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
1a_eff.gfn

Oleh Komashko

0.71

2017-11-24

advanced treatment of marginal effects

2addlist.gfn

Allin Cottrell

1.2

2010-12-17

Sequential addition of variables to a model

3ADFGLSTest.gfn

Oleh Komashko

0.055

2015-04-12

ADF-GLS test with interpolated p-values

4ADMBP.zip

Artur Tarassow

0.9

2017-09-29

ARDL Dynamic Multiplier Bootstrap Package

5almonreg.zip

Allin Cottrell

0.4

2015-02-09

PDL (Almon lag) model

6armax.gfn

Yi-Nung Yang

0.101

2017-09-22

Automatically determine and show the best ARMAX model based on either the AIC, BIC, or HQC criterion.

7bandplot.gfn

Allin Cottrell

0.3

2015-07-11

Confidence band plot

8bartlett.gfn

Marcos Larios Santa Rosa

0.3

2017-07-02

Bartlett's test for Homogeneity of Variance

9bkw.gfn

Lee C Adkins

1.01

2015-07-07

Computes the Belsley, Kuh, Welch table of collinearity diagnostics for linear and nonlinear models

10BMA.zip

Marcin Błażejowski, ...

2.01

2017-06-29

Bayesian Model Averaging for the linear regression models with jointness measures

11BMST.gfn

Artur Tarassow

1.0

2016-11-04

Logit + Probit model specifcation tests package

12BNdecomp.gfn

Riccardo "Jack" Lucchetti

2.0

2015-03-03

Beveridge-Nelson Decomposition

13Box_Cox_Value.gfn

Pedro Isaac Chávez López

1.01

2014-05-13

Obtain the lambda value of a Box-Cox Transformation

14BreitungCandelonTest.gfn

Sven Schreiber

2.3

2017-02-16

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

15Brown.gfn

Ignacio Diaz-Emparanza

1.5

2015-02-18

Brown linear and quadratic trend models

16BSMestim.gfn

Ignacio Diaz-Emparanza

1.3

2017-10-07

Basic Structural Model

17buys_ballot.gfn

Ignacio Diaz-emparanza, ...

1.6

2014-12-03

Plots for seasonal time series

18Canova_Hansen.zip

Ignacio Diaz-Emparanza, ...

1.2

2015-03-13

Seasonal stability tests

19carr.gfn

Yi-Nung Yang

0.8

2017-10-07

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

20cffilt.gfn

Riccardo Jack Lucchetti

1.01

2017-12-02

Christiano-Fitzgerald asymmetric filter

21coint2rec.gfn

Andreas Noack Jensen and Sven Schreiber

1.0

2017-02-12

Cointegration stability tests (Hansen&Johansen)

22cointARDL.zip

Artur Tarassow

0.51

2017-05-09

Bootstrap single-eq. cointegration tests

23CommonTrendsTest.gfn

Sven Schreiber

0.5

2017-02-22

Multivariate test for common stochastic trends

24corresp.gfn

Riccardo "Jack" Lucchetti

0.32

2017-06-20

Simple Correspondence Analysis

25criteria.gfn

Allin Cottrell

1.2

2016-10-29

Calculate model selection criteria

26delayspectral.gfn

Sven Schreiber

0.6

2016-07-07

Calculates signal delays in frequency domain and their uncertainty

27DHF_test.gfn

Marcin Blazejowski

1.041

2015-11-03

Dickey-Hasza-Fuller Seasonal Unit Root Test

28dhurdle.zip

Riccardo "Jack" Lucchetti

1.3

2016-01-26

Double-hurdle model

29DiebMar.gfn

Giulio Palomba

1.2

2017-10-13

Diebold-Mariano test

30DIF_panelcoint.zip

F. Di Iorio and S. Fachin

1.1

2017-02-20

panel no-cointegration tests with bootstrap p-values

31DP.gfn

Uriel Rodriguez Ramirez

1.3

2015-07-15

double unit root

32DPB.zip

Riccardo "Jack" Lucchetti and Claudia Pigini

1.2

2016-02-23

Dynamic Panel Binary models

33DST_test.gfn

Marcin Błażejowski

1.05

2011-10-01

Dickey's Stationarity Test fot High Frequency Data

34dumitrescu_hurlin_test.gfn

Giuseppe Vittucci

1.0

2017-03-25

Dumitrescu-Hurlin (2012) test: Granger causality for panel data

35exogtest.zip

Allin Cottrell

0.1

2017-07-21

diff-in-sargan exogeneity test

36extra.zip

The gretl team

0.3

2017-12-01

extra functions for hansl scripting

37fcModels.gfn

Yi-Nung Yang

1.0

2017-12-04

Forecasting models

38fe_stats.gfn

Allin Cottrell

0.5

2015-03-22

Statistics for fixed-effects estimates

39felogit.gfn

Riccardo "Jack" Lucchetti

1.5

2014-05-02

Fixed-effects logit

40FEP.zip

Artur Tarassow and Sven Schreiber

2.0

2017-12-12

Forecast Evaluation Package

41FEPoisson.gfn

Riccardo "Jack" Lucchetti

1.1

2016-01-13

Fixed-Effects Poisson

42FMOLS.gfn

Stefano Fachin and Riccardo "Jack" Lucchetti

1.0

2017-03-22

Fully Modified Least Squares Estimation for I(1) variables

43Friedman.gfn

Sven Schreiber

1.1

2017-12-10

Friedman (and Quade) nonparametric c-sample tests

44getQuandl.gfn

Yi-Nung Yang

0.68

2017-12-04

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

45GHegy.zip

Ignacio Diaz-Emparanza

1.2

2017-06-14

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

46ghosts.zip

Riccardo "Jack" Lucchetti

0.11

2017-11-30

Multivariate spectra

47GJR-garchm.gfn

Yi-Nung Yang

1.2

2017-09-22

GJR-GARCH in Mean

48gnuplot_piechart.gfn

Ignacio Diaz-Emparanza

1.0

2014-10-23

A simple 2D pie chart

49gqtest.gfn

Oleh Komashko

0.31

2017-09-27

Golfeld - Quandt heteroskedasticity test

50gregory_hansen.zip

Artur Tarassow

0.61

2017-05-01

Residual-based tests for cointegration in models with regime shifts

51heckprobit.gfn

Claudia Pigini

0.1

2015-05-12

Probit model with sample selection

52hetero.gfn

Yi-Nung Yang

1.2

2017-11-06

Heterosckedasticity tests in Asteriou & Hall

53HIP.zip

Riccardo "Jack" Lucchetti and Claudia Pigini

0.41

2015-05-19

Heteroskedastic IV Probit

54Holt.zip

Ignacio Diaz-Emparanza

1.0

2015-10-05

Holt's local linear trend

55ivintreg.gfn

Riccardo "Jack" Lucchetti

1.1

2017-04-29

Instrumental-variable Interval Regression

56johansensmall.gfn

Sven Schreiber and Andreas Noack Jensen

2.7

2017-09-03

Small-sample Johansen coint. rank tests (bootstrap and Bartlett)

57KaoTest.gfn

Uriel Rodriguez Ramirez

2.0

2013-03-06

Cointegration Test of Panel Data

58kddensity.gfn

Riccardo "Jack" Lucchetti

0.2

2017-11-29

kernel estimation of bivariate densities

59KruskalWallis.gfn

Riccardo Jack Lucchetti

1.0

2017-10-12

Kruskal-Wallis test

60lagreg.zip

Oleh Komashko

0.7

2017-09-09

regressions with lagged variables

61latextab.gfn

Artur Tarassow

0.22

2017-05-28

Write matrix as Latex table

62levene.gfn

Marcos Larios Santa Rosa

0.3

2017-07-02

Levene's Test for Equality of Variances

63LLTestim.gfn

Ignacio Diaz-Emparanza

1.3

2017-10-07

Local Linear Trend Model

64lomackinlay.gfn

Allin Cottrell and Sven Schreiber

1.2

2017-06-07

Lo-MacKinlay variance ratio test

65lp-mfx.gfn

Allin Cottrell

0.4

2016-11-10

logit/probit marginal effects

66MannKendall.gfn

Sven Schreiber and Riccardo Jack Lucchetti

1.0

2017-06-08

Mann-Kendall nonparametric trend test

67margeff_el.gfn

Oleh Komashko

0.6

2017-02-13

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

68matlab_utilities.gfn

Peter M. Summers

0.2

2017-10-08

Various Matlab/Octave compatability functions for use in scripting

69matrix_perf.gfn

Allin Cottrell

0.4

2014-06-17

Matrix multiplication performance test

70MCO_Ridge.gfn

Uriel Rodríguez Ramírez

1.4

2015-06-15

Ridge Regression

71MDS.gfn

Francesca Di Iorio and Riccardo "Jack" Lucchetti

1.0

2017-04-21

Multidimensional Scaling

72MGARCH.zip

Riccardo "Jack" Lucchetti

0.3

2017-04-27

Multivariate GARCH models

73ModRS_test.gfn

Daniel Ventosa-Santaulària

1.0

2011-02-25

Lo's (1991) modified R/S test

74moran.gfn

Giuseppe Vittucci

0.2

2011-09-04

Moran's I statistic of spatial autocorrelation

75mwu.gfn

Yi-Nung Yang

0.94

2017-10-07

Mann-Whitney U test

76oddsratios.zip

Riccardo "Jack" Lucchetti and Allin Cottrell

1.0

2015-03-22

Computation of odds ratios for logit models

77oprobit_predict.gfn

Allin Cottrell

1.2

2016-01-26

Compute predictions from ordered probit

78paneldesc.gfn

Riccardo "Jack" Lucchetti

1.0

2017-04-02

Basic statistics about gaps in panel datasets

79plot_scatter_label.gfn

Artur Tarassow

0.11

2017-02-20

Add labels to scatter plot

80plot_ts_y2axis.gfn

Artur Tarassow

0.1

2015-09-21

Single scatter plot with 2 y-axis + with lines

81pmbb.gfn

Giuseppe Vittucci

1.6

2013-01-18

Moving Blocks Bootstrap (MBB) for linear panels

82poisson_mfx.gfn

Oleh Komashko

0.22

2017-02-13

marginal effects for poisson and negbin regression

83PPtest.gfn

Riccardo "Jack" Lucchetti

0.1

2012-08-23

Phillips-Perron test

84PTconf.zip

Sven-Schreiber

0.92

2016-10-03

Permanent-transitory decompositions in I(1) systems, with estimation uncertainty

85ridge.gfn

Sven Schreiber

1.0

2017-09-22

Ridge regression

86RLSStein.gfn

Lee C. Adkins

0.92

2013-07-09

RLS Stein-rule estimator

87robust_RESET.gfn

Oleh Komashko

0.2

2017-02-10

robust RESET test as in Wooldridge

88roc.zip

Peter M. Summers

1.02

2017-10-5

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

89RVNR.gfn

Guillermo Verduzco Bustos

1.0.1

2015-05-16

Rank Von Neumann Ratio

90SB.gfn

F. Di Iorio, ...

1.3

2017-11-14

Stationary bootstrap resampling of time series

91seasfSTB.gfn

Ignacio Diaz-Emparanza

1.0

2014-06-25

Seasonal filters

92SETAR.gfn

Federico Lampis, ...

1.2

2011-06-27

Estimation of a SETAR model

93sfa_mod.gfn

Gordon Hughes

0.91

2009-08-22

Estimation of stochastic frontier models with no heteroskedasticity

94ShapleyCont.gfn

Ernesto Rivera and María José Arteaga

1.0

2016-05-30

Shapley based R-Squared decomposition

95sols.gfn

Allin Cottrell

1.4

2014-01-26

OLS showing standardized coefficients

96sparse.gfn

Riccardo "Jack" Lucchetti

1.01

2017-04-06

Sparse matrix functions

97StrucBreak.zip

Riccardo "Jack" Lucchetti and Sven Schreiber

0.2

2017-02-22

Autodetection of structural breaks in linear models, Bai-Perron style

98StrucTiSM.zip

Riccardo "Jack" Lucchetti and Sven Schreiber

0.2

2017-11-12

Harvey-style Structural Time Series Models

99summary_xy.gfn

Yi-Nung Yang

1.3

2017-09-22

summary of Z categorized by two discrete series x and y

100suradf.gfn

Allin Cottrell

0.2

2015-03-23

SUR-based ADF-type test for multiple time series

101Threshold_Panel.zip

Artur Tarassow

1.0

2016-12-16

Panel threshold model (Hansen, JoE 1999)

102tobit_mfx.gfn

Oleh Komashko

0.3

2016-10-20

marginal effects after tobit and censored regression

103tobit_y.gfn

Allin Cottrell

0.3

2017-11-16

Tobit dependent variable prediction

104tobithetm.gfn

Oleh Komashko

0.2

2017-02-10

Heteroscedastic tobit model

105tramolin.gfn

Ignacio Diaz-Emparanza

1.11

2017-01-28

Outlier detection/correction and missing data interpolation

106TsCrossValidation.gfn

Artur Tarassow

0.2

2016-01-24

Time-Series Cross-Validation

107tsfcst.gfn

Oleh Komashko

0.3

2016-04-12

time series forecasting and non-smooth optimization

108uniFCextensions.gfn

Sven Schreiber

1.0

2017-07-27

Extensions for univariate forecast models

109var_chow.gfn

Artur Tarassow

0.82

2017-10-26

Chow test for VAR models (bootstrap version)

110VARrec.gfn

Artur Tarassow

0.24

2017-02-27

Recursive computation of VAR model coefficient estimates

111vecmI2.gfn

Andreas Noack Jensen

0.1

2012-02-11

VECM for I(2) analysis

112VSG_test.gfn

Daniel Ventosa-Santaulària

1.11

2011-02-21

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

113waldTest.gfn

Oleh Komashko

1.01

2017-11-23

Wald test for (non)linear restrictions and conf. intervals

114Winters.zip

Ignacio Diaz-Emparanza

1.1

2015-11-05

Smoothing and forecasting method for seasonal time series

115wooldridge_test_serial.gfn

Giuseppe Vittucci and Artur Tarassow

2.0

2016-10-28

Wooldridge test for serial correlation of residuals in panel