MICROFIT 5.0 Windows Commercial Single User & Manual (Book & CD Pack)

• Major update of bestselling econometrics software package designed specifically for econometric modelling of time series data
• Easily used at different levels of technical sophistication by students, academics, and practitioners
• User interface has been completely revamped to improve accessibility and provide clear instructions to users
• Much enhanced graphic module allows numerous graph types and an unrestricted number of plots per screen

New to this edition

• New version can run regressions using up to 102 regressors and allows 5,000,000 observation data points
• Much enhanced graphic module allows numerous graph types and an unrestricted number of plots per screen
• Most files created using Microfit 4.0 can be used in Microfit 5.0
• Enhanced help files now included within the software package
• Time series dimension of observations can be adjusted dynamically
• Allows Excel files to be imported and exported
• Additional unit root tests such as Phillips-Perron, ADF-GLS, ADF-WS, and ADF-MAX
• Analysis of cointegrating models, with and without weakly exogenous variables (VARX and VECMX models), essential for modelling of small open economies.
• Forecasting, impulse response analysis, persistence profiles and error variance decomposition for VARX models
• Principal components and canonical correlation analysis
• Nonparametric density estimation (Gaussian and Epanechnikov kernels with Silverman rule of thumb and least squares cross-validation band widths)
• Bootstrapped critical values for tests of over-identifying restrictions and cointegrated models
• Multivariate GARCH models, allowing estimation with Gaussian and multivariate t-distributed shocks
• Small sample simulation of the critical values of unit root and cointegration tests
• Bootstrapped error bounds for impulse responses persistence profiles and error variance decompositions for VAR, VARX, and cointegrated VAR and VARX options

Readership: Users of Microfit 5.0. Academics, students and practioners working in applied macroeconometrics and time series analysis

Bahram Pesaran, Research Consultant at Wadhwani Asset Management, and M. Hashem Pesaran, Professor of Economics and Fellow of Trinity College, University of Cambridge

"Microfit is a valuable tool among the relatively inexpensive econometric packages. In a single package it covers an extensive array of topics that any student or researcher might want to use. Version 5 comes with a better user interface. To my knowledge, it is the only software on VAR models that can carry out generalized impulse responses and Version 5 now includes confidence intervals of the impluse responses. The manual is extremely well written and contains a succinct guide to econometrics that would benefit students and other users. My research lab staff love the program as well as the manual." - Mohammed Dore, Professor of Economics, Brock University