OxMetrics - Ox Professional

Contents

What is OxProfessional™ (by Jurgen A. Doornik)?

Ox is an object-oriented matrix 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. Use of the object oriented features is optional, but facilitates code re-use. The syntax of Ox is similar to the C, C++ and Java languages. This similarity is most clear in syntax items such as loops, functions, arrays and classes.

Ox Professional is used by econometricians, financial analysts, statisticians, mathematicians , engineers and scientists.

Ox Professional uses GiveWin for data input and graphical and text output. PcNaive requires Ox to function.

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Key Features

The description of Ox Professional features are described in the Ox site [U.K.].
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GAUSS users may find OXGAUSS facility of interest - If you are using Ox, OXGAUSS runs GAUSS 3.2 programs.

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Ox Packages

The Ox packages extend the functionality of Ox in various ways. Once installed, they become an integrated part of Ox. Some packages just add a few useful functions, whereas others offer their functionality in an extensive class. A package is also a convenient way for communicating research.

The following packages are currently available for downloading, with up-to-date links and additional packages provided here:

  • Arfima package - The Arfima package (by Jurgen Doornik and Marius Ooms) has a class for estimation and forecasting of ARFIMA(p,d,q) and ARMA(p,q) models. The available estimation methods are maximum likelihood and nonlinear least squares. The Arfima class derives from the database class to give easy loading of data sets and sample selection. An additional simulation class allows Monte Carlo experimentation of the facilities in the estimation class. The Arfima package can also be used as an OxPack package.
  • Bootstrap and Simulation Classes - These classes by James Davidson provides the basis for Ox programs for computing and simulating parametric bootstrap tests. The double and fast double bootstraps are implemented. The zip file contains source code, PDF documentation and example programs.
  • DPD package - DPD is a package for estimation of dynamic panel data models, developed by Manuel Arellano, Steve Bond and Jurgen Doornik. Some static panel estimators are also available. The DPD package can also be used as an OxPack package.
  • EmmPack - EmmPack (by Pieter-Jelle van der Sluis) extends Ox with C/C++ code (compiled into a DLL) for estimation of univariate stochastic volatility models with the efficient method of moments.
  • Financial Numerical Recipes - Financial Numerical Recipes is an Ox port of the code written by Bernt Arne Ødegaard for advanced financial calculations. It contains the basic and some advanced algorithms for option pricing, and some algorithms dealing with term structure modeling and pricing of fixed income securities.
  • G@RCH - G@RCH (by Sébastien Laurent and Jean-Philippe Peters) is an Ox package dedicated to the estimation of ARCH model and many of its extensions (GARCH, IGARCH, FIGARCH, EGARCH, FIEGARCH, APARCH, FIAPARCH and GJR). It can be used via OxPack (with a dialog-oriented interface) or via the traditional way (OxEdit). It allows the use of three distributions (Normal, Student-t and GED), an AR(FI)MA specification in the mean equation and the inclusion of explanatory variables in the mean and variance equations.
  • GnuDraw - GnuDraw is an Ox package meant for creating GnuPlot graphics from Ox, created by Charles Bos. The call syntax mimicks that of the Ox graphics functions. On Linux, Sun (Solaris) and Windows platforms, GnuPlot can be called automatically from within Ox. The resulting GnuPlot-files are in plain ASCII, and can be adapted to fit final needs. Output of the GnuPlot files can be of many different types. Included is support for EPS (bw and color), GIF and TeX.
  • Lapack - Lapack is a package for solving linear equations, linear least squares problems, eigenvalue problems, and singular value problems. This is a port to Ox of the main driver files for real and symmetric matrices from lapack, which is in netlib.
  • Loess Package - Loess is a package for smoothing of multivariate scattered data (LOESS); decompose time series into trend + seasonal + remainder (STL). This is a port to Ox of the port to Ox of the loess and stl code in netlib.
  • Long Memory Modelling - An Ox package by James Davidson for computing ARFIMA time series models with GARCH disturbances, including FIGARCH and HYGARCH (long memory) variants. The zip file includes source code and PDF documentation. Also an Excel spreadsheet for generating ARIMA/GARCH data series.
  • Markov switching models - The MSVAR class (by Hans-Martin Krolzig) is designed for the econometric modelling of univariate and multiple time series subject to shifts in regime. It provides the statistical tools for the maximum likelihood estimation (EM algorithm) and model evaluation of Markov-Switching vector autoregressions as discussed in Krolzig (1997), Markov Switching Vector Autoregressions. Modelling, Statistical Inference and Application to Business Cycle Analysis. (Berlin: Springer Verlag). The MSVAR class derives from the Database class to allow the easy use and exchange with other classes such as PcFiml. A variety of model specifications regarding the number of regimes, regime-dependence versus invariance of parameters etc. provides the necessary flexibility for empirical research and will be of use to econometricians intending to construct and use models of dynamic, non-linear, non-stationary or cointegrated systems. The MSVAR package can also be used as an OxPack package.
  • PcNaive - PcNaive is an Ox Professional package for designing Monte Carlo experiments of dynamic econometric models by David Hendry and Jurgen Doornik. There is a set of interactive dialogs in which the data generation process (DGP) and model are formulated, and the statistics of interest are selected. PcNaive then generates and runs an Ox program. The output appears in GiveWin and can include:
    • theoretical analysis of the DGP,
    • live graphical output as the experiment progresses,
    • numerical output of final results.
      PcNaive comes with a 200 page book, containing extensive tutorials introducing Monte Carlo analysis, and showing how the program can be used. A separate part discusses how PcNaive can be used in teaching econometrics, starting from the elementary through intermediate and finally advanced econometrics.
  • Quantile regression - The Ox code accompanying Stephen Portnoys and Roger Koenkers paper The Gaussian Hare and the Laplacian Tortoise: Computability of squared error vs absolute error estimators is available. This can be used to compute quantile regression estimates.
  • SSFPack - SSFPack is a package for analysing univariate Gaussian and non-Gaussian time series which can be placed in the state space form (SSF). SSFpack provides general filtering, smoothing and simulation smoothing routines. These can be tailored towards particular applications by the user.
    See: S.J. Koopman, N. Shephard and J.A. Doornik (1999), `Statistical algorithms for models in state space form using SsfPack 2.2' (with discussion), Econometrics Journal, Vol 2, 107-160.
  • STR2 - An OxPack package by Ivar Pettersen for solving smooth transition regressions. The STR2 class can also be used as an OxPack package.
  • SVPack - SVPack implements the computations required for the Sangjoon Kim, Neil Shephard, Siddhartha Chib SV paper entitled `Stochastic volatility: likelihood inference and comparison with ARCH models', Review of Economic Studies, 1998. SVPack contains the dynamic link libraries and documentation. Some of the functions use SsfPack 2.0 and ARMS (included in SVPack).

There are also several packages and utilities which are part of the basic release:

ARMA functions

The Arma package contains a few functions which are useful in ARMA models.

Numerical optimization and differentiation.

The Maximization package can be used to maximize functions of many parameters such as likelihood functions. Examples for binary probit models are in ox/samples/maximize. A quadratic programming solver is available (SolveQP).

Probability functions.

The Probability package adds density, quantile, cumulative density and random number generation of various probability functions.

Econometrics. The PcFiml class

This class of functions contain code for VARs, cointegration, simultaneous equations estimation, (multivariate) diagnostic tests. Some examples are in ox/samples/pcfiml.

Monte Carlo experiments.

The Simulation class allows for easy implementation of simulation experiments. Some examples are in ox/samples/simula.

QuadPack.

QuadPack is a Fortran library for univariate numerical integration (`quadrature') using adaptive rules. QuadPack is included with the standard Windows release of Ox (the Ox header file and DLL are in the basic release).

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Training and Consultancy

To support our PcGive users we offer the following services

Contact our Professional Services department to discuss your requirements

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Technical Information

Current version - 3.1

Operating System - Windows NT/2000, 95/98/ME

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This PcNaive Web is Copyright of Timberlake Consultants Limited and Jurgen A. Doornik
Last revised: 12/14/2003