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OxMetricsTM 5
What is OxMetricsTM (Published by Timberlake Consultants Limited)?
OxMetrics™ is a modular software system providing an integrated solution for the econometric analysis of time series, forecasting, financial econometric modelling and for the statistical analysis of cross-section and panel data. The OxMetrics modules are: Ox Professional™ , PcGive™ , STAMP™, G@RCH™ and TSP/GiveWin™. Four of these modules have been grouped in a single product OxMetrics Enterprise Edition.
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: Ox Professional, PcGive, STAMP, G@RCH. Purchasing the OxMetrics Enterprise Edition will provide the users with a very powerful and cost effective tool to use during their modelling work. In addition to the usual features in modern econometric software, OxMetrics Enterprise includes
- Automatic Model Selection
A short description of the OxMetrics modules is provided below. Further information is given on related Web sites. Please just follow the links provided. The OxMetrics modules are:
| Enterprise Edition Modules | Ox Professional | PcGive | STAMP | G@RCH |
| Additional Modules | PcGets | TSP/GiveWin |
Ox Professional™ 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 is at the core of OxMetrics. Most of the other modules of OxMetrics (e.g. PcGive, STAMP, G@RCH) are implemented with the Ox language. Ox Professional belongs to the OxMetrics Enterprise Edition.
For more information see:
http://www.oxmetrics.net/pages/software.html#ox
http://www.doornik.com/products.html#Ox.
Users have implemented many Ox Packages™. These 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.
A summary describing some of the currently available freely downloadable Ox packages is described in http://www.oxmetrics.net/pages/software.html#oxpacks.
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PcGive™ is an essential tool for modern econometric modelling. 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. Very importantly, PcGive 12 now includes automatic model selection (Autometrics). It also includes extensive facilities for model simulation (PcNaive)
For more information see:
http://www.oxmetrics.net/pages/software.html#pcgive
http://www.PcGive.com
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STAMP™ is a module 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 8 includes both univariate and multivariate models and automatic outlier detection. STAMP is also part of OxMetrics Enterprise Edition.
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.
For more information see:
http://www.oxmetrics.net/pages/software.html#stamp
http://stamp-software.com
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G@RCH™ is a module 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 OxMetrics `Batch Editor' or the Ox programming language (several example files are provided using the G@RCH class). G@RCH is also part of OxMetrics Enterprise Edition.
G@RCH covers the following techniques and tests:
- 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.
For more information see:
http://www.oxmetrics.net/pages/software.html#garch
http://www.garch.org
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TSP/GiveWin™ (version 5), 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 GiveWin - TSP/GiveWin. This eases the use of the command-line environment by providing context sensitive help, syntax highlighting, and a dialog-driven command builder.
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.
At the moment, TSP/GiveWin is not part of OxMetrics Enterprise and is incompatible with OxMetrics 4. To use TSP/GiveWin you will need to install the previous user interface for the OxMetrics software - GiveWin. Data sets are compatible.
For more information see:
http://www.oxmetrics.net/pages/software.html#tsp
http://www.tspintl.com
Copyright of Timberlake Consultants Limited
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