gretl function packages

Please note, the recommended way of installing these packages is via gretl: look under the menu item File, Function files, On server.

 NameAuthorVersionDateDescription
1addlist.gfn

Allin Cottrell

1.1

2009-08-19

Sequential addition of variables to a model

2armax.gfn

Yi-Nung Yang

0.4

2013-05-07

Automatically Choose and Show best ARMAX models based on AIC, BIC, or HQC

3bandplot.gfn

Allin Cottrell

0.2

2011-09-29

Confidence band plot

4bartlett.gfn

Marcos Larios Santa Rosa

0.2

2009-08-21

Bartlett's test for Homogeneity of Variance

5BMA.gfn

Marcin Błażejowski, ...

1.03

2013-05-06

Bayesian Model Averaging for the linear regression models with jointness measures

6BNdecomp.gfn

Riccardo "Jack" Lucchetti

1.2

2009-08-22

Beveridge-Nelson Decomposition

7BreitungCandelonTest.gfn

Sven Schreiber

1.3

2012-11-23

Breitung-Candelon test of frequency-wise Granger (non-) causality

8Brown.gfn

Ignacio Diaz-Emparanza

1.4

2011-02-14

Brown linear and quadratic trend models

9BSMestim.gfn

Ignacio Diaz-Emparanza

1.1

2009-08-22

Basic Structural Model

10buys_ballot.gfn

Ignacio Diaz-emparanza

1.4

2011-12-07

Plots for seasonal time series

11Canova_Hansen.gfn

Ignacio Diaz-emparanza, ...

1.1

2013-09-02

Seasonal stability tests

12carr.gfn

Yi-Nung Yang

0.6

2013-06-20

CARR models: ECARR and WCARR by Ray Y. Chou (2005, JCMB)

13clustered_ols.gfn

Claudia Pigini

0.1

2012-03-28

OLS with clustered std errors

14cnumber.gfn

Monsueto, S.E

1.0

2010-08-31

Calculate the conditional number

15coint2finite.gfn

Andreas Noack Jensen and Sven Schreiber

1.0

2013-05-31

Small-sample additions to coint2

16criteria.gfn

Allin Cottrell

1.1

2010-07-02

Calculate model selection criteria

17DeWallis_test.gfn

Juan Pablo de Botton Falcón

1.1

2012-12-22

DeWallis_test

18DFP.gfn

Uriel Rodríguez Ramírez

1.0

2013-05-31

double unit root

19DHF_test.gfn

Marcin Blazejowski

1.04

2013-05-07

Dickey-Hasza-Fuller Seasonal Unit Root Test

20DST_test.gfn

Marcin Błażejowski

1.05

2011-10-01

Dickey's Stationarity Test fot High Frequency Data

21dynMultipl.gfn

Artur Tarassow

0.7

2013-04-19

Dynamic Multiplier for ECM model

22fcModels.gfn

Yi-Nung Yang

0.94

2014-04-16

Forecasting models

23fe_stats.gfn

Allin Cottrell

0.1

2011-08-14

Statistics for fixed-effects estimates

24felogit.gfn

Riccardo "Jack" Lucchetti

1.4

2014-05-05

Fixed-effects logit

25fgls.gfn

Yi-Nung Yang

1.0

2011-01-03

feasible GLS in Wooldridge

26genr_dates.gfn

Yi-Nung Yang

0.2

2013-06-26

generate yyyy, mm, day,weekday

27getsymbols.gfn

Yi-Nung Yang

0.1

2013-08-24

get stock daily data from Yahoo Finance

28GHegy.gfn

Ignacio Diaz-Emparanza

1.0

2013-03-14

General seasonal unit roots tests (HEGY) and P-values

29gig.gfn

Riccardo "Jack" Lucchetti and Stefano Balietti

2.14

2013-10-30

An assortment of univariate GARCH models

30GJR-garchm.gfn

Yi-Nung Yang

1.1

2010-01-25

GJR-GARCH in Mean

31gregory_hansen.gfn

Artur Tarassow

0.51

2013-11-21

Residual-based tests for cointegration in models with regime shifts

32group_series.gfn

Logan Kelly

1.0

2014-02-07

Splits up a list of series into subsample based on a criterierion provided in a discrete variable.

33growth.gfn

Artur Bala

1.2

2011-09-30

Least square average annual growth rate

34HEGY_test.gfn

Riccardo "Jack" Luchetti

1.3

2009-09-08

HEGY seasonal unit root test

35hetero.gfn

Yi-Nung Yang

1.0

2012-12-12

Heterosckedasticity tests in Asteriou & Hall

36HIP.gfn

Riccardo "Jack" Lucchetti and Claudia Pigini

0.2

2012-02-13

Heteroskedastic IV Probit

37HoltWinters.gfn

Ignacio Diaz-Emparanza

1.4

2010-02-20

Time series forecasting using Holt-Winters exponential smoothing

38ivintreg.gfn

Riccardo "Jack" Lucchetti

1.0

2012-03-22

Instrumental-variable Interval Regression

39ivpanel.gfn

Allin Cottrell

0.4

2011-02-10

Within and Between TSLS models plus G2SLS

40JB.gfn

Yi-Nung Yang

1.1

2007-10-06

calculate Jarque-Bera statistic and p-value

41KaoTest.gfn

Uriel Rodriguez Ramirez

2.0

2013-03-06

Cointegration Test of Panel Data

42levene.gfn

Marcos Larios Santa Rosa

0.2

2009-08-22

Levene's Test for Equality of Variances

43LLTestim.gfn

Ignacio Diaz-Emparanza

1.2

2009-08-22

Local Linear Trend Model

44LOGIT_HETERO.gfn

Artur Tarassow

0.11

2013-08-21

Performs two LM specification tests for the LOGIT model

45lomackinlay.gfn

Allin Cottrell

1.1

2009-08-19

Lo-MacKinlay variance ratio test

46lp-mfx.gfn

Allin Cottrell

0.2

2013-06-27

logit/probit marginal effects

47MCO_Ridge.gfn

Uriel Rodríguez

1.0

2012-05-22

Ridge Regression

48meansby.gfn

Jack Lucchetti

1.2

2009-08-28

Descriptive statistics -- conditional means

49ModRS_test.gfn

Daniel Ventosa-Santaulària

1.0

2011-02-25

Lo's (1991) modified R/S test

50moran.gfn

Giuseppe Vittucci

0.2

2011-09-04

Moran's I statistic of spatial autocorrelation

51MWU.gfn

Yi-Nung Yang

1.1

2013-04-25

Mann-Whitney U test (Matrix version)

52mwu.gfn

Yi-Nung Yang

0.93

2013-08-24

Mann-Whitney U test

53mwu_dummy.gfn

Yi-Nnung Yang

0.92

2013-04-25

Mann-Whitney U test with group dummy

54oprobit_predict.gfn

Allin Cottrell

1.0

2009-09-14

Compute predictions from ordered probit

55pmbb.gfn

Giuseppe Vittucci

1.6

2013-01-18

Moving Blocks Bootstrap (MBB) for linear panels

56PPtest.gfn

Riccardo "Jack" Lucchetti

0.1

2012-08-23

Phillips-Perron test

57RLSStein.gfn

Lee C. Adkins

0.92

2013-07-09

RLS Stein-rule estimator

58Robinson.gfn

Uriel Rodriguez Ramires

1.0

2013-08-28

Semiparametric Regression

59SETAR.gfn

Federico Lampis, ...

1.2

2011-06-27

Estimation of a SETAR model

60sfa_hetmod.gfn

Gordon Hughes

0.5

2008-07-01

Estimate SFA models with heteroskedasticity

61sfa_mod.gfn

Gordon Hughes

0.91

2009-08-22

Estimation of stochastic frontier models with no heteroskedasticity

62sols.gfn

Allin Cottrell

1.4

2014-01-26

OLS showing standardized coefficients

63summary_ts.gfn

yinung Yang

1.2

2010-03-24

Summary statistics for (financial) time series

64summary_xy.gfn

Yi-Nung Yang

1.1

2010-04-17

summary_xy(Z,x,y) is a function for summary of Z categorized by two discrete series x and y.

65suradf.gfn

Allin Cottrell

0.1

2011-01-26

SUR-based ADF-type test for multiple time series

66SVAR.gfn

Riccardo "Jack" Lucchetti

0.993

2013-04-02

Structural VARs

67Threshold_Panel.gfn

Artur Tarassow

0.9

2013-07-11

Threshold_Panel

68tobit_y.gfn

Allin Cottrell

0.1

2011-07-13

Tobit dependent variable prediction

69tramolin.gfn

Ignacio Diaz-Emparanza

1.5

2009-08-22

Outlier detection/correction and missing data interpolation

70var_chow.gfn

Artur Tarassow

0.81

2013-06-07

bootstrap Chow test for VAR models

71vecmI2.gfn

Andreas Noack Jensen

0.1

2012-02-11

VECM for I(2) analysis

72VSG_test.gfn

Daniel Ventosa-Santaulària

1.11

2011-02-21

Tests for a drift (and a shift) in a unit-root process

73wooldridge_test_serial.gfn

Giuseppe Vittucci

1.0

2011-09-24

Wooldridge test for serial correlation of residuals in panel

74yahoo_get.gfn

Riccardo "Jack" Lucchetti

1.13

2013-11-27

Downloader of daily financial data from Yahoo