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We modeled long memory with just one lag!

Author: Prof Sebastien Laurent Many series like the realized variance of Apple stock plotted in the top panel of the figure below (computed from 5-minute log-returns in %...

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OxMetrics 9 Just Released

What's New in OxMetrics 9 OxMetrics 9 features a wide range of exciting changes and improvements (both in Econometrics and non-econometric). The following is an overview...

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Deciding between alternative approaches in macroeconomics

Abstract Macroeconomic time-series data are aggregated, inaccurate, non-stationary, collinear and rarely match theoretical concepts. Macroeconomic theories are incomplet...

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An improved approach to empirical modelling

OxMetrics developer Prof. Sir David Hendry and Dr. Jennifer Castle discuss "An improved approach to empirical modelling" in this article in the CEPR's VOX online platform...

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