gretl function packages

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

 NameAuthorVersionDateDescription
1addlist.gfn

Allin Cottrell

1.2

2010-12-17

Sequential addition of variables to a model

2ADFGLSTest.gfn

Oleh Komashko

0.055

2015-04-12

ADF-GLS test with interpolated p-values

3almonreg.zip

Allin Cottrell

0.4

2015-02-09

PDL (Almon lag) model

4armax.gfn

Yi-Nung Yang

0.92

2014-09-04

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

5bandplot.gfn

Allin Cottrell

0.3

2015-07-11

Confidence band plot

6bartlett.gfn

Marcos Larios Santa Rosa

0.2

2009-08-21

Bartlett's test for Homogeneity of Variance

7BMA.zip

Marcin Błażejowski, ...

1.32

2016-07-12

Bayesian Model Averaging for the linear regression models with jointness measures

8BNdecomp.gfn

Riccardo "Jack" Lucchetti

2.0

2015-03-03

Beveridge-Nelson Decomposition

9Box_Cox_Value.gfn

Pedro Isaac Chávez López

1.01

2014-05-13

Obtain the lambda value of a Box-Cox Transformation

10BreitungCandelonTest.gfn

Sven Schreiber

2.1

2016-06-29

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

11Brown.gfn

Ignacio Diaz-Emparanza

1.5

2015-02-18

Brown linear and quadratic trend models

12BSMestim.gfn

Ignacio Diaz-Emparanza

1.1

2009-08-22

Basic Structural Model

13buys_ballot.gfn

Ignacio Diaz-emparanza, ...

1.6

2014-12-03

Plots for seasonal time series

14Canova_Hansen.zip

Ignacio Diaz-Emparanza, ...

1.2

2015-03-13

Seasonal stability tests

15carr.gfn

Yi-Nung Yang

0.7

2015-07-11

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

16cffilt.gfn

Riccardo Jack Lucchetti

1.0

2016-07-03

Christiano-Fitzgerald asymmetric filter

17cnumber.gfn

Monsueto, S.E

1.0

2010-08-31

Calculate the conditional number

18coint2finite.gfn

Andreas Noack Jensen and Sven Schreiber

1.1

2014-06-02

Small-sample additions to coint2

19coint2rec.gfn

Andreas Noack Jensen and Sven Schreiber

0.4

2014-07-04

Cointegration stability tests (Hansen&Johansen)

20corresp.gfn

Riccardo "Jack" Lucchetti

0.3

2016-06-12

Simple Correspondence Analysis

21criteria.gfn

Allin Cottrell

1.1

2010-07-02

Calculate model selection criteria

22delayspectral.gfn

Sven Schreiber

0.5

2016-06-24

Calculates signal delays in frequency domain and their uncertainty

23DeWallis_test.gfn

Juan Pablo de Botton Falcón

1.2

2015-01-19

DeWallis_test

24DHF_test.gfn

Marcin Blazejowski

1.041

2015-11-03

Dickey-Hasza-Fuller Seasonal Unit Root Test

25dhurdle.zip

Riccardo "Jack" Lucchetti

1.3

2016-01-26

Double-hurdle model

26DiebMar.gfn

Giulio Palomba

1.0

2015-08-06

Diebold-Mariano test

27DIF_panelcoint.zip

F. Di Iorio and S. Fachin

1.0

2015-2-15

panel no-cointegration tests with bootstrap p-values

28DP.gfn

Uriel Rodriguez Ramirez

1.3

2015-07-15

double unit root

29DPB.zip

Riccardo "Jack" Lucchetti and Claudia Pigini

1.2

2016-02-23

Dynamic Panel Binary models

30DST_test.gfn

Marcin Błażejowski

1.05

2011-10-01

Dickey's Stationarity Test fot High Frequency Data

31dynMultipl.gfn

Artur Tarassow

0.91

2014-11-07

Dynamic Multiplier computation for ARDL models

32fcModels.gfn

Yi-Nung Yang

0.96

2014-04-29

Forecasting models

33fe_stats.gfn

Allin Cottrell

0.5

2015-03-22

Statistics for fixed-effects estimates

34felogit.gfn

Riccardo "Jack" Lucchetti

1.5

2014-05-02

Fixed-effects logit

35FEPoisson.gfn

Riccardo "Jack" Lucchetti

1.1

2016-01-13

Fixed-Effects Poisson

36genr_dates.gfn

Yi-Nung Yang

0.2

2013-06-26

generate yyyy, mm, day,weekday

37getQuandl.gfn

Yi-Nung Yang

0.62

2014-10-08

Download data from Quandl.com, a "data platform"

38GHegy.zip

Ignacio Diaz-Emparanza

1.1

2015-03-10

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

39GJR-garchm.gfn

Yi-Nung Yang

1.1

2010-01-25

GJR-GARCH in Mean

40gnuplot_piechart.gfn

Ignacio Diaz-Emparanza

1.0

2014-10-23

A simple 2D pie chart

41gqtest.gfn

Oleh Komashko

0.20

2016-04-04

Golfeld - Quandt heteroskedasticity test

42gregory_hansen.gfn

Artur Tarassow

0.6

2014-11-08

Residual-based tests for cointegration in models with regime shifts

43heckprobit.gfn

Claudia Pigini

0.1

2015-05-12

Probit model with sample selection

44hetero.gfn

Yi-Nung Yang

1.0

2012-12-12

Heterosckedasticity tests in Asteriou & Hall

45HIP.zip

Riccardo "Jack" Lucchetti and Claudia Pigini

0.41

2015-05-19

Heteroskedastic IV Probit

46Holt.zip

Ignacio Diaz-Emparanza

1.0

2015-10-05

Holt's local linear trend

47HoltWinters.gfn

Ignacio Diaz-Emparanza

1.9

2015-05-26

Time series forecasting using Holt-Winters exponential smoothing

48ivintreg.gfn

Riccardo "Jack" Lucchetti

1.0

2012-03-22

Instrumental-variable Interval Regression

49KaoTest.gfn

Uriel Rodriguez Ramirez

2.0

2013-03-06

Cointegration Test of Panel Data

50lagreg.zip

Oleh Komashko

0.50

2016-04-02

regressions with lagged variables

51latextab.gfn

Artur Tarassow

0.21

2016-06-01

Write matrix as Latex table

52levene.gfn

Marcos Larios Santa Rosa

0.2

2009-08-22

Levene's Test for Equality of Variances

53LLTestim.gfn

Ignacio Diaz-Emparanza

1.2

2009-08-22

Local Linear Trend Model

54logit_burr.gfn

Artur Tarassow

0.5

2014-11-08

LM test of the null that the distribution is Logistic against the alternative that it is Burr Type 2

55LOGIT_HETERO.gfn

Artur Tarassow

0.12

2014-11-03

Performs two LM specification tests for the LOGIT model

56lomackinlay.gfn

Allin Cottrell

1.1

2009-08-19

Lo-MacKinlay variance ratio test

57loss_functions.gfn

Germán Villar

1.0

2015-06-14

Loss functions to evaluate out of sample predictions

58lp-mfx.gfn

Allin Cottrell

0.2

2013-06-27

logit/probit marginal effects

59margeff_el.gfn

Oleh Komashko

0.5

2015-09-11

marg. effects, elasticities, prediction in presense of functions of vars.

60matrix_perf.gfn

Allin Cottrell

0.4

2014-06-17

Matrix multiplication performance test

61MCO_Ridge.gfn

Uriel Rodríguez Ramírez

1.4

2015-06-15

Ridge Regression

62ModRS_test.gfn

Daniel Ventosa-Santaulària

1.0

2011-02-25

Lo's (1991) modified R/S test

63moran.gfn

Giuseppe Vittucci

0.2

2011-09-04

Moran's I statistic of spatial autocorrelation

64mwu.gfn

Yi-Nung Yang

0.93

2013-08-24

Mann-Whitney U test

65oddsratios.zip

Riccardo "Jack" Lucchetti and Allin Cottrell

1.0

2015-03-22

Computation of odds ratios for logit models

66oprobit_predict.gfn

Allin Cottrell

1.2

2016-01-26

Compute predictions from ordered probit

67plot_scatter_label.gfn

Artur Tarassow

0.1

2015-11-28

Add labels to scatter plot

68plot_ts_y2axis.gfn

Artur Tarassow

0.1

2015-09-21

Single scatter plot with 2 y-axis + with lines

69pmbb.gfn

Giuseppe Vittucci

1.6

2013-01-18

Moving Blocks Bootstrap (MBB) for linear panels

70poisson_mfx.gfn

Oleh Komashko

0.12

2016-03-29

marginal effects for poisson and negbin regression

71PPtest.gfn

Riccardo "Jack" Lucchetti

0.1

2012-08-23

Phillips-Perron test

72RLSStein.gfn

Lee C. Adkins

0.92

2013-07-09

RLS Stein-rule estimator

73Robinson.gfn

Uriel Rodriguez Ramires

1.0

2013-08-28

Semiparametric Regression

74robust_RESET.gfn

Oleh Komashko

0.1

2015-10-31

robust RESET test as in Wooldridge

75roc.zip

Peter M. Summers

1.01

2015-07-07

Computation and analysis of receiver operating characteristic curves (ROC) for binary choice models.

76RVNR.gfn

Guillermo Verduzco Bustos

1.0.1

2015-05-16

Rank Von Neumann Ratio

77SB.gfn

pc

1.0

2016-04-11

Stationary Bootstrap resampling of time series

78seasfSTB.gfn

Ignacio Diaz-Emparanza

1.0

2014-06-25

Seasonal filters

79SETAR.gfn

Federico Lampis, ...

1.2

2011-06-27

Estimation of a SETAR model

80sfa_mod.gfn

Gordon Hughes

0.91

2009-08-22

Estimation of stochastic frontier models with no heteroskedasticity

81ShapleyCont.gfn

Ernesto Rivera and María José Arteaga

1.0

2016-05-30

Shapley based R-Squared decomposition

82sols.gfn

Allin Cottrell

1.4

2014-01-26

OLS showing standardized coefficients

83summary_ts.gfn

yinung Yang

1.2

2010-03-24

Summary statistics for (financial) time series

84summary_xy.gfn

Yi-Nung Yang

1.2

2015-07-13

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

85suradf.gfn

Allin Cottrell

0.2

2015-03-23

SUR-based ADF-type test for multiple time series

86Threshold_Panel.zip

Artur Tarassow

0.921

2015-08-24

Threshold model for static panel, Hansen (1999)

87tobit_mfx.gfn

Oleh Komashko

0.2

2015-07-26

marginal effects after tobit and censored regression

88tobit_y.gfn

Allin Cottrell

0.2

2015-03-23

Tobit dependent variable prediction

89tobithetm.gfn

Oleh Komashko

0.12

2015-07-29

Heteroscedastic tobit model

90tramolin.gfn

Ignacio Diaz-Emparanza

1.10

2014-05-02

Outlier detection/correction and missing data interpolation

91TsCrossValidation.gfn

Artur Tarassow

0.2

2016-01-24

Time-Series Cross-Validation

92tsfcst.gfn

Oleh Komashko

0.3

2016-04-12

time series forecasting and non-smooth optimization

93var_chow.gfn

Artur Tarassow

0.81

2013-06-07

bootstrap Chow test for VAR models

94vecmI2.gfn

Andreas Noack Jensen

0.1

2012-02-11

VECM for I(2) analysis

95VSG_test.gfn

Daniel Ventosa-Santaulària

1.11

2011-02-21

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

96waldTest.gfn

Oleh Komashko

0.4

2015-07-30

Wald tests of restrictions in user-specified models and confidence intervals

97Wilcoxon.zip

Giulio Palomba

1.0

2015-07-15

Wilcoxon Signed Rank Test

98Winters.zip

Ignacio Diaz-Emparanza

1.1

2015-11-05

Smoothing and forecasting method for seasonal time series

99wooldridge_test_serial.gfn

Giuseppe Vittucci

1.0

2011-09-24

Wooldridge test for serial correlation of residuals in panel

100yahoo_get.gfn

Riccardo "Jack" Lucchetti

1.21

2016-03-14

Downloader of daily financial data from Yahoo