OxMetrics

Developer: OxMetrics Technologies

Latest Release: OxMetrics 7 (May 2013)

Operating System: Windows, Mac OS, Linux

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 Agreement

The core packages of the family are OxMetrics which provides the user interface, data handling and graphics, and Ox Professional, which provides the implementation language. The other elements of the family are interactive, easy-to-use and powerful tools that can help solve your specific modelling and forecasting needs.

OxMetrics 7, published and distributed by Timberlake Consultants is now shipping.

OxMetrics has just released its latest version, version 7.1 which includes several important fixes and improvements. For a summary of these improvement see below:

Windows:
  • Fixed: HP filter (Algebra function smooth_hp), omitted last observation in sample (unless there was a missing value at the end).
OS X:
  • removed Deleted stale lock msg
  • Fixed installation scripts weren't running (missed an incompatible change in PackageMaker)
  • Fixed AppNap is causing trouble with OxModel, because it is hidden while waiting for an activation command from OxMetrics. This will take a long time (8-10 seconds) when napping.
Linux:
  • Fixed incompatibility in newer libpng caused OxMetrics to crash at startup on newer distros (causing a segmentation fault in longjmp_chk upon opening the program on a system using libpng16).
Improvements OxEdit and OxMetrics Saving:
  • if upper ascii or unicode characters are present in the document: save as UTF-8 with BOM (previously only if unicode characters > 0xFF=255 were found).
    Problem with println("S\xF8ren"); and println("Søren");
    • On the Windows console: depends on the active code page (chcp).
    • in OxEdit: skips quite a bit of output after that.
    Notes:
    • When making the file UTF-8 (by adding some unicode in comment), the output appears properly in OxEdit/OxMetrics (but not on the Windows console, because that cannot handle UTF-8).
    • Can make the Windows console UTF-8 by using chcp 65001 and the Lucinda Console font, then correct in both. So best solution is for OxEdit/OxMetrics to treat all files with upper ASCII as UTF-8, not just files with characters > 0xFF.
    • OxEdit/OxMetrics needs to distinguish:
      1. ASCII (<=0x7F)
      2. ANSI (<=0xFF)
      3. UTF-8 with BOM, default to ASCII if no chars >0x7F found
      4. UTF-8 without BOM, need to autodetect upon load
      5. others only with BOM
    OxMetrics 7.1 also brings new improvements and fixed existing problems to its programming language Ox.

    NEW FEATURES:
    • OS X
      • command line version of Ox Professional now is 64-bit and multi-threaded, so supporting parallel loops. Note that the Ox version called from OxMetrics and OxRun is still 32-bit, because the GUI is still 32-bit.
      • OxMetrics now disables AppNapp for OxModel, OxPack and OxRun at start-up.
    • Handling of computations involving empty matrices improved to be more intuitive. (Note: some of these changes may impact existing code.)
      • x*y' returns <> if y is empty (to conform to x*z when z is empty), previously it gave a run-time error;
      • x+y and x-y return y when x is empty or x when y is empty
      • outer(<>,y) returns <> (rather than give a run-time error)
      • determinant(<>) returns 0
      • logdet(<>) returns -.Inf with signdet 0
      • logdet(singular matrix) returns -.Inf with signdet 0 (was 1 with signdet 0)
      • shape(x, y, r, c) and reshape(x, y, r, c) return an r x c matrix of zeros when x or y is empty or r,c is zero.
      • nullspace(<>) returns <>, nullspace(full rank m x m) returns zeros(m,0), nullspace(zeros(m,0)) returns an identity matrix.
    • Linux:
      • Removed linux GLIBC dependencies on version 2.14 and 2.17 (Debian Wheezy is still on 2.13 while RHEL 6 is on 2.12).
      • Removed dependency on GLIBCXX_3.4.14.
      • OxMetrics was using the user locale, instead of the C locale. For many languages, this meant using the , as decimal separator instead of the . This in turn messed up display and saving of floating point numbers. Now using the C locale, as the console versions already did.
      • Producing some debian packages for installation now as well.
      • `Warning: assignment in test expression' now not given if assignment is in parenthesis: if (a = b) gives warning if ((a = b)) and if ((a = c) >= 0) do not give warnings anymore.
      • MaxSQP/MaxSQPF: hi,lo parameters can be scalar: in that case same value is used for all parameters.
      • Improved decisions when to do A*B and A'B in parallel.
      • rank() could create run-time error when matrix has missing values. Now a warning, returning rank 0.
      • New responsive html help (using iframes instead of frames).
      Fixed Existing Problems:
      • OSX OxEdit Add/Remove Modules/Load From: crash.
      • foreach loops on arrays were accessing the items by reference rather than value. This could lead to errors when the array item is changed in the loop, such as:

        			decl amres_hs = {1,unit(2),unit(3)}, h, i, j;
        			foreach (h in amres_hs[i])
        			{
        				amres_hs[i] = h + i * 10;
        				h += 1;
        				println(">>h?", h);
        			}
        			println(amres_hs);
        

        This is now safe.
      • foreach was not allowed on variables that were const or serial. The following resulted in compilation error: 'amH' cannot take reference of constant:

        			decl jac_alphabeta = [=](const amH)
        			{
        				decl mj = <>, h, i;
        				foreach (h in amH[i])
        				{
        				}
        			};
        
      • MaxSQP/MaxSQPF if error in argument, would just print function name rather than the full run-time error message before stopping
      • j = sscan("AA:5", "%*t", ":", "%d", &i); should have j=1 (not j=2) %* means skip the assignment, and such fields should not be counted. They were, however, for %t,%v,%C.
      • If a data member of an object holds a function reference, this would be called with the wrong number of arguments, leading to a runtime error.
      • find when searching for a string inside an array: defaulted to reverse search and ignored mode argument. When searching for a string inside a string it was always using reverse search, regardless of the mode.
      • Base class in class declaration did not handle namespace correctly. Now in class A : B { ... } B defaults to the namespace in which it resides (or ::B for the global namespace, or N::B for namespace N if in the global namespace).
      • clone was not preserving the pubic flag when copying an array (making it by value). If a member was an object, clone would lose its public or static property after copying the object.
      • Database::FindSelection should not give an error message when a variable is not found
      • Problem with println("S\xF8ren"); and println("Søren");
        • On the Windows console: depends on the active code page (chcp).
        • in OxEdit: skips quite a bit of output after that.
      Can make the Windows console UTF-8 by using chcp 65001 and the Lucinda Console font, then correct in both. So best solution is for OxEdit/OxMetrics to treat all files with upper ASCII as UTF-8, not just files with characters > 0xFF.
      • A do {...} while loop as the very first executable code in a function can go wrong because an invalid optimization makes the returning jump statement out by one position in the code. Example:

        			#include 
        			test(a, c)
        			{
        				decl b;//;=0;
        				do {  b = a;  ++c; 	} while (c < 0);
        				println(b);
        			}
        			main()
        			{
        				test(10, -2);
        			}	
        prints 1 instead of 10.
        If the first statement is decl b = 0;, then there is executable code before the do statement, and the issue does not arise.
        • An indexation error in a function call argument would be reported at the wrong location.
        • OS X OxEdit packaging error: has RunOnce with both files.
        • If the number of arguments of a function declaration does not match a previous declaration, it could crash Ox, rather than give a compilation error.
        • replace("%", "", "_"); gets stuck in infinite loop
        • static member variables could lead to a crash when an object was used in a parallel loop (solved by creating a new global lock).
        • Refactoring of gamma function code, small change in DGammaRatio_22.
        • Autometrics: Backward elimination did not consider the empty model.

        Newsletters

        Download here the OxMetrics Newsletters

        March 2010
        March 2009
        March 2008
        March 2007

The new release of OxMetrics 7 contains upgraded versions of Ox ProfessionalPcGive andG@RCH. Additionally, STAMP will also be upgraded early 2015. See the following for all the new OxMetrics features:

Use the following links below to find out more information about the latest release of each module:

OxMetrics Enterprise Edition Version 7.0

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.

Ox Professional Version 7.0

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.

PcGive Professional Version 14.0

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.

> Find out more about PcGive

PcGive Professional includes Autometrics

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 Version 7.0

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 7.0 is a major update that features many improvements. G@RCH is also part of OxMetrics Enterprise Edition.

STAMP Version 8.3

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 8.3 includes both univariate and multivariate models and automatic outlier detection. STAMP is also part of OxMetrics Enterprise Edition.

SsfPack Version 3.0

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 7 and SSfPack users please note: SSfPack 3.0 has been recompiled to be compatible with OxMetrics 7 and requires users to reinstall a new version of the software.

TSP/OxMetrics Version 5.1

Developed by TSP International, TSP/OxMetrics is an econometric software package, with convenient input of commands and data, all the standard estimation methods (including non-linear), forecasting, and a flexible language for programming your own estimators. TSP can be installed as a module of OxMetrics - TSP/OxMetrics. This eases the use of the command-line environment by providing context sensitive help, syntax highlighting, and a dialog-driven command builder.

Individual or any combination of OxMetrics modules are available for purchase.

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:

  • Microsoft Windows:
    • Windows 8, 7, Vista, XP, 2000 (32-bit)
    • Windows 8, 7, Vista (64-bit)
  • Mac OS:
    • OS X 10.4 (Tiger)
    • OS X 10.5 (Leopard)
    • OS X 10.6 (Snow Leopard)
    • OS X 10.7 (Lion)
    • OS X 10.8 (Mountain Lion)
  • Linux:
    • 32-bit
    • 64-bit

To coincide with the new release of OxMetrics 7, we are pleased to announce a series of webcasts delivered by OxMetrics developers: Dr. Jurgen A. Doornik, Prof. Siem Jan Koopman, Prof. Sebastién Laurent and Prof. Sir David F. Hendry. These series of videos provide an introduction to the new software modules and highlight some of the key new features. To view these videos, visit our Timberlake YouTube Channel.

Please click here to be redirected to the international website

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.

Prices

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).