Statistical and econometric software tools for data analysis.

PcGive & OxMetrics Econometric Software:

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 discussion paper on the R package. (Version 0.10 released on 17.1.2017, release-notes).

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: