Please note, the recommended way of installing these packages is via gretl: look under the menu item Tools/Function packages/On server.
Shown below are contributed function packages; in addition there are several official addons available for gretl.
Name | Author | Version | Date | Description | |
---|---|---|---|---|---|
1 | Allin Cottrell |
2.0 |
2020-08-15 |
Sequential addition of variables to a model |
|
2 | Oleh Komashko |
0.1 |
2020-11-15 |
ADF-GLS test with interpolated p-values |
|
3 | Artur Tarassow |
1.0 |
2021-04-08 |
ARDL Dynamic Multiplier Bootstrap Package |
|
4 | Allin Cottrell |
0.4 |
2015-02-09 |
PDL (Almon lag) model |
|
5 | Oleh Komashko |
0.23 |
2018-11-12 |
simulation of arima(p, d, q; P, D, Q) trajectories |
|
6 | 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. |
|
7 | Riccardo "Jack" Lucchetti |
1.0 |
2020-04-27 |
IRF for univariate ARMA models |
|
8 | Sven Schreiber |
0.7 |
2021-02-21 |
Dynamic Probit (univariate/AR, Kauppi&Saikkonen) |
|
9 | Artur Tarassow |
1.0 |
2020-08-22 |
Assert functions for verifying expectations and values in gretl tests |
|
10 | Artur Tarassow |
0.7 |
2020-09-03 |
Return best ARIMA model according to information criteria value |
|
11 | Oleh Komashko |
0.9 |
2020-11-15 |
advanced treatment of marginal effects and elasticities |
|
12 | Marcin Błażejowski, Jacek Kwiatkowski |
1.1 |
2018-08-31 |
This package provides BACE (Bayesian Averaging of Classical Estimates) procedure. |
|
13 | Allin Cottrell |
0.3 |
2015-07-11 |
Confidence band plot |
|
14 | Marcos Larios Santa Rosa |
0.3 |
2017-07-02 |
Bartlett's test for Homogeneity of Variance |
|
15 | Marcin Błażejowski, Jacek Kwiatkowski |
2.01 |
2017-06-29 |
Bayesian Model Averaging for the linear regression models with jointness measures |
|
16 | Artur Tarassow |
2.1 |
2021-02-03 |
Binary (logit + probit) model specification tests |
|
17 | Riccardo "Jack" Lucchetti |
2.0 |
2015-03-03 |
Beveridge-Nelson Decomposition |
|
18 | Sven Schreiber and Jürgen Malitte |
0.3 |
2018-10-16 |
Best-fitting functional form |
|
19 | Pedro Isaac Chávez López |
1.01 |
2014-05-13 |
Obtain the lambda value of a Box-Cox Transformation |
|
20 | Sven Schreiber |
2.6 |
2021-01-19 |
Breitung-Candelon test of frequency-wise Granger (non-) causality |
|
21 | Ignacio Diaz-Emparanza |
1.5 |
2015-02-18 |
Brown linear and quadratic trend models |
|
22 | Ignacio Diaz-Emparanza, Riccardo |
2.0 |
2018-02-15 |
Plots for seasonal time series |
|
23 | Artur Tarassow |
0.2 |
2020-10-16 |
Collection of useful date time related tools |
|
24 | Ignacio Diaz-Emparanza, Mª Paz Moral |
1.21 |
2018-03-21 |
Seasonal stability tests |
|
25 | Yi-Nung Yang |
0.8 |
2017-10-07 |
CARR models: ECARR and WCARR by Ray Y. Chou (2005, JCMB) |
|
26 | Artur Tarassow |
0.4 |
2021-04-03 |
Encoder based on categorical variables |
|
27 | Riccardo Jack Lucchetti |
2.0 |
2021-01-08 |
Christiano-Fitzgerald asymmetric filter |
|
28 | Artur Tarassow |
0.8 |
2021-04-09 |
Bootstrap single-eq. cointegration tests |
|
29 | Sven Schreiber |
0.1 |
2019-05-27 |
Panel cointegration tests (Kao) |
|
30 | Riccardo "Jack" Lucchetti |
1.1 |
2021-03-26 |
color xy plot for time series |
|
31 | Sven Schreiber |
0.9 |
2019-03-01 |
Multivariate test for common stochastic trends |
|
32 | Riccardo "Jack" Lucchetti |
0.32 |
2017-06-20 |
Simple Correspondence Analysis |
|
33 | Sven Schreiber and Jörg Breitung |
0.2 |
2020-07-04 |
cross-section dependence in panels (test/estimate) |
|
34 | Francesca Di Iorio, Rosaria Simone and Riccardo "Jack" Lucchetti |
1.2 |
2021-03-25 |
Uniform-Binomial mixture model for ordinal data |
|
35 | Artur Tarassow |
0.1 |
2019-03-31 |
Compile cross-validation datasets |
|
36 | Oleh Komashko and Riccardo "Jack" Lucchetti |
0.9 |
2019-04-18 |
Discrete choice models |
|
37 | Sven Schreiber |
1.0 |
2019-03-23 |
Calculates signal delays in frequency domain and their uncertainty |
|
38 | Ioannis A. Venetis and Riccardo "Jack" Lucchetti |
0.43 |
2019-11-21 |
Dynamic Factor Models |
|
39 | Marcin Blazejowski |
1.041 |
2015-11-03 |
Dickey-Hasza-Fuller Seasonal Unit Root Test |
|
40 | Riccardo "Jack" Lucchetti |
1.3 |
2016-01-26 |
Double-hurdle model |
|
41 | Giulio Palomba |
1.3 |
2019-03-22 |
Diebold-Mariano test for predictive accuracy |
|
42 | F. Di Iorio and S. Fachin |
1.1 |
2017-02-20 |
panel no-cointegration tests with bootstrap p-values |
|
43 | Uriel Rodriguez Ramirez |
1.3 |
2015-07-15 |
double unit root |
|
44 | Riccardo "Jack" Lucchetti and Claudia Pigini |
1.3 |
2021-02-01 |
Dynamic Panel Binary models |
|
45 | Marcin Błażejowski |
1.06 |
2017-12-19 |
Dickey's Stationarity Test for High Frequency Data |
|
46 | Giuseppe Vittucci |
1.0 |
2017-03-25 |
Dumitrescu-Hurlin (2012) test: Granger causality for panel data |
|
47 | Allin Cottrell |
0.1 |
2017-07-21 |
diff-in-sargan exogeneity test |
|
48 | Yi-Nung Yang |
1.2 |
2019-10-29 |
Forecasting models |
|
49 | Riccardo "Jack" Lucchetti |
2.0 |
2021-02-21 |
Fixed-effects logit |
|
50 | Artur Tarassow and Sven Schreiber |
2.5 |
2020-10-09 |
Forecast Evaluation Package |
|
51 | Riccardo "Jack" Lucchetti |
1.1 |
2016-01-13 |
Fixed-Effects Poisson |
|
52 | Allin Cottrell |
0.5 |
2015-03-22 |
Statistics for fixed-effects estimates |
|
53 | Stefano Fachin and Riccardo "Jack" Lucchetti |
1.0 |
2017-03-22 |
Fully Modified Least Squares Estimation for I(1) variables |
|
54 | Sven Schreiber |
1.1 |
2017-12-10 |
Friedman (and Quade) nonparametric c-sample tests |
|
55 | Riccardo "Jack" Lucchetti |
1.0 |
2018-07-18 |
Stochastic Frontier Analysis |
|
56 | Artur Tarassow |
0.2 |
2021-03-22 |
Forward-stagewise boosted regression estimates |
|
57 | Joachim Reinhardt |
0.1 |
2017-12-05 |
generalized Hurst exponent estimation |
|
58 | Yi-Nung Yang |
0.70 |
2018-03-01 |
Download data from Quandl.com, a "data platform" |
|
59 | Ignacio Diaz-Emparanza |
1.3 |
2018-04-06 |
General seasonal unit roots tests (HEGY) and P-values |
|
60 | Allin Cottrell and Riccardo "Jack" Lucchetti |
1.0 |
2019-12-29 |
Multivariate spectra |
|
61 | Yi-Nung Yang |
1.21 |
2019-06-25 |
GJR-GARCH in Mean |
|
62 | Ignacio Diaz-Emparanza |
1.11 |
2021-03-17 |
A simple 2D pie chart |
|
63 | Oleh Komashko |
0.31 |
2017-09-27 |
Golfeld - Quandt heteroskedasticity test |
|
64 | Artur Tarassow |
0.61 |
2017-05-01 |
Residual-based tests for cointegration in models with regime shifts |
|
65 | Sven Schreiber |
1.0 |
2021-03-05 |
Hamilton cycle (filter) |
|
66 | Riccardo "Jack" Lucchetti |
1.4 |
2021-04-13 |
heatmap plots |
|
67 | Claudia Pigini |
0.2 |
2020-02-12 |
Probit model with sample selection |
|
68 | Yi-Nung Yang |
1.2 |
2017-11-06 |
Heterosckedasticity tests in Asteriou & Hall |
|
69 | Artur Tarassow |
0.3 |
2021-04-04 |
Retrieve list of holiday series |
|
70 | Ignacio Diaz-Emparanza |
1.0 |
2015-10-05 |
Holt's local linear trend |
|
71 | Riccardo "Jack" Lucchetti |
1.3 |
2020-11-11 |
Instrumental-variable Interval Regression |
|
72 | Andreas Noack Jensen and Sven Schreiber |
1.5 |
2021-02-27 |
Cointegration stability tests (Hansen & Johansen) |
|
73 | Sven Schreiber and Andreas Noack Jensen |
3.2 |
2020-08-14 |
Small-sample Johansen coint. rank tests (bootstrap and Bartlett) |
|
74 | Ricardo Ramírez & Daniel Ventosa-Santaulària |
2.0 |
2018-10-24 |
Kapetanios' (2005) unit root test (controls for breaks under Ha) |
|
75 | Riccardo "Jack" Lucchetti |
0.3 |
2021-03-17 |
kernel estimation of bivariate densities |
|
76 | Riccardo Jack Lucchetti |
1.1 |
2018-01-02 |
Kruskal-Wallis test |
|
77 | Oleh Komashko |
1.04 |
2018-03-20 |
regressions with lagged variables |
|
78 | Artur Tarassow |
0.22 |
2017-05-28 |
Write matrix as Latex table |
|
79 | Marcos Larios Santa Rosa |
0.3 |
2017-07-02 |
Levene's Test for Equality of Variances |
|
80 | Gerardo Sebastián Díaz Muro |
1.1 |
2021-01-02 |
Linear and nonlinear IRF estimation with local projections. |
|
81 | Allin Cottrell and Sven Schreiber |
1.2 |
2017-06-07 |
Lo-MacKinlay variance ratio test |
|
82 | Allin Cottrell |
1.0 |
2019-04-29 |
logit/probit marginal effects |
|
83 | Sven Schreiber and Riccardo Jack Lucchetti |
1.1 |
2020-09-27 |
Mann-Kendall nonparametric trend test |
|
84 | Oleh Komashko |
0.7 |
2021-02-21 |
marg. effects, elasticities, prediction in presence of functions of vars. |
|
85 | Artur Tarassow |
0.5 |
2019-12-18 |
Write matrix as dataset to some file (e.g. csv, gdt) |
|
86 | Peter M. Summers |
0.3 |
2019-07-11 |
Various Matlab/Octave compatibility functions for use in scripting |
|
87 | Allin Cottrell |
1.0 |
2021-03-26 |
Matrix multiplication performance test |
|
88 | Francesca Di Iorio and Riccardo "Jack" Lucchetti |
1.1 |
2021-03-19 |
Multidimensional Scaling |
|
89 | Artur Tarassow |
1.0 |
2020-06-03 |
Compute memory usage of gretl objects |
|
90 | Riccardo "Jack" Lucchetti and Artur Tarassow |
0.9 |
2020-12-18 |
Retrieve metadata from gdt files. |
|
91 | Riccardo "Jack" Lucchetti |
0.31 |
2019-04-29 |
Multivariate GARCH models |
|
92 | Daniel Ventosa-Santaulària |
1.1 |
2018-02-05 |
Lo's (1991) modified R/S test |
|
93 | Giuseppe Vittucci |
0.2 |
2011-09-04 |
Moran's I statistic of spatial autocorrelation |
|
94 | Sven Schreiber and Artur Tarassow |
0.2 |
2020-08-15 |
Combine multiple plots to a single graph |
|
95 | Yi-Nung Yang |
0.95 |
2018-08-30 |
Mann-Whitney U test with group dummy variable |
|
96 | Artur Tarassow |
0.7 |
2019-06-18 |
Simple forecasting methods |
|
97 | Riccardo "Jack" Lucchetti and Allin Cottrell |
1.0 |
2015-03-22 |
Computation of odds ratios for logit models |
|
98 | Allin Cottrell |
1.3 |
2018-12-29 |
Compute predictions from ordered probit, logit |
|
99 | Artur Tarassow |
0.6 |
2021-03-31 |
Scatterplot matrix with factor separation |
|
100 | Riccardo "Jack" Lucchetti |
1.0 |
2017-04-02 |
Basic statistics about gaps in panel datasets |
|
101 | Sven Schreiber |
0.2 |
2020-08-22 |
parallelized execution of a (matrices-returning) function |
|
102 | Sven Schreiber, Allin Cottrell, Artur Tarassow |
0.3 |
2021-03-10 |
Parallel execution of differing specifications |
|
103 | Riccardo "Jack" Lucchetti and Luca Pedini |
0.91 |
2020-11-13 |
Parallel BMA for GLMs |
|
104 | Artur Tarassow |
0.1 |
2021-01-21 |
Metrics on gfn package files and search for 'dead' code |
|
105 | Giuseppe Vittucci and Artur Tarassow |
1.7 |
2018-03-24 |
Moving Blocks Bootstrap (MBB) for linear panels |
|
106 | Riccardo "Jack" Lucchetti and Sven Schreiber |
1.0 |
2021-03-5 |
Pooled and mean group estimation (panel) |
|
107 | Oleh Komashko |
0.22 |
2017-02-13 |
marginal effects for poisson and negbin regression |
|
108 | Riccardo "Jack" Lucchetti |
1.0 |
2020-07-26 |
Phillips-Perron unit root test |
|
109 | Sven Schreiber |
1.0 |
2021-03-07 |
Permanent-transitory decompositions in I(1) systems, with estimation uncertainty |
|
110 | Riccardo Lucchetti and Sven Schreiber |
0.91 |
2021-02-12 |
Panel Tobit model with random effects |
|
111 | Sven Schreiber and Artur Tarassow |
1.2 |
2020-12-07 |
Ridge regression |
|
112 | Lee C. Adkins |
1.0 |
2019-01-18 |
RLS Stein-rule estimator |
|
113 | Oleh Komashko |
0.2 |
2017-02-10 |
robust RESET test as in Wooldridge |
|
114 | Peter M. Summers |
1.02 |
2017-10-5 |
Computation and analysis of receiver operating characteristic curves (ROC) for binary choice models. |
|
115 | Artur Tarassow |
0.9 |
2021-04-04 |
Compute moving-window statistics |
|
116 | F. Di Iorio, S. Fachin, A. Tarassow, Riccardo "Jack" Lucchetti |
1.3 |
2017-11-14 |
Stationary bootstrap resampling of time series |
|
117 | Ignacio Diaz-Emparanza |
1.1 |
2018-04-06 |
Seasonal filters |
|
118 | Artur Tarassow |
0.1 |
2020-08-17 |
Plot seasonal time-series components |
|
119 | Sven Schreiber |
0.1 |
2020-05-26 |
Calculate and add new series to dataset via the GUI |
|
120 | Federico Lampis & Ignacio Díaz-Emparanza |
1.4 |
2020-09-23 |
Estimation of a SETAR model |
|
121 | Ernesto Rivera y María José Arteaga |
1.1 |
2019-05-23 |
Shapley based R-Squared decomposition |
|
122 | Allin Cottrell |
1.4 |
2021-03-26 |
OLS showing standardized coefficients |
|
123 | Riccardo "Jack" Lucchetti |
1.01 |
2017-04-06 |
Sparse matrix functions |
|
124 | Chiara Casoli, Luca Pedini and Francesco Valentini |
0.1 |
2019-12-20 |
Spatial Regression Models |
|
125 | Artur Tarassow |
1.0 |
2021-03-12 |
Stack and unstack data |
|
126 | Riccardo "Jack" Lucchetti and Sven Schreiber |
0.6 |
2020-12-14 |
static factor analysis |
|
127 | Artur Tarassow |
0.4 |
2021-01-27 |
Helper functions for string operations |
|
128 | Riccardo "Jack" Lucchetti and Sven Schreiber |
0.9 |
2020-10-31 |
Autodetection of structural breaks in linear models, Bai-Perron style |
|
129 | Riccardo "Jack" Lucchetti and Sven Schreiber |
0.6 |
2020-12-24 |
Harvey-style Structural Time Series Models |
|
130 | Yi-Nung Yang |
1.4 |
2018-04-26 |
summary of Z categorized by two discrete series x and y |
|
131 | Allin Cottrell |
0.2 |
2015-03-23 |
SUR-based ADF-type test for multiple time series |
|
132 | Sven Schreiber |
0.3 |
2020-02-18 |
GUI for SVECs |
|
133 | Artur Tarassow |
2.0 |
2021-03-11 |
Panel threshold model of Hansen (JoE, 1999) |
|
134 | Oleh Komashko |
0.43 |
2018-02-12 |
Tobit model with multiplicative heteroskedasticity |
|
135 | Oleh Komashko |
0.3 |
2016-10-20 |
marginal effects after tobit and censored regression |
|
136 | Allin Cottrell |
0.3 |
2017-11-16 |
Tobit dependent variable prediction |
|
137 | Artur Tarassow |
0.2 |
2016-01-24 |
Time-Series Cross-Validation |
|
138 | Oleh Komashko |
0.52 |
2018-03-18 |
time series forecasting and non-smooth optimization |
|
139 | Sven Schreiber |
1.0 |
2017-07-27 |
Extensions for univariate forecast models |
|
140 | Artur Tarassow |
0.24 |
2017-02-27 |
Recursive computation of VAR model coefficient estimates |
|
141 | Artur Tarassow |
0.82 |
2017-10-26 |
Chow test for VAR models (bootstrap version) |
|
142 | Andreas Noack Jensen |
0.2 |
2018-05-21 |
Tools for I2 analysis |
|
143 | Daniel Ventosa-Santaulària |
1.3 |
2018-10-25 |
Tests for a drift (and a shift) in a unit-root process |
|
144 | Oleh Komashko |
1.1 |
2018-10-25 |
Wald test for (non)linear restrictions and conf. intervals |
|
145 | Ignacio Diaz-Emparanza |
1.1 |
2015-11-05 |
Smoothing and forecasting method for seasonal time series |
|
146 | Giuseppe Vittucci Marzetti and Artur Tarassow |
2.1 |
2019-09-02 |
Wooldridge's test for serial correlation of residuals in panel model |
|
147 | Riccardo "Jack" Lucchetti |
1.0 |
2018-06-08 |
weighted frequencies and contingency tables |
|
148 | Riccardo "Jack" Lucchetti |
3.2 |
2021-03-17 |
Downloader of daily financial data from Yahoo |