OxMetrics builds on the Ox programming language of Jurgen Doornik developed at University of Oxford.
Renfro(2004) describes the history of econometric software packages.
OxMetrics is now a family of software packages for the econometric analysis of time series, forecasting, econometric model selection and for the statistical analysis of cross-section data and panel data.
The main modules apart from PcGive for dynamic econometric models (ARDL, VAR, GARCH, Switching, Autometrics), panel data models (DPD), Limited dependent models, are STAMP for structural time series modelling and G@RCH for financial volatility modelling.
Hendry and Nielsen (2007)
present many empirical examples in PcGive for OxMetrics in their econometrics textbook.