1 Forthcoming in Journal of Economic Surveys, Vol 15. Issue 4, 2001. Theory and Practice of Econometric Modelling Using PcGive10 Giovanni Urga City University Business School, Department of Investment, Risk Management and Insurance, Frobisher Crescent, Barbican Centre, London EC2Y 8HB (U.K.). Tel. +/44/(0)20/7477 8698, Fax. +/44/(0)20/7477 8885, e-mail: g.urga@city.ac.uk http://www.business.city.ac.uk/irmi/giovanni_urga.html 6 June 2001 Abstract: This review offers a guided tour to PcGive 10 modules for econometrics analysis of time series (PcGive), limited dependent variable (LogitJD) and static and dynamic panel data analyses (DPD), financial econometric (GARCH) and time series (ARFIMA) modelling. Several empirical applications are reported to illustrate the package. Keywords: Econometric Modelling, Econometric Software, GiveWin, PcGive. 1. Introduction Version 10 is the first really new release of PcGive since its launch for Windows. It is written in Ox, though it remains a fully interactive menu-driven program, with the front-end (GiveWin) supporting the various econometric packages. In this review, I will briefly illustrate the new features of GiveWin (Version 2) and PcGive (Version 10) and provide some guidelines to the documentation available. However, the bulk of my presentation focuses on the use of PcGive 10 to implement the numerous econometric techniques now available to undertake sound econometric modelling. 2. GiveWin (Version 2) GiveWin (Version 2), an interactive menu-driven graphics-oriented program, is the front-end to a series of integrated modules, namely PcGive, PcNaive, PcGets, STAMP, TSP, X12Arima, of which Ox Professional (OxDebug, OxRun, OxGauss, OxPack) is the implementation language. GiveWin 2 allows one to load, edit, transform and save data, and create a wide variety of graphs that can be edited, amended and saved/exported in various format. This new version, which operates under Windows 95, 98, ME and NT/2000, has improved graphics capability and quality, providing almost 50 types of graphs, ranging from time-series plots to cross- plots, ACF, density, 3-D plots; it also provides a workspace window (left window in