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.

Shown below are contributed function packages; in addition there are several official addons available for gretl.

Name Author Version Date Description
1

addlist.gfn

Allin Cottrell

2.0

2020-08-15

Sequential addition of variables to a model

2

ADFGLSTest.gfn

Oleh Komashko

0.1

2020-11-15

ADF-GLS test with interpolated p-values

3

ADMBP.zip [doc]

Artur Tarassow

1.0

2021-04-08

ARDL Dynamic Multiplier Bootstrap Package

4

almonreg.zip [doc]

Allin Cottrell

0.4

2015-02-09

PDL (Almon lag) model

5

arima_sim.gfn

Oleh Komashko

0.23

2018-11-12

simulation of arima(p, d, q; P, D, Q) trajectories

6

armax.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.

7

ARMA_IRF.gfn

Riccardo "Jack" Lucchetti

1.0

2020-04-27

IRF for univariate ARMA models

8

ARprobit.zip [doc]

Sven Schreiber

0.7

2021-02-21

Dynamic Probit (univariate/AR, Kauppi&Saikkonen)

9

assertion.gfn

Artur Tarassow

1.0

2020-08-22

Assert functions for verifying expectations and values in gretl tests

10

auto_arima.gfn

Artur Tarassow

0.7

2020-09-03

Return best ARIMA model according to information criteria value

11

a_eff.gfn

Oleh Komashko

0.9

2020-11-15

advanced treatment of marginal effects and elasticities

12

BACE.zip [doc]

Marcin Błażejowski, Jacek Kwiatkowski

1.1

2018-08-31

This package provides BACE (Bayesian Averaging of Classical Estimates) procedure.

13

bandplot.gfn

Allin Cottrell

0.3

2015-07-11

Confidence band plot

14

bartlett.gfn

Marcos Larios Santa Rosa

0.3

2017-07-02

Bartlett's test for Homogeneity of Variance

15

BMA.zip [doc]

Marcin Błażejowski, Jacek Kwiatkowski

2.01

2017-06-29

Bayesian Model Averaging for the linear regression models with jointness measures

16

BMST.gfn

Artur Tarassow

2.1

2021-02-03

Binary (logit + probit) model specification tests

17

BNdecomp.gfn

Riccardo "Jack" Lucchetti

2.0

2015-03-03

Beveridge-Nelson Decomposition

18

BoxCoxFuncForm.gfn

Sven Schreiber and Jürgen Malitte

0.3

2018-10-16

Best-fitting functional form

19

Box_Cox_Value.gfn

Pedro Isaac Chávez López

1.01

2014-05-13

Obtain the lambda value of a Box-Cox Transformation

20

BreitungCandelonTest.gfn

Sven Schreiber

2.6

2021-01-19

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

21

Brown.gfn

Ignacio Diaz-Emparanza

1.5

2015-02-18

Brown linear and quadratic trend models

22

buys_ballot.gfn

Ignacio Diaz-Emparanza, Riccardo

2.0

2018-02-15

Plots for seasonal time series

23

calendar_utils.gfn

Artur Tarassow

0.2

2020-10-16

Collection of useful date time related tools

24

Canova_Hansen.zip [doc]

Ignacio Diaz-Emparanza, Mª Paz Moral

1.21

2018-03-21

Seasonal stability tests

25

carr.gfn

Yi-Nung Yang

0.8

2017-10-07

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

26

CategoryEncoders.gfn

Artur Tarassow

0.4

2021-04-03

Encoder based on categorical variables

27

cffilt.zip [doc]

Riccardo Jack Lucchetti

2.0

2021-01-08

Christiano-Fitzgerald asymmetric filter

28

cointARDL.zip [doc]

Artur Tarassow

0.8

2021-04-09

Bootstrap single-eq. cointegration tests

29

cointpanel.gfn

Sven Schreiber

0.1

2019-05-27

Panel cointegration tests (Kao)

30

color_xy.gfn

Riccardo "Jack" Lucchetti

1.1

2021-03-26

color xy plot for time series

31

CommonTrendsTest.gfn

Sven Schreiber

0.9

2019-03-01

Multivariate test for common stochastic trends

32

corresp.gfn

Riccardo "Jack" Lucchetti

0.32

2017-06-20

Simple Correspondence Analysis

33

CSDpanel.zip [doc]

Sven Schreiber and Jörg Breitung

0.2

2020-07-04

cross-section dependence in panels (test/estimate)

34

CUB.zip [doc]

Francesca Di Iorio, Rosaria Simone and Riccardo "Jack" Lucchetti

1.2

2021-03-25

Uniform-Binomial mixture model for ordinal data

35

CvDataSplitter.gfn

Artur Tarassow

0.1

2019-03-31

Compile cross-validation datasets

36

dcm.zip [doc]

Oleh Komashko and Riccardo "Jack" Lucchetti

0.9

2019-04-18

Discrete choice models

37

delayspectral.gfn

Sven Schreiber

1.0

2019-03-23

Calculates signal delays in frequency domain and their uncertainty

38

DFM.zip [doc]

Ioannis A. Venetis and Riccardo "Jack" Lucchetti

0.43

2019-11-21

Dynamic Factor Models

39

DHF_test.gfn

Marcin Blazejowski

1.041

2015-11-03

Dickey-Hasza-Fuller Seasonal Unit Root Test

40

dhurdle.zip [doc]

Riccardo "Jack" Lucchetti

1.3

2016-01-26

Double-hurdle model

41

DiebMar.gfn

Giulio Palomba

1.3

2019-03-22

Diebold-Mariano test for predictive accuracy

42

DIF_panelcoint.zip [doc]

F. Di Iorio and S. Fachin

1.1

2017-02-20

panel no-cointegration tests with bootstrap p-values

43

DP.gfn

Uriel Rodriguez Ramirez

1.3

2015-07-15

double unit root

44

DPB.zip [doc]

Riccardo "Jack" Lucchetti and Claudia Pigini

1.3

2021-02-01

Dynamic Panel Binary models

45

DST_test.zip [doc]

Marcin Błażejowski

1.06

2017-12-19

Dickey's Stationarity Test for High Frequency Data

46

dumitrescu_hurlin_test.gfn

Giuseppe Vittucci

1.0

2017-03-25

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

47

exogtest.zip [doc]

Allin Cottrell

0.1

2017-07-21

diff-in-sargan exogeneity test

48

fcModels.gfn

Yi-Nung Yang

1.2

2019-10-29

Forecasting models

49

felogit.gfn

Riccardo "Jack" Lucchetti

2.0

2021-02-21

Fixed-effects logit

50

FEP.zip [doc]

Artur Tarassow and Sven Schreiber

2.5

2020-10-09

Forecast Evaluation Package

51

FEPoisson.gfn

Riccardo "Jack" Lucchetti

1.1

2016-01-13

Fixed-Effects Poisson

52

fe_stats.gfn

Allin Cottrell

0.5

2015-03-22

Statistics for fixed-effects estimates

53

FMOLS.gfn

Stefano Fachin and Riccardo "Jack" Lucchetti

1.0

2017-03-22

Fully Modified Least Squares Estimation for I(1) variables

54

Friedman.gfn

Sven Schreiber

1.1

2017-12-10

Friedman (and Quade) nonparametric c-sample tests

55

frontier.zip [doc]

Riccardo "Jack" Lucchetti

1.0

2018-07-18

Stochastic Frontier Analysis

56

fsboost.zip [doc]

Artur Tarassow

0.2

2021-03-22

Forward-stagewise boosted regression estimates

57

gen_hurst.gfn

Joachim Reinhardt

0.1

2017-12-05

generalized Hurst exponent estimation

58

getQuandl.gfn

Yi-Nung Yang

0.70

2018-03-01

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

59

GHegy.zip [doc]

Ignacio Diaz-Emparanza

1.3

2018-04-06

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

60

ghosts.zip [doc]

Allin Cottrell and Riccardo "Jack" Lucchetti

1.0

2019-12-29

Multivariate spectra

61

GJR-garchm.gfn

Yi-Nung Yang

1.21

2019-06-25

GJR-GARCH in Mean

62

gnuplot_piechart.gfn

Ignacio Diaz-Emparanza

1.11

2021-03-17

A simple 2D pie chart

63

gqtest.gfn

Oleh Komashko

0.31

2017-09-27

Golfeld - Quandt heteroskedasticity test

64

gregory_hansen.zip [doc]

Artur Tarassow

0.61

2017-05-01

Residual-based tests for cointegration in models with regime shifts

65

hamilcycle.gfn

Sven Schreiber

1.0

2021-03-05

Hamilton cycle (filter)

66

heatmap.zip [doc]

Riccardo "Jack" Lucchetti

1.4

2021-04-13

heatmap plots

67

heckprobit.gfn

Claudia Pigini

0.2

2020-02-12

Probit model with sample selection

68

hetero.gfn

Yi-Nung Yang

1.2

2017-11-06

Heterosckedasticity tests in Asteriou & Hall

69

holidays.gfn

Artur Tarassow

0.3

2021-04-04

Retrieve list of holiday series

70

Holt.zip [doc]

Ignacio Diaz-Emparanza

1.0

2015-10-05

Holt's local linear trend

71

ivintreg.gfn

Riccardo "Jack" Lucchetti

1.3

2020-11-11

Instrumental-variable Interval Regression

72

johansenrec.gfn

Andreas Noack Jensen and Sven Schreiber

1.5

2021-02-27

Cointegration stability tests (Hansen & Johansen)

73

johansensmall.zip [doc]

Sven Schreiber and Andreas Noack Jensen

3.2

2020-08-14

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

74

Kapetanios.gfn

Ricardo Ramírez & Daniel Ventosa-Santaulària

2.0

2018-10-24

Kapetanios' (2005) unit root test (controls for breaks under Ha)

75

kddensity.gfn

Riccardo "Jack" Lucchetti

0.3

2021-03-17

kernel estimation of bivariate densities

76

KruskalWallis.gfn

Riccardo Jack Lucchetti

1.1

2018-01-02

Kruskal-Wallis test

77

lagreg.zip [doc]

Oleh Komashko

1.04

2018-03-20

regressions with lagged variables

78

latextab.gfn

Artur Tarassow

0.22

2017-05-28

Write matrix as Latex table

79

levene.gfn

Marcos Larios Santa Rosa

0.3

2017-07-02

Levene's Test for Equality of Variances

80

LocalProjection.zip [doc]

Gerardo Sebastián Díaz Muro

1.1

2021-01-02

Linear and nonlinear IRF estimation with local projections.

81

lomackinlay.gfn

Allin Cottrell and Sven Schreiber

1.2

2017-06-07

Lo-MacKinlay variance ratio test

82

lp-mfx.zip [doc]

Allin Cottrell

1.0

2019-04-29

logit/probit marginal effects

83

MannKendall.gfn

Sven Schreiber and Riccardo Jack Lucchetti

1.1

2020-09-27

Mann-Kendall nonparametric trend test

84

margeff_el.gfn

Oleh Komashko

0.7

2021-02-21

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

85

mat2data.gfn

Artur Tarassow

0.5

2019-12-18

Write matrix as dataset to some file (e.g. csv, gdt)

86

matlab_utilities.zip [doc]

Peter M. Summers

0.3

2019-07-11

Various Matlab/Octave compatibility functions for use in scripting

87

matrix_perf.gfn

Allin Cottrell

1.0

2021-03-26

Matrix multiplication performance test

88

MDS.gfn

Francesca Di Iorio and Riccardo "Jack" Lucchetti

1.1

2021-03-19

Multidimensional Scaling

89

memusage.gfn

Artur Tarassow

1.0

2020-06-03

Compute memory usage of gretl objects

90

metadata.gfn

Riccardo "Jack" Lucchetti and Artur Tarassow

0.9

2020-12-18

Retrieve metadata from gdt files.

91

MGARCH.zip [doc]

Riccardo "Jack" Lucchetti

0.31

2019-04-29

Multivariate GARCH models

92

ModRS_test.gfn

Daniel Ventosa-Santaulària

1.1

2018-02-05

Lo's (1991) modified R/S test

93

moran.gfn

Giuseppe Vittucci

0.2

2011-09-04

Moran's I statistic of spatial autocorrelation

94

multiplot.gfn

Sven Schreiber and Artur Tarassow

0.2

2020-08-15

Combine multiple plots to a single graph

95

mwu.gfn

Yi-Nung Yang

0.95

2018-08-30

Mann-Whitney U test with group dummy variable

96

naiveFC.zip [doc]

Artur Tarassow

0.7

2019-06-18

Simple forecasting methods

97

oddsratios.zip [doc]

Riccardo "Jack" Lucchetti and Allin Cottrell

1.0

2015-03-22

Computation of odds ratios for logit models

98

oprobit_predict.zip [doc]

Allin Cottrell

1.3

2018-12-29

Compute predictions from ordered probit, logit

99

PairPlot.zip [doc]

Artur Tarassow

0.6

2021-03-31

Scatterplot matrix with factor separation

100

paneldesc.gfn

Riccardo "Jack" Lucchetti

1.0

2017-04-02

Basic statistics about gaps in panel datasets

101

parallel_func.gfn

Sven Schreiber

0.2

2020-08-22

parallelized execution of a (matrices-returning) function

102

parallel_specs.gfn

Sven Schreiber, Allin Cottrell, Artur Tarassow

0.3

2021-03-10

Parallel execution of differing specifications

103

ParMA.zip [doc]

Riccardo "Jack" Lucchetti and Luca Pedini

0.91

2020-11-13

Parallel BMA for GLMs

104

pkgchecker.gfn

Artur Tarassow

0.1

2021-01-21

Metrics on gfn package files and search for 'dead' code

105

pmbb.gfn

Giuseppe Vittucci and Artur Tarassow

1.7

2018-03-24

Moving Blocks Bootstrap (MBB) for linear panels

106

PMG.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

1.0

2021-03-5

Pooled and mean group estimation (panel)

107

poisson_mfx.gfn

Oleh Komashko

0.22

2017-02-13

marginal effects for poisson and negbin regression

108

PPtest.gfn

Riccardo "Jack" Lucchetti

1.0

2020-07-26

Phillips-Perron unit root test

109

PTconf.zip [doc]

Sven Schreiber

1.0

2021-03-07

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

110

retobit.gfn

Riccardo Lucchetti and Sven Schreiber

0.91

2021-02-12

Panel Tobit model with random effects

111

ridge.gfn

Sven Schreiber and Artur Tarassow

1.2

2020-12-07

Ridge regression

112

RLSStein.zip [doc]

Lee C. Adkins

1.0

2019-01-18

RLS Stein-rule estimator

113

robust_RESET.gfn

Oleh Komashko

0.2

2017-02-10

robust RESET test as in Wooldridge

114

roc.zip [doc]

Peter M. Summers

1.02

2017-10-5

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

115

RollingStats.gfn

Artur Tarassow

0.9

2021-04-04

Compute moving-window statistics

116

SB.gfn

F. Di Iorio, S. Fachin, A. Tarassow, Riccardo "Jack" Lucchetti

1.3

2017-11-14

Stationary bootstrap resampling of time series

117

seasfSTB.gfn

Ignacio Diaz-Emparanza

1.1

2018-04-06

Seasonal filters

118

season_plot.gfn

Artur Tarassow

0.1

2020-08-17

Plot seasonal time-series components

119

series_calculator.gfn

Sven Schreiber

0.1

2020-05-26

Calculate and add new series to dataset via the GUI

120

SETAR.gfn

Federico Lampis & Ignacio Díaz-Emparanza

1.4

2020-09-23

Estimation of a SETAR model

121

ShapleyCont.gfn

Ernesto Rivera y María José Arteaga

1.1

2019-05-23

Shapley based R-Squared decomposition

122

sols.gfn

Allin Cottrell

1.4

2021-03-26

OLS showing standardized coefficients

123

sparse.gfn

Riccardo "Jack" Lucchetti

1.01

2017-04-06

Sparse matrix functions

124

spm.zip [doc]

Chiara Casoli, Luca Pedini and Francesco Valentini

0.1

2019-12-20

Spatial Regression Models

125

stack_data.zip [doc]

Artur Tarassow

1.0

2021-03-12

Stack and unstack data

126

staticfactor.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.6

2020-12-14

static factor analysis

127

string_utils.gfn

Artur Tarassow

0.4

2021-01-27

Helper functions for string operations

128

StrucBreak.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.9

2020-10-31

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

129

StrucTiSM.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.6

2020-12-24

Harvey-style Structural Time Series Models

130

summary_xy.gfn

Yi-Nung Yang

1.4

2018-04-26

summary of Z categorized by two discrete series x and y

131

suradf.gfn

Allin Cottrell

0.2

2015-03-23

SUR-based ADF-type test for multiple time series

132

SVEC_GUI.gfn

Sven Schreiber

0.3

2020-02-18

GUI for SVECs

133

Threshold_Panel.zip [doc]

Artur Tarassow

2.0

2021-03-11

Panel threshold model of Hansen (JoE, 1999)

134

tobithetm.gfn

Oleh Komashko

0.43

2018-02-12

Tobit model with multiplicative heteroskedasticity

135

tobit_mfx.gfn

Oleh Komashko

0.3

2016-10-20

marginal effects after tobit and censored regression

136

tobit_y.gfn

Allin Cottrell

0.3

2017-11-16

Tobit dependent variable prediction

137

TsCrossValidation.gfn

Artur Tarassow

0.2

2016-01-24

Time-Series Cross-Validation

138

tsfcst.gfn

Oleh Komashko

0.52

2018-03-18

time series forecasting and non-smooth optimization

139

uniFCextensions.gfn

Sven Schreiber

1.0

2017-07-27

Extensions for univariate forecast models

140

VARrec.gfn

Artur Tarassow

0.24

2017-02-27

Recursive computation of VAR model coefficient estimates

141

var_chow.gfn

Artur Tarassow

0.82

2017-10-26

Chow test for VAR models (bootstrap version)

142

vecmI2.gfn

Andreas Noack Jensen

0.2

2018-05-21

Tools for I2 analysis

143

VSG_test.gfn

Daniel Ventosa-Santaulària

1.3

2018-10-25

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

144

waldTest.gfn

Oleh Komashko

1.1

2018-10-25

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

145

Winters.zip [doc]

Ignacio Diaz-Emparanza

1.1

2015-11-05

Smoothing and forecasting method for seasonal time series

146

wooldridge_test_serial.gfn

Giuseppe Vittucci Marzetti and Artur Tarassow

2.1

2019-09-02

Wooldridge's test for serial correlation of residuals in panel model

147

wstats.gfn

Riccardo "Jack" Lucchetti

1.0

2018-06-08

weighted frequencies and contingency tables

148

yahoo_get.gfn

Riccardo "Jack" Lucchetti

3.2

2021-03-17

Downloader of daily financial data from Yahoo