Welcome to PcGive Professional
What is new
- PcGive Professional
- The PcGive system
- Some related software
- Timberlake Consultants
- Enhancements and fixes in PcGive 15
PcGive Professionaltm aims to give an operational and structured approach to
econometric modelling using the most sophisticated yet user-friendly
software. The accompanying books transcend the old ideas of `textbooks' and
`computer manuals' by linking the learning of econometric methods
and concepts to the outcomes achieved when they are applied.
The econometric techniques of the PcGive system can be divided by the
type of data to which they are (usually) applied. The documentation is comprised
of three volumes, and the overview below gives in parenthesis whether
the method is described in Volume I, II, III or V. Volume IV refers to the PcNaive book.
- Models for cross-section data
- Cross-section Regression (I)
- Models for discrete data
- Binary Discrete Choice (III): Logit and Probit
- Multinomial Discrete Choice (III): Multinomial Logit
- Count data (III): Poisson and Negative Binomial
- Models for financial data
- GARCH Models (III): GARCH in mean, GARCH with Student-t, EGARCH,
Estimation with Nelson&Cao restrictions
- Models for panel data
- Static Panel Methods (III): within groups, between groups
- Dynamic Panel Methods (III): Arellano-Bond GMM estimators
- Models for time-series data
- Single-equation Dynamic Modelling (I), including
- Multiple-equation Dynamic Modelling (II):
VAR and cointegration, simultaneous equations analysis
- Regime Switching Models (V): Markov-switching
- ARFIMA Models (III):
exact maximum likelihood, modified-profile
likelihood or non-linear least squares
- Seasonal adjustment using X12Arima (III):
Automatic model selection,
Census X-11 seasonal adjustment.
- Monte Carlo
- AR(1) Experiment using PcNaive (IV)
- Static Experiment using PcNaive (IV)
- Advanced Experiment using PcNaive &Ox Professional (IV)
- Other models
- Nonlinear Modelling (I)
- Descriptive Statistics (I)
PcGive uses OxMetrics for data input and graphical and text output.
OxMetrics has its own help system.
Even though PcGive is largely written in Ox Professional, it
does not require Ox to function.
The PcGive system
PcGivetm uses OxMetrics for data input and graphical
and text output, and is
part of the OxMetrics family.
OxMetricstm is the name
of a family of software packages providing an integrated solution
for those requiring econometric analysis of time series, financial
econometric modelling, or statistical analysis of cross-section and
panel data. The core packages of the family are OxMetrics,
which provides the user-interface, data handling, and graphics, and
which provides the implementation language.
OxMetricstm is the front-end for all the members
of the OxMetrics family. OxMetrics displays reports and graphics, which
can be manipulated on screen, offers a calculator and algebraic
language for transforming data, and enables the user to open multiple
databases. A batch language allows for the automation of many of these
OxMetrics provides nearly 50 types of graphs, ranging from time-series
plots to cross-plots, ACF, density, 3-D plots, automatic graphing of
logs and growth rates, seasonal subplots, error fans and many others.
Some related software
Ox Professional tm is an object-oriented programming system.
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 files.
Ox Professional is distributed by
Autometricstm is the automatic econometric model
selection procedure that is available in PcGive.
Autometricstm 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).
STAMPtm is a package 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.
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.
STAMP is distributed by
is dedicated to the estimation and the forecasting of GARCH models and many of
The available models include ARCH, GARCH, EGARCH, GJR, APARCH, IGARCH, FIGARCH,
FIEGARCH, FIAPARCH and HYGARCH. G@RCH provides many features that are
unavailable in most traditional econometric softwares. This includes various
model specifications, two standard errors estimation methods
(Approximate Maximum Likelihood and Approximate Quasi-Maximum Likelihood)
and four distributions (normal, Student-t, GED or skewed Student-t).
Moreover, ARCH-in-mean models are available and explanatory variables can
enter the mean and/or the variance equations. Finally, h-steps-ahead forecasts
of both the conditional mean and variance are available as well as many
miss-specification tests (Nyblom, SBT, Pearson goodness-of-fit, Box-Pierce,...).
G@RCH Professional is distributed by
OxMetrics products are available from :
Next: Getting started
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