NumXL

NumXL

Developer(s)	Spider Financial Corp
Initial release	April 15, 2009
Stable release	1.63.42643.1 / September 30, 2016
Development status	Active
Written in	C, C++
Operating system	Windows
Type	econometrics software
License	proprietary
Website	www.spiderfinancial.com

Numerical Analysis for Excel (NumXL) is an econometrics and time series analysis add-in for Microsoft Excel. Developed by Spider Financial, NumXL provides a wide variety of statistical and time series analysis techniques, including linear and nonlinear time series modeling, statistical tests and others.

Although NumXL is intended as an analytical add-in for Excel, it extends Excel’s user-interface (UI) and offers many wizards, menus and toolbars to automate the mundane phases of time series analysis. The features include summary statistics, test of hypothesis, correlogram analysis, modeling, calibration, residuals diagnosis, back-testing and forecast.

NumXL users have varied backgrounds in finance, economics, engineering and science. NumXL is used in academic and research institutions and industrial enterprises.

User interface

NumXL comes with an elaborate user-interface of menus, toolbars, and interactive wizards, to improve the general usability of the software. The UI components automate some steps in time series analysis and modeling.

Using the UI components and the wizards, a user can specify the time series of interest, fine-tune the desired analysis options and designate the location on a worksheet for the output. NumXL generates the corresponding analysis blocks (with underlying formulas) in the designated location

Function categories

NumXL functions are organized into eleven (11) categories:

Descriptive statistics

• Autocorrelation function (ACF) and partial autocorrelation function (PACF).
• Cross-correlation functions - XCF and EWXCF
• MD, RMD, MAD
• Statistical functions - Calculate the excess kurtosis of the standardized GED and Student's t-dist.
• Empirical distribution functions: histogram, EDF and KDE

Statistical testing

• Hypothesis test for population mean, for standard deviation, for skewness and for excess kurtosis.
• Normality test using Jarque–Bera test, Shapiro–Wilk test, and Chi-square test methods.
• White-noise test - serial correlation tests (Portmanteau test, Ljung–Box test and modified Q-test).
• Autoregressive conditional heteroskedasticity (ARCH) effect test.
• Augmented Dickey–Fuller test (ADF) unit-root test.
• Multicollinearity test.
• Regression stability test (Chow test).

Transform

• Box-Cox and inverse Box-Cox transform.
• Logit, Probit and complementary log log link functions and its inverse.
• Lag or backshift operator,
• Seasonal difference operator
• Time series integral operator
• Add, subtract, scale, and chronological order reverse functions.
• Remove missing values from a time series.

Smoothing

• Weighted moving average (WMA).
• Exponential smoothing functions: Brown's simple exponential, Holt-Winters double exponential, Brown's linear exponential, and Winters triple exponential smoothing functions.
• Time series trend - linear, polynomial, logarithmic, exponential, and power.

Spectral analysis

• Discrete Fourier transform and inverse.
• Hodrick–Prescott filter.
• Baxter-King (BK) filter.

Date and calendar

• Weekday and workday calculations
• International weekend support
• 11 international holidays support.

ARMA modeling

• Autoregressive–moving-average model (ARMA)
• Autoregressive integrated moving average (ARIMA) model
• Seasonal ARIMA (SARIMA)
• AirLine Model
• X-12-ARIMA, Seasonal adjustment (X11)
• Autoregressive moving average exogenous (ARMAX) model
• Seasonal autoregressive integrated moving average exogenous (SARIMA-X) model
• Goodness of fit - Likelihood function (LLF), Akaike information criterion (AICc) and model's diagnosis.
• Forecast and back-testing
• Simulation

ARCH-GARCH analysis

• Basic operators - EWMA/EWV
• GARCH model.
• Exponential GARCH (E-GARCH) model.
• GARCH in the mean (GARCH-M) model.
• Support for Gaussian, Student's t and exponential power distribution (GED) distributed innovations/shocks.
• Goodness of fit - Likelihood function (LLF), Akaike information criterion (AICc) and model's diagnosis

Factor analysis

• Simple linear regression (SLR)
• Multiple linear regression (MLR)
• Principal component analysis (PCA) and principal component regression
• Stepwise regression
• Generalized linear model (GLM)
• Support for the following Canonical link functions:

Distribution	Name	Link function
Normal	Identity	$\mathbf {X} {\boldsymbol {\beta }}=\mu \,\!$
Poisson	Log	$\mathbf {X} {\boldsymbol {\beta }}=\ln {\left({\frac {\mu }{1-\mu }}\right)}\,\!$
Binomial	Logit	$\mathbf {X} {\boldsymbol {\beta }}=\ln {\left({\frac {\mu }{1-\mu }}\right)}\,\!$
Binomial	Probit	${\mathbf {X}}{\boldsymbol {\beta }}=\Phi ^{{-1}}{\left(\mu \right)}\,\!$
Binomial	Complementary log-log	${\mathbf {X}}{\boldsymbol {\beta }}=\ln {\left(-\ln {\left(1-\mu \right)}\right)}\,\!$

• Support for Goodness of fit: LLF, AIC, Adjusted R-squared, BIC/SIC and Deviance
• Residual diagnosis.

Advanced (combo) models

• Model definition function.
• Mixed model - likelihood function.
• Goodness of fit - LLF, AICc, and model's diagnosis.

Utilities

• Interpolation functions - Flat forward-backward, linear, and cubic spline interpolation.

Compatibility with Microsoft Excel

NumXL's statistical analysis software is compatible with all Excel versions from version 97 to version 2013 (Office 365), and with Windows versions 9x to Windows 8 (32- and 64-bits).

Release history

Version[1]	Release	Year	Release Date	Notes
NumXL 1.0	1.0	2009	October 1, 2009	Official release
NumXL 1.0		2010	January 5, 2010	Maintenance release I
NumXL 1.0			January 26, 2010	Maintenance release II
NumXL 1.0			September 2, 2010	Maintenance release III
NumXL 1.5	1.5	2011	June 13, 2011	New version
NumXL 1.51	ORB		September 23, 2011	Maintenance release
NumXL 1.51.40905.1			December 28, 2011	Maintenance release I
NumXL 1.51.40927.3		2012	January 19, 2012	Maintenance release II
NumXL 1.52.40934.5			January 26, 2012	New version
NumXL 1.52.41002.5			April 3, 2012	Maintenance release I
NumXL 1.52.41018.1			April 19, 2012	Maintenance release II
NumXL 1.53.41023.1	SAC		April 25, 2012	New version
NumXL 1.53.41025.1			April 26, 2012	Maintenance release I
NumXL 1.54.41030.2	RED		May 2, 2012	New version
NumXL 1.55.41040.2	LYNX		May 11, 2012	New version
NumXL 1.56.41060.2	ZEBRA		May 31, 2012	New version
NumXL 1.57.41168.2	SINGA		September 17, 2012	New version
NumXL 1.58.41197.1	BAJA		October 16, 2012	New version
NumXL 1.59.41245.1	TUCSON		December 3, 2012	New version
NumXL 1.59.41288.1		2013	January 14, 2013	Maintenance release I
NumXL 1.59.41295.1			January 21, 2013	Maintenance release II
NumXL 1.59.41304.1			January 30, 2013	Maintenance release III
NumXL 1.59.41325.1			February 19, 2013	Maintenance release VI
NumXL 1.59.41339.1			March 6, 2013	Maintenance release VII
NumXL 1.59.41341.1			March 8, 2013	Maintenance release VIII
NumXL 1.59.41346.1			March 13, 2013	Maintenance release IX
NumXL 1.59.41366.1			April 2, 2013	Maintenance release X
NumXL 1.59.41372.1			April 8, 2013	Maintenance release XI
NumXL 1.59.41374.1			April 11, 2013	Maintenance release XII
NumXL 1.60.41413.1	APACHE		May 20, 2013	New version
NumXL 1.60.41415.1			May 21, 2013	Update 1
NumXL 1.60.41418.1			May 24, 2013	Update 2
NumXL 1.61.41445.1	BOLAS		June 20, 2013	New version
NumXL 1.61.41462.1			July 7, 2013	Update 1
NumXL 1.62.41788.1	DEWDROP		Nov 24, 2013	New version
NumXL 1.63.41810.1	SHAMROCK	2014	June 6, 2014	New version
NumXL 1.63.41810.1			June 20, 2014	Update 1
NumXL 1.63.41825.1			July 4, 2014	Update 2
NumXL 1.63.41841.1			July 21, 2014	Update 3
NumXL 1.63.41911.1			September 29, 2014	Update 4
NumXL 1.63.41975.1			December 2, 2014	Update 5
NumXL 1.63.41985.1			December 12, 2014	Update 6
NumXL 1.63.42058.1		2015	February 23, 2015	Update 7
NumXL 1.63.42194.1			July 10, 2015	Update 8
NumXL 1.63.42297.1			October 20, 2015	Update 9
NumXL 1.63.42402.1		2016	February 2, 2016	Update 10
NumXL 1.63.42502.1			May 16, 2016	Update 11
NumXL 1.63.42534.1			June 14, 2016	Update 12
NumXL 1.63.42622.1			September 9, 2016	Update 13
NumXL 1.63.42636.1			September 22, 2016	Update 14
NumXL 1.63.42643.1			September 30, 2016	Update 15

See also

• EViews—A statistical package for Windows
• gretl—an open source alternative to EViews
• Rcmdr—an open source R-based alternative to SPSS
• OxMetrics—an alternative econometrics package
• Regression Analysis of Time Series (RATS)
• Comparison of statistical packages
• AREMOS

References

1. NumXL Team. "NumXL Release Notes".

External links

• [Official Website]
• NumXL Getting Started
• NumXL Weekly Tips and Hints
• NumXL Release notes
• NumXL Tutorial Videos
• NumXL Community
• NumXL Facebook
• NumXL Twitter