TIM65_Newsletter Ox A/W 16/8/02 1:15 PM Page 2 OxMetrics news AUGUST 2002 ISSUE 2 NEW MODULES NEW RELEASES FAQS USERS VIEWS COURSES AND SEMINARS Users Views 1. Doing Applied Mathematics with Ox By Christine Choirat Ox, the object-oriented matrix language underlying most OxMetrics™ Casella, Chapter 5, Monte Carlo Statistical Methods, 1999) and the wave software, is mainly known within the econometric community. Being induced by a drop of milk falling into milk (from S. Steer at INRIA). a mathematician, what immediately stroke me when I first tried Ox at Titles, axes, colormaps and orientations were interactively modified the beginning of my PhD three years ago was that a larger scientific with just a few mouse clicks. But above all, Ox Professional™ allows audience could take great advantage in using it too. Indeed not to users to write their own applications with user-friendly interfaces within mention Econometrics and Statistics, I know from experience that GiveWin™. If you want your applications to have a wide distribution, Ox is also competitive in other fields, in particular where massive you can even write them as contributed packages (for example G@RCH computation is crucial: Numerical Analysis, Control Theory, Signal by S. Laurent and J.P. Peters, among an increasing number of other Processing or simulation of Dynamical Systems to name a few. The packages) downloadable from www.timberlake.co.uk. console version of Ox is free for academic purposes. Together with its (also free for academic use) dedicated editor OxEdit, which is also by itself a nice text editor for Windows™, they constitute a very comfortable programming environment. But here I would like to insist on the following point, which is to me the most remarkable feature of Ox: Ox combines the best aspects of both a programming language (such as FORTRAN or C) and an integrated scientific environment (such as Gauss™ or Matlab™) with a large number of in-built mathematical functions. The adjective that best describes Ox as a programming language is Test function for optimization “fast”. Ox is even fast enough to compete with FORTRAN and C/C++. But it is also fast to learn since its syntax is very similar to the one of C and C++, that are used by a vast majority of applied mathematicians. Writing code is fast as well. As Ox is matrix-oriented, the user need not write a whole matrix calculus library and can work directly on the core of the program, getting an optimized code without unnecessary loops. Moreover, the user who knows about object-programming can develop classes that make further applications straightforward. But, Ox can also be regarded as a whole scientific environment: it includes, among many others, reliable differentiation and optimization routines, that are constantly needed when writing just about any scientific program and that are desperately lacking in usual programming languages. Ox can also produce publication quality graphics (PS, EPS, etc.). Other scientific Drop of milk falling into milk environments (take a look at www.scientificweb.de/ncrunch for example) are either far too slow or far too expensive when you As a conclusion, I would just like to say that among all the languages compare them to Ox. I have worked with Ox is the one that best associates speed and convenience. I believe that Ox can potentially become a language In addition to the features of Ox that I have just mentioned, Ox commonly used by applied mathematicians, especially knowing that all Professional™ is totally integrated to GiveWin™ and offers a context the mathematical tools that are not implemented in Ox (an Ordinary sensitive help and a debugger, which is most useful when the size of Differential Equation Solver for example) can be found in many C and your programs increases. Ox Professional™ has also much more Fortran libraries and can then be easily linked and used from within Ox. graphical capabilities and can for example manipulate 3D graphics. It Christine Choirat avoids the tedious operation of saving your graphics as PS or EPS and http://viab.dauphine.fr/~choirat then displaying them with another software. U.F.R. Mathématiques de la Décision Centre de Recherche Viabilité, Jeux, To show the graphical possibilities of Ox Professional™, I have Contrôle Université Paris 9 Dauphine Place du Maréchal de Lattre de Tassigny reproduced a test function for optimization (from C.P. Robert and G. 75775 Paris CEDEX 16, FRANCE TIM65_Newsletter Ox A/W 16/8/02 1:15 PM Page 3 New Releases Users Views continued Ox™ 3.2 2.Why I chose PcGive The latest version of Ox is version 3.2, released occasionally stopped at an infeasible solution in August 2002. Version 3.2 fixes a few minor without signalling this), and much faster. by Michael Yap, PhD student bugs, but also has some interesting new features. Using the new SolveQP, there is now also a constrained maximizer, MaxSQPF. SQP stands My decision to purchase PcGive The main addition is SolveNLE, to solve for sequential quadratic programming, and the Professional was firstly facilitated by nonlinear systems of equations. This function F for feasible: starting from a feasible point, all the fact that I was able to download a can handle very large systems: the largest we subsequent iterates will be feasible. demo version and evaluate it tried to date involves 100,000 variables, taking thoroughly before making a final about one hour to compute. For large systems, Also new are functions for the (generalized) decision. I was also impressed with SolveNLE avoids storing the Jacobian matrix, real Schur decomposition, (decschur and the fact that the student version was which for the previous example would be decschurgen). The latter is useful for the made available at a significant 100,000 by 100,000 (or 80 gigabyte). SolveNLE solution of multivariate linear rational discount and yet it is the full version uses a Newton-tensor method, which means expectations models. with all the features — not one with that some second derivative information is Ox 3.2 is faster again for certain operations limited capability. used in addition to the Jacobian matrix. on large matrices, in particular the Choleski PcGive is easily one of the most SolveQP has been entirely rewritten, to use decomposition, and cross-product matrices powerful econometric packages recursive updating of the QR decomposition (a’a and a*a’). A kernel plug-in mode is under available. What I really like about it is (using the new decqrupdate function). This development, which allows the replacement that, although it’s largely menu- makes SolveQP more reliable (when starting of low-level matrix functions with versions driven, which makes it easy to use, from an infeasible point, the old version that are fully optimized for specific hardware. yet it allows the user plenty of opportunities to interact with it and ‘control’ test specifications. At the PcGive™ 10.1 same time, you don’t need to learn The latest version of PcGive is version 10.1, • Variable names are back above the parameters lots of programming. In that sense, released in June 2002. This is a minor release and in the cointegration restrictions. it’s ‘the best of both worlds’. In is available free of charge to version 10.0 users. • Recursive graphs include SE when beta particular, I feel that it extremely easy The upgrade is available for download (see Web is identified. to use for analysing dynamic models. addresses in contacts) or request a CD from I am also very impressed with the ** ** Timberlake Consultants. The new features are: Progress now orders the results correctly, way it handles cointegration analysis. and shows intermediate reductions. **Descriptive Statistics** has moved to It also provides powerful graphical ** ** the Package menu, and now includes Options : added possibility to automatically analysis that can be easily principal components analysis and the print Correlation matrix, Cointegration test, incorporated into reports. Its autocorrelation function. and Cointegration test with Max test. graphing options are the best that ** ** I’ve used so far. The manuals are also If **Heteroscedasticity consistent standard Dynamic analysis prints lag analysis in well-written and thorough. What I errors** (HCSE) is selected in options: reverse order; prints intermediate lag length F-tests for single equations. Added lag structure like best about them is that examples • two versions of the tests for restrictions analysis for VAR/multivariate models. of using the software are often are printed, the standard, and using the worked into the theoretical HC variance; **Heteroscedasticity test** now uses internal discussion on the topic. This greatly • in OLS: HCSE now also in standard scaling for enhanced accuracy of the auxiliary enhances our ability to understand equation output. regression. This can give different results the techniques. The manuals can, with data that is very unevenly scaling. Also **Further Output** includes an option to therefore, be used as econometric reintroduced output of Heteroscedasticity print residuals exceeding a certain level for textbooks. coefficients from Test/Test menu. outlier detection. In my opinion, PcGive is good value **Batch** for money. **Cointegrated VAR** • added “testres { ... }” command. General restrictions: now checking that • • commands to do cointegration tests after Michael Yap, PhD student, Singapore restriction does not access higher restriction estimating a VAR: [email protected] (lower is allowed). test(“I1”); 238, Jalan Seragam Reduced form beta now includes -I block for United Garden • test(“I2”); Off Old Klang Road clarity; prints standard errors if no additional 58200 Kuala Lumpur, MALAYSIA restrictions imposed. TIM65_Newsletter Ox A/W 16/8/02 1:15 PM Page 4 FAQs Explicit declaration and SsfPack™ 3.0 (Ox Package) http://staff.feweb.vu.nl/koopman/sjhead.html implicit types in Ox by Jurgen A.