Statistical and econometric software tools for data analysis.

COVID-19 

We have launched a website providing short-term forecasts of the impacts of COVID_19

Time Varying GARCH Model R Package

New tvGARCH R Package available – created by Susana Campos-Martins and Genarro Sucarrat

V-Lab

New Geopolitical Volatility Index – model created by Nobel Laureate Rob Engle and Susana Campos Martins

PcGive & OxMetrics Econometric Software:

Now available XLModeler 1: An OxMetrics Add-in for Excel, 2019, by Jurgen A. Doornik, David F. Hendry and Sebastien Laurent.

Econometric modelling including automatic model selection (through Autometrics) and break detection using indicator saturation (isat) using impulses (IIS) and step-indicators (SIS). PcGive and OxMetrics are developed by Jurgen Doornik and David Hendry. Available here.

R Packages:

gets: General-to-specific model selection and break detection using indicator saturation (isat) using impulses (IIS) and step-indicators (SIS) – developed by  Genaro Sucarrat, James Reade, and Felix Pretis. Available here. For more technical detail see the paper on SIS (open-access in Econometrics, 3:2, pp.240-264) and paper describing the R-package (open access in J. of Statistical Software) on the R package. (Version 0.17 released on 28.8.2018, release-notes).

Package download statistics from CRAN:
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We also have a blog post on using indicator saturation to detect breaks discussing the Autobox comparison.

Try interactive indicator saturation using isat online – select a dataset (e.g. flow of the river Nile at Ashwan) and use indicator saturation to find sudden shifts (structural breaks) and outlying observations at a chosen level of significance: