友環公司_拉近專業軟體的距離

OxMetrics提供一個綜合的解決辦法軟體，可以用在時間序列，預報，金融計量經濟學的類比試驗的經濟計量分析，或者典型人物的統計分析和小組數據。提供了用戶界面，數據處理，和圖形，是能幫助解決的交互式，易於使用和強有力的工具。

OxMetrics Enterprise共含有4種獨立模組軟體: Ox Professional, PcGive, G@RCH, and STAMP.可另添購PcGets和TSP/GiveWin軟體。

(version 5) 屬於對象導向的矩陣式程序語言，它內建的數據庫提供各種數學與統計函數的功能。

Ox Professional is 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 (e.g. PcGive, STAMP, G@RCH) are implemented with the Ox language. Ox Professional belongs to the OxMetrics Enterprise Edition.

PcGive Professional is 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 (GARCH, EGARCH and many variations of these models), static and dynamic panel data models, discrete choice models and time-series models such as ARFIMA(p,d,q), and X-12-ARIMA for seasonal adjustment and ARIMA modelling. PcGive is easy to use and flexible, making it suitable both for teaching and research. Very importantly, PcGive 12 now includes automatic model selection (Autometrics). It also includes extensive facilities for model simulation (PcNaive)

STAMP is a module designed to model and forecast time series, based on structural time series models. These models use advanced techniques, such as Kalman filtering, but are set up so as to be easy to use -- at the most basic level all that is required is some appreciation of the concepts of trend, seasonal and irregular. 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 includes both univariate and multivariate models and automatic outlier detection. STAMP is also part of OxMetrics Enterprise Edition. Structural time series modelling can be applied to a variety of problems in time series. Macro-economic time series like gross national production, inflation and consumption can be handled effectively, but also financial time series, like interest rates and stock market volatility, can be modelled using STAMP. Further, STAMP is used for modelling and forecasting time series in medicine, biology, engineering, marketing and in many other areas.

G@RCH, is a module dedicated to the estimation and forecasting of univariate ARCH-type models. G@RCH provides a user-friendly interface (with rolling menus) as well as some graphical features (through the OxMetrics graphical interface). For repeated tasks, the models can be estimated via the OxMetrics `Batch Editor' or the Ox programming language (several example files are provided using the G@RCH class). G@RCH is also part of OxMetrics Enterprise Edition.

G@RCH covers the following techniques and tests:

Conditional Mean: ARMA, ARFIMA, ARCH-in-Mean, Explanatory Variables;
Conditional Variance: GARCH, EGARCH, GJR, APARCH, IGARCH, RiskMetrics, FIGARCH, FIEGARCH, FIAPARCH, HYGARCH; Explanatory Variables;
(Quasi-)Maximum Likelihood: Normal, Student, GED or skewed-Student distribution;
Constraint Maximum Likelihood, Simulated Annealing;
(Mis)Specifications Tests: Information Criteria, Jarque-Bera, Box-Pierce statistics, LM ARCH test, Sign Bias Test, Pearson goodness-of-fit, The Nyblom stability test, Residual-Based Diagnostic for for Conditional Heteroscedasticity, etc;
Value-at-Risk, Expected shortfall, Backtesting (Kupiec LRT, Dynamic Quantile test);
Forecasting, Realized volatility.

PcGets

(1 版本) 是一個自動的經濟計量模式選擇程式。
This package is designed for modelling economic data when the precise formulation of the equation under analysis is not known a priori. The current version is for models that are linear in variables. PcGets is a revolutionary new approach to model building, based on recent advances in the understanding of model selection procedures. Experiments show that PcGets ‘outperforms’ even the most experienced econometrician. With PcGets all the drudgery has gone – you choose the variables, then PcGets selects sensible and statistically-valid model(s), allowing you to concentrate on the variable choice and interpretation of the model(s).

PcGets combines the user friendliness, powerful graphics and flexible data management of OxMetrics with the latest methods for single-equation econometric model building provided by PcGive.
The accompanying book explains the underlying econometrics of this automatic approach to model selection as well as the program usage.

TSP/GiveWin
(version 5), by TSP International (founded in 1982 by Bronwyn H. Hall) 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. The philosophy behind TSP is that of a command-driven language tailored to econometric problems, whatever the platform used. For those working in a Windows environment, TSP can be installed as a module of GiveWin - TSP/GiveWin. This eases the use of the command-line environment by providing context sensitive help, syntax highlighting, and a dialog-driven command builder.

TSP offers a wide variety of facilities, such as:
single-equation estimation (using a variety of techniques), non-linear 3SLS, GMM and FIML, time series methods (Box-Jenkins, Kalman-filter estimation, vector autoregressive models, etc.), financial econometrics (ARCH, GARCH, GARCH-M, including logarithmic versions), general maximum likelihood, qualitative dependent variable estimation, and panel data estimation. Extensive libraries of TSP procedures are available free of charge.

A TSP companion book for the well-known econometrics text by Pindyck and Rubinfeld (McGraw-Hill & Co.), written by B. Hall and S. Schmukler is also available.