Ox Professional

At its core is a powerful matrix language, which is complemented by a comprehensive statistical library. Among the special features of Ox are its speed (several reviewers rated it much faster than other comparable systems), well-designed syntax and editor, and graphical facilities. Ox can read and write many data formats, including spreadsheets and OxMetrics data and graphics files; Ox can run most econometric Gauss programs directly if M@ximize is added; if necessary, existing C or FORTRAN code can be added to Ox in the form of dynamic link libraries (DLLs); there is sufficient flexibility in the Ox system to allow it to be fully integrated in applications requiring an econometric or statistical engine; Ox is available on Windows, Linux, and several Unix platforms.

There are many functions integral to Ox: ARMA, numerical optimisation and differentiation, probability (density, quantile, cumulative density and random generation of various probability functions), econometrics (e.g. VAR and cointegration), and Monte Carlo simulation. Additional packages are available and are described later in this brochure. Ox Professional 4.0 is available with an effective introductory booklet and a 400 page reference manual. The ox help files are also available online for viewing.

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 summary describes some of the currently available freely downloadable Ox packages:

  • ARFIMA - Estimation and forecasting of ARFIMA(p,d,q) and ARMA(p,q) models.
  • Bootstrap and Simulation - Parametric bootstrap test package by James Davidson.
  • DCM 1.1 - Discrete Choice Modeling package by Melvyn Weeks and Mathias Eklöf
  • DPD - Estimation of static and dynamic panel-data models.
  • EmmPack - Estimation of univariate stochastic volatility models with the efficient method of moments.
  • Financial Numerical Recipes - Advanced financial calculations.
  • Lapack - Solving linear equations, linear least squares problems, eigenvalue problems, and singular value problems.
  • Loess - Smoothing of multivariate scattered data (LOESS), and decomposition of time series into trend + seasonal + remainder (STL).
  • M@ximize 1 - Run Econometric Gauss programs with (constrained) nonlinear optimization using Ox. By Sébastien Laurent and Jean-Pierre Urbain.
  • Time Series Modelling 4.17 TSM - Long Memory Modelling, ARFIMA-(E)GARCH modelling package by James Davidson. Univariate and Multivariate.
  • MSVAR 1.31 - Estimation of Markov switching models by Hans-Martin Krolzig.
  • MC2 pack - For Bayesian Markov Chain Monte Carlo Analysis (MCMC) of Econometric Models, posterior sampling and marginal likelihood computation, by Charles Bos.
  • RQ 1.0, Quantile regression - Computation of quantile regression estimates by Roger Koenker and Daniel Morillo.
  • SsfPack - Analysis of univariate and multivariate Gaussian and non-Gaussian time series which can be placed in the state-space form (SSF), described in Time Series Analysis by State Space Methods, by J. Durbin and S.J. Koopman (2002), Oxford University Press.
  • SVPack - Stochastic volatility: likelihood inference and comparison with ARCH models.