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. |
NEW FUNCTIONS AND COMMANDS NEW SINGLE-EQUATION OPTIONS NEW SYSTEM EQUATION OPTIONS |
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. ©Oxford University Press Ltd & Camfit Data Limited, 1996. |
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: |