OxMetrics is a family of software packages providing an integrated solution for the econometric analysis of time series, forecasting, financial econometric modelling and statistical analysis of cross-section and panel data.
End User License AgreementOxMetrics is a family 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. OxMetrics consists of a front-end program called OxMetrics, and individual application modules such as Ox, CATS, PcGive, STAMP and G@RCH.
OxMetrics Enterprise is a single product that includes all the important components: OxMetrics desktop, Ox Professional, CATS, PcGive and STAMP and G@RCH
OxMetrics 9, published and distributed worldwide by Timberlake Consultants.
Find out more about the new features available in OxMetrics 9
View the OxMetrics 9 Handbook here
Getting started with OxMetrics? View the OxMetrics starter guide here
Bought OxMetrics 9 and need help with the installation? View the OxMetrics installation guide here
The new release of OxMetrics 9 contains upgraded versions of STAMP, PcGive and G@RCH.
The latest version includes CATS 3 (Cointegration of Time Series Analysis by Jurgen A Doornik and Katerina Juselius) and several improvements to the following modules:
New packages in Ox Console 9:
oxurl
- download resources from the internet through simple interface to libcurl, see packages/oxurl/oxdoc/index.htmloxdoc
- generate documentation from source code markup (written in Ox), see packages/oxdoc/oxdoc/index.html. Documentation for oxdoc is created by running it on itself.gwg2ox
- generates Ox code for a gwg file (used when calling Save Ox code from the graph window contact menu).Rox
- call R from Ox code.View the new features and improvements here.
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, G@RCH and STAMP.
CATS uses OxMetrics for data input and graphical and text output, and is part of the OxMetrics family.
The third generation of CATS is a complete rewrite in more than one way. It is now written in Ox for use within OxMetrics, either using the graphical user interface or programmatically. Furthermore, many algorithms have been improved or newly invented, in particular for I(2) models. The new CATs module with I(2) cointegration and many new I(1) cointegration features includes corrections and is considerably faster.
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 (such as PcGive, STAMP, G@RCH) are implemented with the Ox language. Ox Professional belongs to theOxMetrics Enterprise Edition.
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 static and dynamic panel data models, discrete choice models and time-series models.
Autometrics is the automatic econometric model selection procedure that is available in PcGive. Autometrics is a revolutionary new approach to model building, based on recent advances in the understanding of model selection procedures. Experiments show that Autometrics outperforms even the most experienced econometrician. Starting from an initial model, Autometrics will find the best simplified model. Thus removing the drudgery of model selection, allowing you to concentrate on the variable choice and interpretation of the model(s).
G@RCH is an OxMetrics module dedicated to the estimation and forecast of univariate and multivariate ARCH-type models. It also allows the estimation of univariate and multivariate non-parametric estimators of the quadratic variation and the integrated volatility. G@RCH provides a menu-driven easy-to-use interface, as well as some graphical features. For repeating tasks, the models can be estimated via the Batch Editor of OxMetrics or using the Ox language together with the ‘Garch’, ‘MGarch’ and ‘Realized’ classes. Version 9.0 is a major update that features many improvements. G@RCH is also part of OxMetrics Enterprise Edition.
Modelling and forecasting time series, based on structural time series models. These models use advanced techniques, such as Kalman filtering, but are set to be easy to use. The hard work is done by the program, leaving the user free to concentrate on formulating models, then using them to make forecasts. STAMP 9 includes both univariate and multivariate models and automatic outlier detection. STAMP is also part of OxMetrics Enterprise Edition.
SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form and requires Ox 4 or above to run. SsfPack is not a member of OxMetrics Enterprise Edition.
* OxMetrics 8 and SSfPack users please note: SSfPack 3.0 has been recompiled to be compatible with OxMetrics 8 and requires users to reinstall a new version of the software.
oxurl
- download resources from the internet through simple interface to libcurl, see packages/oxurl/oxdoc/index.htmloxdoc
- generate documentation from source code markup (written in Ox), see packages/oxdoc/oxdoc/index.html. Documentation for oxdoc is created by running it on itself.gwg2ox
- generates Ox code for a gwg file (used when calling Save Ox code from the graph window contact menu).Rox
- call R from Ox code.* Added .last to index last element:
x[.last][.last] = 1;
x[.last - 1][.last - 2] = 2;
x[.last + 1] //error: indexing beyond last element
decl aa = {"one", 10, "two", 0, "four", <1>, "five", {1,2}};
println("aa[\"one\"]= ", aa["one"] ?: "false");
println("aa[\"two\"]= ", aa["two"] ?: "false");
println("aa[\"three\"]=", aa["three"] ?: "false");
println("aa[\"four\"]= ", aa["four"] ?: "false");
println("aa[\"five\"]= ", aa["five"] ?: "false");
This example also uses: allow a ? a : c to be written as a ? : c. This makes for more readable code when a function has many options:
func(const options)
{
otherfunc(options["print"] ?: 0,
options["stop_on_errors"] ?: 0,
options["labels"] ?: {"a","b","c"});
}
decl aa = {"one": 10, "two": 0, "four": <1>, "five": {1,2}};
// is equivalent to
decl aa = {"one", 10, "two", 0, "four", <1>, "five", {1,2}};
The following lists the new features and improvements made to the OxMetrics front end in version 8. Current users of OxMetrics 7 will find that the user experience remains familiar.
The most important new features are:
CATS uses OxMetrics for data input and graphical and text output, and is part of the OxMetrics family.
The third generation of CATS is a complete rewrite in more than one way. It is now written in Ox for use within OxMetrics, either using the graphical user interface or programmatically. Furthermore, many algorithms have been improved or newly invented, in particular for I(2) models. The new CATs module with I(2) cointegration and many new I(1) cointegration features includes corrections and is considerably faster.
Here is a brief summary of new features in the I(1) part of CATS
And for the I(2) part of CATS:
The Special Issue reprint book "Recent Developments in Cointegration" has been published online and is freely accessible on the MDPI Books platform here
Ox is an object-oriented matrix programming language with a comprehensive mathematical and statistical function library. Matrices can be used directly in expressions, for example to multiply two matrices, or to invert a matrix. The major features of Ox are its speed, extensive library, and well-designed syntax, which leads to programs which are easier to maintain.
There are two versions under Windows:
Ox Professionaloxl.exe for use in a command prompt (console) window, oxrun.exe for full graphical functionality in conjunction with OxMetrics. The oxrun and oxli programs have an interactive and debug mode. Executables are in ox\bin.
Ox Consoleoxl.exe for use in a command prompt window.
Modelbase
mean that oxo files of Modelbase derived classes need to be recompiled:GetOx*
functions have additional sClass argument; also introduced GetOxDecl,GetOxDatabase
.Y_VAR
constants have been moved into the class (derived classes should do the same with their constants). This avoids clashes when using multiple classes in one project. So we need to write (e.g.)
model.Select(Arfima::Y_VAR, ...
model.Select(Y_VAR, ...
model.Select("Y", ...
model.SetMethod("NLS");
Modelbase
has two new virtual functions FindGroup,FindMethod
which rely on the new virtual functions GetGroupLabels,GetMethodLabels
. The derived class should override GetGroupLabels,GetMethodLabels
to return the correct array of strings.
savesheet
to save two-dimensional array as Excel file (counterpart to loadsheet)(.Null)
:
.Null
.Null
equality (only) using arr[i] == .Null
arr[i] = .Null
.Null
value in an expression remains a run-time error.
func(...args)
{
decl a = 1;
}
is convenient shorthand for
func(...)
{
decl args = va_arglist();
decl a = 1;
}
func1(...a)
equals func1(a[0], a[1], a[2])
if a is an array with three elements. The array cannot have more than 256 elements.
decl [a, b, c] = {1, 2, 3};
[a,,c] = {1, 3};
fwrite/fread
can have a filename as the first argument. E.g., fread("filename", &s, 's')
reads an entire file into one string, fwrite("filename", s)
saves a string as a file.diagcat(a, b, ...);
to concatenate more than two matrices.print("%9.3P", 1e-6)
prints
"[0.000]***"
. The format is three stars for significance below 0.001, two for below 0.01, one for below 0.05.format
function.The improvements in PcGive mainly relate to (1) model formulation, (2) saturation estimation using Autometrics, (3) automatic model selection in simultaneous equations models (SEM).
Fixed and Improved in PcGive 15
Unique to PcGive 15
The current OxMetrics software family supports the latests versions of Microsoft Windows, Mac OS and Linux. See below to see if your machine is compliant with the latest version:
Users of earlier or 32bit versions of macOS and windows must use OxMetrics 8
Register below for our next free webinar in OxMetrics 9, where you can learn about the latest release of the software.
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Follow this link to view the recording of our latest hour long webinar covering an introduction to the G@RCH module within OxMetrics 9
https://www.timberlake.co.uk/software/oxmetrics/
Start AgainPlease select licence type:
Single User Single User Annual Maintenance Volume License Volume License Annual MaintenacePlease select licence type:
Single User Single User Annual Maintenance Volume License Volume License Annual Maintenace StudentsEmpirical Model Discovery: A synthesis of the authors’ groundbreaking econometric research on automatic model selection, which uses powerful computational algorithms and theory evaluation.
Handbook of Volatility Models: Featuring contributions from international experts in the eld, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates.
View the OxMetrics 9 Handbook here
Getting started with OxMetrics? View the OxMetrics starter guide here
Bought OxMetrics 9 and need help with the installation? View the OxMetrics installation guide here
OxMetrics offers special prices to students. To be able to purchase OxMetrics modules at student prices, you need to present proof of student status.
Student copies are full versions of the software. However, they may not include all the documentation. For example, PcGive is distributed with the Introduction to OxMetrics book and PcGive Volume I manual only. Ox Professional is distributed with Introduction to OxMetrics book and the Introduction to Ox manual only. STAMP is distributed with the full documentation, Introduction to OxMetrics book and STAMP book. G@RCH is distributed with the full documentation, Introduction to OxMetrics book and G@RCH book. When purchasing more than one module only 1 Introduction to OxMetrics book will be included.
Single Module of PcGive / Ox Professional / STAMP / G@RCH
£85.00 (excluding VAT where applicable).
TSP/OxMetrics
£95.00 (excluding VAT where applicable).
Any two modules from PcGive / Ox Professional / STAMP / G@RCH
£136.00 (excluding VAT where applicable).
Any three modules from PcGive / Ox Professional / STAMP / G@RCH
£204.00 (excluding VAT where applicable).
Any four modules from PcGive / Ox Professional / STAMP / G@RCH
£210.00 (excluding VAT where applicable).