OxMetrics - AbsoluteAstronomy.com

OxMetrics is an econometric software including the Ox programming language

Ox programming language

Ox is an object-oriented matrix programming language with a mathematical and statistical function library, developed by Jurgen Doornik. It has been designedfor econometric programming. It is available for Windows, Mac OS X and Linux platforms....

for econometrics

Econometrics

Econometrics has been defined as "the application of mathematics and statistical methods to economic data" and described as the branch of economics "that aims to give empirical content to economic relations." More precisely, it is "the quantitative analysis of actual economic phenomena based on...

and statistics

Statistics

Statistics is the study of the collection, organization, analysis, and interpretation of data. It deals with all aspects of this, including the planning of data collection in terms of the design of surveys and experiments....

, 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

London School of Economics

The London School of Economics and Political Science is a public research university specialised in the social sciences located in London, United Kingdom, and a constituent college of the federal University of London...

.

OxMetrics builds on the Ox programming language

Ox programming language

of Jurgen Doornik developed at University of Oxford

University of Oxford

The University of Oxford is a university located in Oxford, United Kingdom. It is the second-oldest surviving university in the world and the oldest in the English-speaking world. Although its exact date of foundation is unclear, there is evidence of teaching as far back as 1096...

.
Renfro(2004) describes the history of econometric software packages.

OxMetrics is now a family of software packages for the econometric analysis of time series

Time series

In statistics, signal processing, econometrics and mathematical finance, a time series is a sequence of data points, measured typically at successive times spaced at uniform time intervals. Examples of time series are the daily closing value of the Dow Jones index or the annual flow volume of the...

, forecasting

Forecasting

Forecasting is the process of making statements about events whose actual outcomes have not yet been observed. A commonplace example might be estimation for some variable of interest at some specified future date. Prediction is a similar, but more general term...

, econometric model selection

Model selection

Model selection is the task of selecting a statistical model from a set of candidate models, given data. In the simplest cases, a pre-existing set of data is considered...

and for the statistical analysis of cross-section data and panel data

Panel data

In statistics and econometrics, the term panel data refers to multi-dimensional data. Panel data contains observations on multiple phenomena observed over multiple time periods for the same firms or individuals....

.

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

Time series

modelling and G@RCH for financial volatility

Volatility (finance)

In finance, volatility is a measure for variation of price of a financial instrument over time. Historic volatility is derived from time series of past market prices...

modelling.
Hendry and Nielsen (2007)
present many empirical examples in PcGive for OxMetrics in their econometrics

Econometrics

textbook.

External links

See also