OxMetrics

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OxMetrics
Developer(s) OxMetrics Technologies
Stable release 7.0 / July 2013
Operating system Windows Mac OS X Linux
Type programming language econometric software
License proprietary
Website www.oxmetrics.net

OxMetrics is an econometric software including the Ox programming language for econometrics and statistics, developed by Jurgen Doornik and David Hendry. OxMetrics originates from PcGive, one of the first econometric software for personal computers, initiated by David Hendry in the 1980s at the London School of Economics.

OxMetrics builds on the Ox programming language of Jurgen Doornik developed at University of Oxford. Renfro(2004) describes the history of econometric software packages.

OxMetrics is a family of software packages for the econometric and financial analysis of time series, forecasting, econometric model selection and for the statistical analysis of cross-section data and panel data.

The main modules apart from PcGive for dynamic econometric models (ARDL, VAR, GARCH, Switching, Autometrics), panel data models (DPD), Limited dependent models, are STAMP for structural time series modelling, "SsfPack" for State space methods and "G@RCH for financial volatility modelling. Documentation is available in.pdf. Hendry and Nielsen (2007) present many empirical examples in PcGive for OxMetrics in their econometrics textbook. Durbin and Koopman (2012) give modern examples in their Time Series Analysis textbook.

References

  • Durbin, J. and Koopman, S.J. 2012. Time Series Modelling by State Space Methods, Oxford University Press.
  • Hendry, D.F. and Nielsen, B. 2007. Econometric Modeling: A Likelihood Approach, Princeton University Press.
  • Renfro, C. 2004. Econometric software: The first fifty years in perspective, Journal of Economic and Social Measurement, 29:9-107.

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