An Introduction to OxMetrics 6
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Books Using OxMetricsAuthor: Jurgen A. Doornik Publisher: Timberlake Consultants Press ISBN-10: 978-0-9552127-3-4 ISBN-13: Copyright: 2009 Pages: 249 pages; Price: £25 Contact us to purchase |
OxMetrics is the name of a software system providing an integrated modular solution for the econometric analysis of time series, forecasting, financial econometric modelling and for the statistical analyses of cross-section and panel data. The modules of OxMetrics are the matrix-programming language Ox Professional, PcGive, STAMP and G@RCH. Autometrics for automatic model selection is part of PcGive.
This book documents the data handling capabilities and graphical facilities that are provided by OxMetrics. The user-friendly OxMetrics front-end is shared between all OxMetrics modules, thus considerably reducing the learning curve when using the full range of econometric and statistical functionality of the OxMetrics system.
The OxMetrics front-end provides facilities to manage and transform the databases that are used in the statistical and econometric analysis. Output from OxMetrics modules can be displayed in the form of graphics and reports. Graphs can be edited in preparation for publication. Multiple plots within a graph are possible, with automatic adjustments for smaller sizes.
OxMetrics databases can have a fixed frequency, or “dated”, which allows for daily or times data. Aggregation facilities are provided, e.g. to convert daily data into monthly.
OxMetrics is multilingual, in that names of database variables and text in reports and graphics can be from a wide range of languages, including Chinese and Japanese.
Table of Contents
Part I: Getting Started with OxMetrics
1. Introduction
1.1 Supported Platforms
1.2 What is new?
1.3 What was new in OxMetrics 5
1.3.1 What was new in OxMetrics 4
1.4 Availability
1.5 Citation
1.6 Help
1.7 Installation on Windows
1.8 Installation on OS X
1.9 Installation on Linux
1.10 Modular structure
1.11 Registration
1.12 Updates
1.13 Algebra
1.14 Batch
1.15 Data storage
1.16 Filenames and their extensions
1.17 Output storage
1.18 Sample periods
1.19 Status bar
1.20 Tool bars
1.21 Documentation conventions
2. Installation
2.1 Windows Vista, Windows XP, Windows 2000
2.2 Windows Vista 64-bit, Windows XP 64
2.3 OS X 10.5, 10.4
2.4 Linux 32-bit
2.5 Linux 64-bit
3. Getting Started: Windows
3.1 Starting OxMetrics
3.2 Registering OxMetrics
3.3 Loading and viewing the tutorial data set
3.4 OxMetrics graphics
3.4.1 A first graph
3.4.2 Multiple graphs
3.4.3 Graph saving and printing
3.4.4 Using the clipboard for graph pasting
3.5 Calculator
3.6 Algerba
3.7 The workspace
4. Getting Started: OS X
4.1 Starting OxMetrics
4.2 Registering OxMetrics
4.3 Loading and viewing the tutorial data set
4.4 OxMetrics graphics
4.4.1 A first graph
4.4.2 Multiple graphs
4.4.3 Graph saving and printing
4.4.4 Using the clipboard for graph pasting
4.5 Calculator
4.6 Algebra
4.7 The workspace
5. Getting Started: Linux
5.1 Starting OxMetrics
5.2 Registering OxMetrics
5.3 Loading and viewing the tutorial data set
5.4 OxMetrics graphics
5.4.1 A first graph
5.4.2 Multiple graphs
5.4.3 Graph saving and printing
5.4.4 Using the clipboard for graph pasting
5.5 Calculator
5.6 Algebra
5.7 The workspace
6. OxMetrics Modules
6.1 OxMetrics Modules
6.2 Financial data
6.3 Weekly and daily data
6.4 PcGive
6.4.1 Formulate a model
6.5 TSP
6.5.1 TSP in interactive mode
6.5.2 TSP Help
6.5.3 TSP in batch mode
6.5.4 Explorer options
Part II: OxMetrics Tutorials
7. Tutorial on Graphics
7.1 Descriptive graphics
7.2 Actual series with optimal transformations
7.3 Multiple series with optional transformations
7.4 Scatter plots
7.5 Distribution
7.5.1 Density estimation: Histogram and density
7.5.2 Distribution
7.5.3 Frequencies
7.5.4 Box Plot
7.6 Time-series: AFC etc
7.6.1 Autocorrelation function or correlogram
7.6.2 Partial autocorrelation function
7.6.3 Cross-correlation function
7.6.4 Spectrum and periodogram
7.7 QQ plots
7.8 Two series by third
7.9 3-dimensional plots
7.9.1 Surface from scatter
7.9.2 Surface from table
7.10 Conclusions
8. Tutorial on Graph Editing
8.1 Multiple graphs
8.2 Graphics paper: areas and coordinates
8.3 Graphics view
8.4 New Data Plot Window
8.5 Copy and paste
8.6 About line colour and style
8.7 Editing graphs: Graphics properties
8.8 Graphics setup
8.9 Adding and removing from a graph
8.10 Drawing
8.11 Adding text and variables
8.12 Legends
8.13 Scaling variables
9. Tutorial on Data Input and Output
9.1 Open Data File and files types
9.2 From paper to OxMetrics
9.2.1 Directly into the database
9.2.2 Using the clipboard; using OxMetrics as editor
9.3 From OxMetrics to disk
9.4 From disk to OxMetrics
9.4.1 Loading OxMetrics files
9.4.2 Loading spreadsheet files
9.4.3 Loadinf a human-readable (text) file
9.5 Adding variables using the clipboard
9.6 Changing the sample period
9.6.1 Extending the sample period
9.6.2 Reset starting date
9.7 Appending data
9.8 Working with daily and weekly data
9.8.1 Using Change Sample to create a daily database
9.8.2 Using Algebra to create a daily database
10. Tutorial on Data Transformation
10.1 Calculator
10.2 Advanced algebra
10.2.1 Introducion
10.2.2 Database for advanced algebra
10.2.3 Statistical distribution
10.2.4 Random number generators
10.2.5 Generating data
10.2.6 Smoothing data
Part II: OxMetrics Reference
11. OxMetrics Statistics
11.1 Actual series and scatter plots
11.2 Mean, standard deviation and variance
11.3 Autocorrelation function (ACF) or covariogram
11.4 Partial authocorrelation function(PACF)
11.5 Correlogram
11.6 Cross-correlation function
11.7 Periodogram
11.8 Spectral density
11.9 Histogram,estimated density and distribution
11.10 Regression lines and smooths
11.10.1 Kernel smooth
11.10.2 Spline smooth
11.11 QQ plot
1112 Box plot
11.13 Exponentially-weighted moving average (EWMA)
11.14 Exponentially- weighted moving correlation
12. OxMetrics file formats
12.1 OxMetrics data files (.in7/ .bn7)
12.1.1 The .in7 file format
12.1.2 The .bn7 file format
12.1.3 The information and ASCII data files (.in7/.dat)
12.2 Spreadsheet files (.xls, .wks, .cvs)
12.3 Data by observation (.dat)
12.4 Data with load info (.dat)
12.5 Gauss data file (.dht/ .dat)
12.6 Stata data file (.dta)
12.7 Results file (.out)
12.8 Batch file (.fl)
12.9 Algebra file (.alg)
12.10 Ox file (.ox)
12.11 TSP file (.tsp)
12.12 Matrix file (.mat)
12.13 OxMetrics graphics file (.gwg)
12.14 PostScript file(.eps)
12.15 PostScript file(.ps)
12.16 Enchanced meta file (.emf)
12.17 Windows meta file (.wmf)
13. Algebra Language
13.1 Introduction
13.2 Executing Algebra code
13.2.1 Calculator (Alt+c)
13.2.2 Algebra Editor (Alt+a)
13.2.3 Algebra from Results windows(Crtl+a)
13.2.4 Algebra from a batch file
13.3 Syntax of Algebra language
13.3.1 Variable and variable names
13.3.2 Comment
13.3.3 Constants
13.3.4 Algebra operators
13.3.4.1 Arithmetic operators
13.3.4.2 Relational andlogical operators
13.3.4.3 Algebra operator precedence
13.3.5 Assignment statements
13.3.6 Conditional assignment statements
13.3.7 Indexing
13.3.8 Keywords
13.4 Algebra Functions
13.4.1 Differencing and lag functions
13.4.2 ACF and periodogram functions
13.4.3 Sorting functions
13.4.4 Smoothing functions
13.4.4.1 Hodrick-Prescott filter
13.4.4.2 Kernel and spline smoothing
13.4.4.3 Exponentially-weighed moving average and corelation
13.4.4.4 Date and time functions
13.5 Algebra function sumarry
14. Batch Languages
14.1 Introduction
14.2 Excecuting Batch commnads
14.2.1 Batch Editor (Alt+b)
14.2.2 Batch from Results windows (Ctrl+b)
14.2.3 Batch from the File/Open command
14.2.4 Batch from the Windows Explorer
14.2.5 Batch from a Batch file
14.3 Batch files and default folders
14.4 Batch commands summary
14.4.1 Comment
14.4.2 Command types
14.4.3 Default arguments
14.5 Batch commands
14.5.1 algebra {...}
14.5.2 appenddata ("filename", "group"="")
14.5.3 appresults ("filename")
14.5.4 break
14.5.5 chdir ("path")
14.5.6 closedata ("databasename")
14.5.7 command ("command_line")
14.5.8 database ("name", year1, period1, year2, period2, freq)
14.5.9 draw (area, "y", "mode"="")
14.5.10 drawf (area, "y", "function", d1=0, d2=0)
14.5.11 drawx (area, "y","x" "mode"="")
14.5.12 drawz (area, "y","x" "mode"="")
14.5.13 exit
14.5.14 loadalgebra ("filename")
14.5.15 loadbatch ("filename")
14.5.16 loadcommand ("filename")
14.5.17 loaddata ("filename")
14.5.18 loadgraph("filename")
14.5.19 module ("name")
14.5.20 package ("packagename", "modeltype"="")
14.5.21 print ("text)
14.5.22 println ("text")
14.5.23 savedata ("filename")
14.5.24 savedrawwindow ("filename", "windows"="")
14.5.25 saveresults ("name")
14.5.26 setdraw ("option", i1=0, i2=0, i3=0, i4=0, i5=0)
14.5.27 setdrawwindow ("name")
14.5.28 show
14.5.29 usedata ("databasename", i1=0)
14.6 Examples
15. OxMetrics graphics
15.1 Graphic paper
15.2 Creating graphs
15.2.1 Actual series with optional transformations
15.2.2 Multiple series with optional transformations
15.2.3 Scatter plots
15.2.4 Distribution
15.2.5 Time-series: ACF etc
15.2.6 QQ plots
15.2.7 Two series by a third
15.2.8 3-dimensional plots
15.3 Printing graphs
15.4 Graphics formats
15.5 Saving and loading graphs
15.6 Editing Graphs
15.6.1 Graph layout
15.6.2 Area layour
15.6.3 Variable against time, scatter or 3D
15.6.3.1 Error bars
15.6.3.2 Regression, Scale
15.6.4 Axes
15.6.4.1 Settings for non-default labelling
15.6.4.2 Location and transformation
15.6.4.3 Style
15.6.4.4 Label Style
15.6.5 Legend Style
15.6.6 Histogram
15.6.7 Copy properties to other areas
15.6.8 Text
15.6.9 Lines and symbols
15.6.10 Adding, moving and deleting objects
15.6.11 Pointing
15.6.12 Graphics setup
15.7 Copy and paste
15.8 Graphs and sample selection
15.9 Text formatting
16. OxMetrics data management
16.1 Creating data
16.2 Database font
16.3 Databae description
16.4 Printing data
16.5 Data formats
16.6 Summary Statistics
16.7 Saving data
16.8 Navigation and editing
16.9 Renaming variables
16.10 Deleting variables
16.11 Reordering variables
16.12 Adding variables
16.13 Extending or reducing the sample period
16.13.1 Changing the sample period
16.14 Copy and paste
16.15 Appending data
16.16 Daily, weekly and timed data
References
Index