microfit 发表评论(0) 编辑词条
Microfit 是用于计量经济模型建立的软件.程序是由剑桥大学的经济学者Dr. Hashem Pesaran和Dr. Bahram Pesaran所设计,新增的数据分析功能,可以预估设计高等的单变异数(Univariate)及多变异数 (multivariate)时间序列的模型. Microfit的使用手册包含了76个教学范例,使用25种不同的财务及经济数据 .Microfit 是交谈式, 选单驱动的评估预测软件. 非常适合企业,银行,教学及研究使用.
For the econometric analysis of time series data Microfit is an unrivalled package. With its extensive choice of data analysis options, this program is a versatile aid to all those interested in the evaluation and design of advanced univariate and multivariate time series models.
Microfit is an interactive, menu-driven program with a host of facilities for estimating and testing equations, forecasting, data processing, file management, and graphic display.
ABOUT MICROFIT:
For the econometric analysis of time series data Microfit is an unrivalled package. With its extensive choice of data analysis options, this program is a versatile aid to all those interested in the evaluation and design of advanced univariate and multivariate time series models.
Microfit is an interactive, menu-driven program with a host of facilities for estimating and testing equations, forecasting, data processing, file management, and graphic display. Version 4.0 builds on the success of its predecessors, but is now much more powerful and easier than ever to use in both its new Windows format and its original DOS environment. It is the perfect resource for business, banking, teaching, and research.
Microfit’s manual, Working with Microfit 4.0, serves as an interactive tool in the teaching of time series econometrics. It contains detailed reviews of the underlying econometric and computing methods, together with 76 tutorial lessons using more than 25 different data sets from economics and finance.
MICROFIT USERS:
Apart from academic institutions, current users of
Microfit include:
HM Treasury, Bank of England, Bank of Italy,
Central Bank of Ireland, IMF, the World Bank,
Rothschild Asset Management, OPEC, ICI, the
Department of Health, the Office of Fair Trading,
Southern Electricity, Goldman Sachs International,
Framlington Group plc, Barclays Bank and many
other financial institutions.
NEW FEATURES OF MICROFIT 4.0:
Microfit is supplied with an interactive econometric text which gives details of the econometric methods that underlie the options in the package. It also contains numerous tutorial lessons and exercises in a large number of areas covering univariate and multivariate forecasting of financial series such as stock prices, interest rates and exchange rates.
Microfit is an ideal tool for macro-econometric modelling, incorporating most up-to-date econometric methods.
The GARCH options in Microfit allow investment banks and portfolio management, companies to model and forecast volatility of share prices, interest rates and exchange rates in a matter of minutes.
Microfit 4.0 represents a major advance over the earlier versions of the package. It makes more intensive use of screen editors and window facilities for data entry, model specification, and easy storage and retrieval of data and results files.
Microfit 4.0 accepts ASCII and binary data files, and Excel 4.0 Worksheets, and other data files with a variety of formats such as comma delimited (CSV), PRN (Lotus print files), TXT and AREMOS (TSD) files. It readily allows for extension, revision, and merging of data files. Data on Microfit’s workspace can be exported to spreadsheet packages in the CSV format, and to the AREMOS package in the TSD format.
With this new version you can run regressions up to 100 regressors and 3,000 observations. You can also move readily between drives, directories, and subdirectories for retrieving and saving data input and output files. Scrolling within a results screen is also possible. All files created using Microfit 3.0 can be used in Microfit 4.0.
Microfit 4.0 now comes with an extensive system of help facilities, providing easy on-line access to the Microfit manual. The graphic features of the package have been upgraded further, and now allow the graphs produced in Microfit to be readily imported into word-processing packages or printed on any printer supported by Windows.
New Single-Equation Options:
Maximum likelihood estimation of regression models under a variety of conditionally heteroscedastic error specifications, such as ARCH, GARCH, GARCH in mean, absolute value GARCH, absolute value GARCH in mean, exponential GARCH, exponential GARCH in mean. The ARCH and GARCH models can be estimated for two different specifications of the conditional distribution of the errors, namely normal and the Student-t distributions.
LOGIT and PROBIT estimation.
Phillips-Hansen’s Fully Modified estimation
of cointegrating relations.
A new Autoregressive-Distributed Lag (ARDL) approach to estimation of cointegrating relations. This procedure allows you to choose the order of the ARDL model by means of the model selection procedures such as Akaike, Schwarz, and the adjusted R-square statistic. This approach also allows for inclusion of time trends, seasonal dummies and other deterministic/exogenous regressors in the cointegrating relation.
Non-nested tests of linear versus log-linear models, and level-differenced versus log- differenced models, and other non-linear specifications of the dependent variable.
For data analysis, Microfit 4.0 has a large number of additional time series and econometric features. These include:
New Functions and Commands
New Functions Included in Microfit Are:
The RATE(X) function, which computes the
percentage change in variable X
The MEAN(X) function, which computes the mean of X
The STD(X) function which computes the
standard deviation of X
The MAV(X,p) function which computes a pth
order moving average
The Hodrick and Prescott Filter
New Commands in Microfit Are:
REORDER X which activates a complete
reordering of the observations on the workspace according to the ordering of X. This command is particularly useful for use of Microfit in cross-sectional analysis
RESTORE, which restores the ordering of the
observations to their original state before the use of the command REORDER
New System Equation Options:
Unrestricted VAR estimation.
Automatic order selection in VAR using Akaike, Schwarz, and likelihood-ratio procedures.
Granger non-causality tests in the VAR.
Orthogonalized (a la Sims) and Generalized Impulse response analysis in VAR models. The generalized impulse responses are new and, unlike the orthogonalized responses, do not depend on the ordering of the variables in unrestricted VAR models.
Orthogonalized and Generalized Forecast Error Variance Decomposition in unrestricted and cointegrating VAR models.
Estimation and hypothesis testing in systems of equations by the Seemingly Unrelated Regression Estimation (SURE) method and restricted SURE method.
ML estimation and hypothesis testing in systems of equations subject to parametric restrictions. The restrictions could be homogenous or non-homogenous, and could involve coefficients from different relations (i.e. cross-equation restrictions).
Long-run structural analysis based on a cointegrating VAR. This estimation procedure allows you to estimate and test more than one cointegrating relations subject to identifying and over-identifying restrictions on the long-run (or cointegrating) relations. The restrictions could be homogenous or non-homogenous, and could involve coefficients from different cointegrating relations. It also allows analysis of sub-systems where one or more of the I(1) variables are exogenously determined.
Generalized and orthogonalized impulse response analysis and forecast error variance decomposition in cointegrating VAR models.
Computation of persistence profiles for the effect of system-wide shocks on the cointegrating relations.
Computation of multivariate dynamic forecasts using unrestricted or restricted VAR models.
THE AUTHORS of MICROFIT:
Dr. Hashem Pesaran is Professor of Economics at the University of Cambridge, and a fellow of Trinity College, Cambridge. He is the founding editor of the Journal of Applied Econometrics, a fellow of the Econometric Society, and the author of numerous scholarly books and articles.
Dr. Bahram Pesaran is currently at Tudor Proprietary Trading L.L.C. He was a senior analyst at the London School of Economics, a research officer at the National Institute of Economic and Social Research, a Senior Advisor at the Economics Division of the Bank of England, and Professor of Economics at the University of East London.
本文来自: 人大经济论坛 详细出处参考：http://www.pinggu.org/bbs/viewthread.php?tid=4124&page=1&fromuid=1
For the econometric analysis of time series data Microfit is an unrivalled package. With its extensive choice of data analysis options, this program is a versatile aid to all those interested in the evaluation and design of advanced univariate and multivariate time series models.
Microfit is an interactive, menu-driven program with a host of facilities for estimating and testing equations, forecasting, data processing, file management, and graphic display.
ABOUT MICROFIT:
For the econometric analysis of time series data Microfit is an unrivalled package. With its extensive choice of data analysis options, this program is a versatile aid to all those interested in the evaluation and design of advanced univariate and multivariate time series models.
Microfit is an interactive, menu-driven program with a host of facilities for estimating and testing equations, forecasting, data processing, file management, and graphic display. Version 4.0 builds on the success of its predecessors, but is now much more powerful and easier than ever to use in both its new Windows format and its original DOS environment. It is the perfect resource for business, banking, teaching, and research.
Microfit’s manual, Working with Microfit 4.0, serves as an interactive tool in the teaching of time series econometrics. It contains detailed reviews of the underlying econometric and computing methods, together with 76 tutorial lessons using more than 25 different data sets from economics and finance.
MICROFIT USERS:
Apart from academic institutions, current users of
Microfit include:
HM Treasury, Bank of England, Bank of Italy,
Central Bank of Ireland, IMF, the World Bank,
Rothschild Asset Management, OPEC, ICI, the
Department of Health, the Office of Fair Trading,
Southern Electricity, Goldman Sachs International,
Framlington Group plc, Barclays Bank and many
other financial institutions.
NEW FEATURES OF MICROFIT 4.0:
Microfit is supplied with an interactive econometric text which gives details of the econometric methods that underlie the options in the package. It also contains numerous tutorial lessons and exercises in a large number of areas covering univariate and multivariate forecasting of financial series such as stock prices, interest rates and exchange rates.
Microfit is an ideal tool for macro-econometric modelling, incorporating most up-to-date econometric methods.
The GARCH options in Microfit allow investment banks and portfolio management, companies to model and forecast volatility of share prices, interest rates and exchange rates in a matter of minutes.
Microfit 4.0 represents a major advance over the earlier versions of the package. It makes more intensive use of screen editors and window facilities for data entry, model specification, and easy storage and retrieval of data and results files.
Microfit 4.0 accepts ASCII and binary data files, and Excel 4.0 Worksheets, and other data files with a variety of formats such as comma delimited (CSV), PRN (Lotus print files), TXT and AREMOS (TSD) files. It readily allows for extension, revision, and merging of data files. Data on Microfit’s workspace can be exported to spreadsheet packages in the CSV format, and to the AREMOS package in the TSD format.
With this new version you can run regressions up to 100 regressors and 3,000 observations. You can also move readily between drives, directories, and subdirectories for retrieving and saving data input and output files. Scrolling within a results screen is also possible. All files created using Microfit 3.0 can be used in Microfit 4.0.
Microfit 4.0 now comes with an extensive system of help facilities, providing easy on-line access to the Microfit manual. The graphic features of the package have been upgraded further, and now allow the graphs produced in Microfit to be readily imported into word-processing packages or printed on any printer supported by Windows.
New Single-Equation Options:
Maximum likelihood estimation of regression models under a variety of conditionally heteroscedastic error specifications, such as ARCH, GARCH, GARCH in mean, absolute value GARCH, absolute value GARCH in mean, exponential GARCH, exponential GARCH in mean. The ARCH and GARCH models can be estimated for two different specifications of the conditional distribution of the errors, namely normal and the Student-t distributions.
LOGIT and PROBIT estimation.
Phillips-Hansen’s Fully Modified estimation
of cointegrating relations.
A new Autoregressive-Distributed Lag (ARDL) approach to estimation of cointegrating relations. This procedure allows you to choose the order of the ARDL model by means of the model selection procedures such as Akaike, Schwarz, and the adjusted R-square statistic. This approach also allows for inclusion of time trends, seasonal dummies and other deterministic/exogenous regressors in the cointegrating relation.
Non-nested tests of linear versus log-linear models, and level-differenced versus log- differenced models, and other non-linear specifications of the dependent variable.
For data analysis, Microfit 4.0 has a large number of additional time series and econometric features. These include:
New Functions and Commands
New Functions Included in Microfit Are:
The RATE(X) function, which computes the
percentage change in variable X
The MEAN(X) function, which computes the mean of X
The STD(X) function which computes the
standard deviation of X
The MAV(X,p) function which computes a pth
order moving average
The Hodrick and Prescott Filter
New Commands in Microfit Are:
REORDER X which activates a complete
reordering of the observations on the workspace according to the ordering of X. This command is particularly useful for use of Microfit in cross-sectional analysis
RESTORE, which restores the ordering of the
observations to their original state before the use of the command REORDER
New System Equation Options:
Unrestricted VAR estimation.
Automatic order selection in VAR using Akaike, Schwarz, and likelihood-ratio procedures.
Granger non-causality tests in the VAR.
Orthogonalized (a la Sims) and Generalized Impulse response analysis in VAR models. The generalized impulse responses are new and, unlike the orthogonalized responses, do not depend on the ordering of the variables in unrestricted VAR models.
Orthogonalized and Generalized Forecast Error Variance Decomposition in unrestricted and cointegrating VAR models.
Estimation and hypothesis testing in systems of equations by the Seemingly Unrelated Regression Estimation (SURE) method and restricted SURE method.
ML estimation and hypothesis testing in systems of equations subject to parametric restrictions. The restrictions could be homogenous or non-homogenous, and could involve coefficients from different relations (i.e. cross-equation restrictions).
Long-run structural analysis based on a cointegrating VAR. This estimation procedure allows you to estimate and test more than one cointegrating relations subject to identifying and over-identifying restrictions on the long-run (or cointegrating) relations. The restrictions could be homogenous or non-homogenous, and could involve coefficients from different cointegrating relations. It also allows analysis of sub-systems where one or more of the I(1) variables are exogenously determined.
Generalized and orthogonalized impulse response analysis and forecast error variance decomposition in cointegrating VAR models.
Computation of persistence profiles for the effect of system-wide shocks on the cointegrating relations.
Computation of multivariate dynamic forecasts using unrestricted or restricted VAR models.
THE AUTHORS of MICROFIT:
Dr. Hashem Pesaran is Professor of Economics at the University of Cambridge, and a fellow of Trinity College, Cambridge. He is the founding editor of the Journal of Applied Econometrics, a fellow of the Econometric Society, and the author of numerous scholarly books and articles.
Dr. Bahram Pesaran is currently at Tudor Proprietary Trading L.L.C. He was a senior analyst at the London School of Economics, a research officer at the National Institute of Economic and Social Research, a Senior Advisor at the Economics Division of the Bank of England, and Professor of Economics at the University of East London.
本文来自: 人大经济论坛 详细出处参考：http://www.pinggu.org/bbs/viewthread.php?tid=4124&page=1&fromuid=1
附件列表
→如果您认为本词条还有待完善，请 编辑词条
词条内容仅供参考，如果您需要解决具体问题
（尤其在法律、医学等领域），建议您咨询相关领域专业人士。
1
收藏到: 
同义词: 暂无同义词
关于本词条的评论 (共0条）发表评论>>
