2009), Festschrift in Honour of David F. Hendry, edited
by Jennifer Castle and Neil Shephard Oxford University Press.
PcGive Professional is also part of OxMetrics Enterprise Edition.
It provides the latest econometric techniques, from single equation methods to advanced cointegration, volatility models (GARCH, EGARCH and many variations of these models), static and dynamic panel data models, discrete choice models and time-series models such as ARFIMA(p,d,q), and X-12-ARIMA for seasonal adjustment and ARIMA modelling. PcGive is easy to use and flexible, making it suitable both for teaching and research.
PcGive is distributed with 4 books. These books introduce the econometric methods of the program, emphasising empirical issues. The first two volumes contain an extensive econometric section, starting at a very elementary level and moving on to more advanced econometrics. In addition, there are many tutorial chapters, as well as detailed descriptions of the statistics that are computed. The volumes can be used as stand-alone textbooks, as well as providing a comprehensive reference for the PcGive system.
See what's new in PcNaive 5 in OxMetrics NewsLetter 9 (Aug 2009): dummy saturation, new diagnostic tests.
See what's new in PcNaive 5 for PcGive 13 (2009): PcNaive can now run with PcNaive can now run with Autometrics and impulse saturation, Added Hetero, Index and RESET23 to PcNaive.
See what's new in PcNaive for PcGive 12.1 (2008): ability to use PcGive and Autometrics.
(version 4.01) is a package that comes with PcGive 12.1 for designing Monte Carlo experiments of dynamic econometric models. There is a set of interactive dialogs in which the data generation process (DGP) and model are formulated, and the statistics of interest are selected. PcNaive then generates and runs an Ox program. The output appears in OxMetrics and can include:
theoretical analysis of the DGP,
live graphical output as the experiment progresses,
numerical output of final results.
PcNaive comes with a book, containing extensive tutorials introducing Monte Carlo analysis, and showing how the program can be used. A separate part discusses how PcNaive can be used in teaching econometrics, starting from the elementary through intermediate and finally advanced econometrics. The book concludes with 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.
SsfPack (Extended) version 3.0 (2008) is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form with easy-to-use functions for Ox.
SsfPack requires Ox 4 or above to run.
SsfPack allows for a full range of different state space forms: from a simple time-invariant model to a complicated multivariate time-varying model. Functions are provided to put standard models such as SARIMA, unobserved components, time-varying regressions and cubic spline models into state space form. Basic functions are available for Kalman filtering, moment smoothing and simulation smoothing. Ready-to-use functions are provided for standard tasks such as likelihood evaluation, forecasting and signal extraction.
SsfPack can be easily used for implementing, fitting and analysing Gaussian models relevant to many areas of econometrics and statistics. Furthermore it provides all relevant tools for the treatment of non-Gaussian and nonlinear state space models. In particular, tools are available to implement simulation based estimation methods such as importance sampling and Markov chain Monte Carlo (MCMC) methods.
SsfPack comes with a new Ssfpack manual (2008): Koopman, S.J., Shephard, N. and Doornik, J.A. (2008), Statistical Algorithms for Models in State Space Form, SsfPack 3.0, London, Timberlake Consultants Press, ISBN 978-0-9557076-3-6, xiv + 168 pages.
SsfPack is not part of OxMetrics Enterprise Edition.
Jacques Commandeur and Siem Jan Koopman (2007) provide An Introduction to State Space Time Series Analysis, Oxford University Press, a recent introduction to practical state space modelling using SsfPack.
For more information and latest developments, see
Ssfpack.com website UPDATED (10/08)
STAMP 8.3 for OxMetrics 6.3 is a package designed to model and forecast time series, based on structural time series models. These models use advanced techniques, such as Kalman filtering, but are set up so as to be easy to use -- at the most basic level all that is required is some appreciation of the concepts of trend, seasonal and irregular. The hard work is done by the program, leaving the user free to concentrate on formulating models, then using them to make forecasts.
STAMP is also part of OxMetrics Enterprise Edition.
See What is new in 8.3 (2010) in Details about Stamp on stamp-software.com: Automatic Ox(Batch) code generator for STAMP (Alt-o), improved OxMetrics 6.3 Batch facilities (Alt-B) for STAMP. Updated online help.
See What is new in 8.2 (2009) in OxMetrics Newsletter 9 (Aug 2009).
What is new in 8.1 (2008) in Stamp News of OxMetrics Newsletter 8 (2008). Forecasting of unobserved components as well as the future observations. Batch facilities improved.
See What is new in STAMP 8 (2007) in OxMetrics Newsletter 7 (2007): Multivariate capabilities with extensions: select components by equation, select regressors and interventions by equation, separate dependence structures for each component, wide choice of variance matrices, higher order multivariate components, missing observations allowed, forecasting, exact likelihood computation, automatic outlier and break detection, fixing parameters is made easy.
Structural time series modelling can be applied to a variety of problems in time series.
Macro-economic time series like gross national production, inflation and consumption can
be handled effectively, but also financial time series, like interest rates and stock
market volatility, can be modelled using STAMP. Further, STAMP is used for modelling
and forecasting time series in medicine, biology, engineering, marketing and in many other areas.
accompanying book for STAMP 8.2 (2009)
explains this approach to time series modelling as well as the program usage, both in a univariate
and a multivariate context.
For more information and for the latest developments, see
G@RCH 6.1 is an OxMetrics application dedicated to the estimation and forecasting of univariate ARCH-type models. G@RCH provides a user-friendly interface (with rolling menus) as well as some graphical features (through the OxMetrics graphical interface). For repeated tasks, the models can be estimated via the `Batch Editor' of OxMetrics or the Ox programming language (several example files are provided using the G@RCH class). G@RCH is also part of OxMetrics Enterprise Edition.
What is new in G@RCH 6.1? (2010) cDCC model of Gian Piero Aielli (2009). Bug fixes.
What is new in G@RCH 6.0? (2009) Module: RE@LIZED whose aim is to provide a full set of procedures to compute non-parametric estimates of the quadratic variation, integrated volatility and jumps using intraday data. Tests for jumps. Accomodating intraday periodicity.
What is new in 5.1: Support for Mac OS and Linux via OxMetrics 5.1, New tests for long memory, New model DECO (Dynamic EquiCOrrelation of Engle and Kelly (2007)) model in MGARCH.
What is new in 5: simulation capabilities, VaR forecasts can be stored, Lee and Mykland (2006) jump test, multivariate GARCH models are available including the scalar BEKK, diagonal BEKK, RiskMetrics, CCC, DCC, OGARCH and GOGARCH models, Ox(Batch) .ox code for most models can be generated automatically by a single combined keystroke (using Alt-O), next to the OxMetrics Batch .fl code (using Alt-B)
What was new in 4.2: Realized volatility, realized bi-power variation, continuous volatility, realized jump, deseasonalize intraday returns, in-sample and out-of-sample Value-at-Risk forecasts.
G@RCH is distributed with a book, G@RCH 6, Estimating and Forecasting ARCH Models reviewing some of the most recent contributions in this field:
Detailed information is provided on
See what's new in TSP/OxMetrics 5.1 in OxMetrics Newsletter 9 (Aug 2009)
TSP (version 5.1), by TSP International (founded in 1982 by Bronwyn H. Hall) is an econometric software package, with convenient input of commands and data, all the standard estimation methods (including non-linear), forecasting, and a flexible language for programming your own estimators. The philosophy behind TSP is that of a command-driven language tailored to econometric problems, whatever the platform used. For those working in a Windows environment, TSP can be installed as a module of OxMetrics - TSP/OxMetrics. This eases the use of the command-line environment by providing context sensitive help, syntax highlighting, and a dialog-driven command builder.
TSP/OxMetrics has replaced TSP/GiveWin in 2009.
What's new in version 5.1 (2009): OxMetrics compatibility, New linear programming, New Panel data comments, robust standard errors. Improved reading of Stata and Excel data.
What's new in version 5.0 (2007): Interval regression, Kernel regression, (Censored) Quantile regression,
TSP offers a wide variety of facilities, such as:
single-equation estimation (using a variety of techniques), non-linear 3SLS, GMM and FIML, time series methods (Box-Jenkins, Kalman-filter estimation, vector autoregressive models, etc.), financial econometrics (ARCH, GARCH, GARCH-M, including logarithmic versions), general maximum likelihood, qualitative dependent variable estimation, and panel data estimation. Extensive libraries of TSP procedures are available free of charge.
A TSP companion book for the well-known econometrics text by Pindyck and Rubinfeld (McGraw-Hill & Co.), written by B. Hall and S. Schmukler is also available.
Detailed information is provided on