OxMetrics originates from PcGive, one of the first econometric software for personal computers, initiated by David Hendry in the 1980s at the London School of Economics.
OxMetrics builds on the Ox programming language of Jurgen Doornik developed at University of Oxford.
OxMetrics is a family of software packages for the econometric and financial analysis of time series, forecasting, econometric model selection and for the statistical analysis of cross-sectional data and panel data.
Hendry & Nielsen (2007) present many empirical examples in PcGive for OxMetrics in their econometrics textbook.
Durbin & Koopman (2012) give modern examples in their time series analysis textbook.