OxMetrics is an econometric software including the
Ox programming language for
econometrics
Econometrics is the application of Statistics, statistical methods to economic data in order to give Empirical evidence, empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," ''The New Palgrave: A Dictionary of ...
and
statistics
Statistics (from German language, German: ''wikt:Statistik#German, Statistik'', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of ...
, 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
, mottoeng = To understand the causes of things
, established =
, type = Public research university
, endowment = £240.8 million (2021)
, budget = £391.1 millio ...
.
OxMetrics builds on the
Ox programming language of Jurgen Doornik developed at
University of Oxford
, mottoeng = The Lord is my light
, established =
, endowment = £6.1 billion (including colleges) (2019)
, budget = £2.145 billion (2019–20)
, chancellor ...
. describes the history of econometric software packages.
OxMetrics is a family of software packages for the
econometric and
financial
Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of fina ...
analysis of
time series
In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Exa ...
,
forecasting, econometric
model selection and for the statistical analysis of
cross-sectional data and
panel data.
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
In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Exa ...
modelling, "SsfPack" for
State space methods and "G@RCH" for financial
volatility modelling. present many empirical examples in PcGive for OxMetrics in their
econometrics
Econometrics is the application of Statistics, statistical methods to economic data in order to give Empirical evidence, empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," ''The New Palgrave: A Dictionary of ...
textbook. give modern examples in their
time series analysis textbook.
See also
*
Econometric software
The following tables compare general and technical information for a number of statistical analysis packages.
General information
Operating system support
ANOVA
Support for various ANOVA methods
Regression
Support for various regression m ...
*
Comparison of statistical packages
The following tables compare general and technical information for a number of statistical analysis packages.
General information
Operating system support
ANOVA
Support for various ANOVA methods
Regression
Support for various Regression an ...
References
*
*
*
External links
OxMetrics HomepagePcGiveSTAMP softwareG@RCH softwareComparison of mathematical programs for data analysisScientificWeb
Support
{{Statistical software
Econometrics software
Statistical programming languages
Proprietary commercial software for Linux