XlModeler is a powerful Excel add-in that brings regression and volatility models of OxMetrics to Excel.

XlModeler is a powerful Excel add-in that brings regression and volatility models of OxMetrics to Excel.

XlModeler allows you to estimate regression and volatility models, perform model diagnostic analysis and run Autometrics using the capabilities of OxMetrics directly in the Excel environment.

XlModeler has been designed by the developers of OxMetrics, which ensures that it is as accurate, fast and easy to use as OxMetrics. The design of the menus, dialog boxes and buttons is clear and intuitive for both the regular OxMetrics user and the beginner. XlModeler helps you sharing with others the results of your econometric analysis and saves you time, as it is run from within a simple Excel workbook that everyone can open and read.

Xlmodeler requires Microsoft Excel 2016 or newer, Windows 10 or 7 (64 or 32 bit).

A free version is available to download here - xlmodeler.com

  • A registration code is needed for unrestricted use.
  • You can use an OxMetrics-8 registration code or purchase an XlModeler code.
  • Without such a code you can estimate only three models per hour.

XlModeler enables you to estimate regression and volatility models and store the estimation results in a simple Excel workbook.

The functionality of XlModeler is available through its ribbon menu:

The utility ModelTable serves to define the variables that can be used to build a model. The ModelTable can be saved with the workbook, so does not need to be redone everytime.

Once the ModelTable has been created, the Build Dialog Box can be used to specify your model:

The estimation results are printed on a new Sheet named XlModeler.out:

The Graphics tool is to visualise how well the model fits the data:

The Residual Graphics tool is to get the density and histogram of residuals and the correlogram.

Several other utilities allow you to perform tasks like: forecast analysis, recursive estimation, dynamic analysis, additional misspecification testing, exclusion, linear and general restriction testing. Residuals, fitted values and forecasts can be stored in the Excel workbook.

Automatic Model Selection with Autometrics
XlModeler includes Autometrics, the unique tool of OxMetrics created to perform Automatic Model Selection following the principle of general-to-specific modelling. Autometrics has proved to outperform even the most experienced econometrician in finding a good model for the data. Starting from an initial general model, Autometrics searches through different paths to find the models that are considered valid reductions of the general model and then selects the best of these. Autometrics can be enabled by ticking the option Automatic model selection in the Build Dialog Box.

Estimate volatility models with XlModeler

XlModeler brings many tools of the powerful G@RCH of OxMetrics to Excel, allowing you to estimate ARCH-type models to capture volatility clustering.

By clicking on Volatility Model in the Excel ribbon, you get the dialog to select the variable of interest:

Once the Next button is pressed, the Model Settings box automatically appears. This box is to select the specification of the model: AR(FI)MA orders and the distribution for the mean equation; GARCH orders and type of GARCH model for the variance equation.

The output of the estimation is given in the XlModeler.Out sheet in Excel:

The Graphics button is to create the conditional mean and standard deviation plots, the Residual Graphics button plots the squared residuals and the distribution of the standardized residuals. Click on the More button to access the Test menu where you can find several tests to evaluate the adequacy of the estimated model.

With XlModeler you can also specify and estimate many other ARCH-type models (i.e. GARCH, EGARCH, GJR Garch, APARCH, IGARCH, Risk Metrics, FIGARCH, Spline Garch, GAS). Just select the model in the Model Setting Box:

You can purchase a perpetual license of XlModeler for £35 (excluding VAT). A registration code is needed for unrestricted use. Without a code you can estimate only three models per hour.

Add to cart

XlModeler documentation consists of a manual that can be downloaded here http://www.xlmodeler.com/doc/xlmodeler.pdf.

This manual explains the functionality of XlModeler as well as the econometric methods and the modelling approach followed to implement the commands.

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