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

1.3

2018-12-04

Sequential addition of variables to a model

2

ADFGLSTest.gfn

Oleh Komashko

0.055

2015-04-12

ADF-GLS test with interpolated p-values

3

ADMBP.zip [doc]

Artur Tarassow

0.96

2018-05-03

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

assertion.gfn

Artur Tarassow

0.5

2020-01-06

Assert functions for verifying expectations and values in gretl tests

8

a_eff.gfn

Oleh Komashko

0.82

2018-10-28

advanced treatment of marginal effects and elasticities

9

BACE.zip [doc]

Marcin Błażejowski, Jacek Kwiatkowski

1.1

2018-08-31

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

10

bandplot.gfn

Allin Cottrell

0.3

2015-07-11

Confidence band plot

11

bartlett.gfn

Marcos Larios Santa Rosa

0.3

2017-07-02

Bartlett's test for Homogeneity of Variance

12

BMA.zip [doc]

Marcin Błażejowski, Jacek Kwiatkowski

2.01

2017-06-29

Bayesian Model Averaging for the linear regression models with jointness measures

13

BMST.gfn

Artur Tarassow

1.0

2016-11-04

Logit + Probit model specifcation tests package

14

BNdecomp.gfn

Riccardo "Jack" Lucchetti

2.0

2015-03-03

Beveridge-Nelson Decomposition

15

BoxCoxFuncForm.gfn

Sven Schreiber and Jürgen Malitte

0.3

2018-10-16

Best-fitting functional form

16

Box_Cox_Value.gfn

Pedro Isaac Chávez López

1.01

2014-05-13

Obtain the lambda value of a Box-Cox Transformation

17

BreitungCandelonTest.gfn

Sven Schreiber

2.5

2018-05-29

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

18

Brown.gfn

Ignacio Diaz-Emparanza

1.5

2015-02-18

Brown linear and quadratic trend models

19

buys_ballot.gfn

Ignacio Diaz-Emparanza, Riccardo

2.0

2018-02-15

Plots for seasonal time series

20

Canova_Hansen.zip [doc]

Ignacio Diaz-Emparanza, Mª Paz Moral

1.21

2018-03-21

Seasonal stability tests

21

carr.gfn

Yi-Nung Yang

0.8

2017-10-07

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

22

CategoryEncoders.gfn

Artur Tarassow

0.31

2020-01-12

Encoder based on categorical variables

23

cffilt.gfn

Riccardo Jack Lucchetti

1.01

2017-12-02

Christiano-Fitzgerald asymmetric filter

24

cmatrix.zip [doc]

Riccardo "Jack" Lucchetti and Allin Cottrell

1.0

2018-12-23

support for complex matrices

25

coint2rec.gfn

Andreas Noack Jensen and Sven Schreiber

1.3

2019-02-27

Cointegration stability tests (Hansen & Johansen)

26

cointARDL.zip [doc]

Artur Tarassow

0.7

2018-12-26

Bootstrap single-eq. cointegration tests

27

cointpanel.gfn

Sven Schreiber

0.1

2019-05-27

Panel cointegration tests (Kao)

28

color_xy.gfn

Riccardo "Jack" Lucchetti

1.0

2019-04-30

color xy plot for time series

29

CommonTrendsTest.gfn

Sven Schreiber

0.9

2019-03-01

Multivariate test for common stochastic trends

30

corresp.gfn

Riccardo "Jack" Lucchetti

0.32

2017-06-20

Simple Correspondence Analysis

31

CSDpanel.zip [doc]

Sven Schreiber and Jörg Breitung

0.1

2018-05-01

cross-section dependence in panels (test/estimate)

32

CUB.zip [doc]

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

1.0

2019-11-04

Uniform-Binomial mixture model for ordinal data

33

CvDataSplitter.gfn

Artur Tarassow

0.1

2019-03-31

Compile cross-validation datasets

34

dcm.zip [doc]

Oleh Komashko and Riccardo "Jack" Lucchetti

0.9

2019-04-18

Discrete choice models

35

delayspectral.gfn

Sven Schreiber

1.0

2019-03-23

Calculates signal delays in frequency domain and their uncertainty

36

DFM.zip [doc]

Ioannis A. Venetis and Riccardo "Jack" Lucchetti

0.43

2019-11-21

Dynamic Factor Models

37

DHF_test.gfn

Marcin Blazejowski

1.041

2015-11-03

Dickey-Hasza-Fuller Seasonal Unit Root Test

38

dhurdle.zip [doc]

Riccardo "Jack" Lucchetti

1.3

2016-01-26

Double-hurdle model

39

DiebMar.gfn

Giulio Palomba

1.3

2019-03-22

Diebold-Mariano test for predictive accuracy

40

DIF_panelcoint.zip [doc]

F. Di Iorio and S. Fachin

1.1

2017-02-20

panel no-cointegration tests with bootstrap p-values

41

DP.gfn

Uriel Rodriguez Ramirez

1.3

2015-07-15

double unit root

42

DPB.zip [doc]

Riccardo "Jack" Lucchetti and Claudia Pigini

1.22

2019-03-22

Dynamic Panel Binary models

43

DST_test.zip [doc]

Marcin Błażejowski

1.06

2017-12-19

Dickey's Stationarity Test for High Frequency Data

44

dumitrescu_hurlin_test.gfn

Giuseppe Vittucci

1.0

2017-03-25

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

45

exogtest.zip [doc]

Allin Cottrell

0.1

2017-07-21

diff-in-sargan exogeneity test

46

fcModels.gfn

Yi-Nung Yang

1.2

2019-10-29

Forecasting models

47

felogit.gfn

Riccardo "Jack" Lucchetti

1.8

2019-06-11

Fixed-effects logit

48

FEP.zip [doc]

Artur Tarassow and Sven Schreiber

2.4

2019-12-03

Forecast Evaluation Package

49

FEPoisson.gfn

Riccardo "Jack" Lucchetti

1.1

2016-01-13

Fixed-Effects Poisson

50

fe_stats.gfn

Allin Cottrell

0.5

2015-03-22

Statistics for fixed-effects estimates

51

FMOLS.gfn

Stefano Fachin and Riccardo "Jack" Lucchetti

1.0

2017-03-22

Fully Modified Least Squares Estimation for I(1) variables

52

Friedman.gfn

Sven Schreiber

1.1

2017-12-10

Friedman (and Quade) nonparametric c-sample tests

53

frontier.zip [doc]

Riccardo "Jack" Lucchetti

1.0

2018-07-18

Stochastic Frontier Analysis

54

gen_hurst.gfn

Joachim Reinhardt

0.1

2017-12-05

generalized Hurst exponent estimation

55

getQuandl.gfn

Yi-Nung Yang

0.70

2018-03-01

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

56

GHegy.zip [doc]

Ignacio Diaz-Emparanza

1.3

2018-04-06

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

57

ghosts.zip [doc]

Allin Cottrell and Riccardo "Jack" Lucchetti

1.0

2019-12-29

Multivariate spectra

58

GJR-garchm.gfn

Yi-Nung Yang

1.21

2019-06-25

GJR-GARCH in Mean

59

gnuplot_piechart.gfn

Ignacio Diaz-Emparanza

1.0

2014-10-23

A simple 2D pie chart

60

gqtest.gfn

Oleh Komashko

0.31

2017-09-27

Golfeld - Quandt heteroskedasticity test

61

gregory_hansen.zip [doc]

Artur Tarassow

0.61

2017-05-01

Residual-based tests for cointegration in models with regime shifts

62

heckprobit.gfn

Claudia Pigini

0.1

2015-05-12

Probit model with sample selection

63

hetero.gfn

Yi-Nung Yang

1.2

2017-11-06

Heterosckedasticity tests in Asteriou & Hall

64

Holt.zip [doc]

Ignacio Diaz-Emparanza

1.0

2015-10-05

Holt's local linear trend

65

ivintreg.gfn

Riccardo "Jack" Lucchetti

1.2

2017-12-19

Instrumental-variable Interval Regression

66

johansensmall.zip [doc]

Sven Schreiber and Andreas Noack Jensen

3.1

2019-12-30

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

67

Kapetanios.gfn

Ricardo Ramírez & Daniel Ventosa-Santaulària

2.0

2018-10-24

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

68

kddensity.gfn

Riccardo "Jack" Lucchetti

0.2

2017-11-29

kernel estimation of bivariate densities

69

KruskalWallis.gfn

Riccardo Jack Lucchetti

1.1

2018-01-02

Kruskal-Wallis test

70

lagreg.zip [doc]

Oleh Komashko

1.04

2018-03-20

regressions with lagged variables

71

latextab.gfn

Artur Tarassow

0.22

2017-05-28

Write matrix as Latex table

72

levene.gfn

Marcos Larios Santa Rosa

0.3

2017-07-02

Levene's Test for Equality of Variances

73

lomackinlay.gfn

Allin Cottrell and Sven Schreiber

1.2

2017-06-07

Lo-MacKinlay variance ratio test

74

lp-mfx.zip [doc]

Allin Cottrell

1.0

2019-04-29

logit/probit marginal effects

75

MannKendall.gfn

Sven Schreiber and Riccardo Jack Lucchetti

1.0

2017-06-08

Mann-Kendall nonparametric trend test

76

margeff_el.gfn

Oleh Komashko

0.6

2017-02-13

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

77

mat2data.gfn

Artur Tarassow

0.5

2019-12-18

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

78

matlab_utilities.zip [doc]

Peter M. Summers

0.3

2019-07-11

Various Matlab/Octave compatibility functions for use in scripting

79

matrix_perf.gfn

Allin Cottrell

0.4

2014-06-17

Matrix multiplication performance test

80

MDS.gfn

Francesca Di Iorio and Riccardo "Jack" Lucchetti

1.0

2017-04-21

Multidimensional Scaling

81

MGARCH.zip [doc]

Riccardo "Jack" Lucchetti

0.31

2019-04-29

Multivariate GARCH models

82

ModRS_test.gfn

Daniel Ventosa-Santaulària

1.1

2018-02-05

Lo's (1991) modified R/S test

83

moran.gfn

Giuseppe Vittucci

0.2

2011-09-04

Moran's I statistic of spatial autocorrelation

84

mwu.gfn

Yi-Nung Yang

0.95

2018-08-30

Mann-Whitney U test with group dummy variable

85

naiveFC.zip [doc]

Artur Tarassow

0.7

2019-06-18

Simple forecasting methods

86

oddsratios.zip [doc]

Riccardo "Jack" Lucchetti and Allin Cottrell

1.0

2015-03-22

Computation of odds ratios for logit models

87

oprobit_predict.zip [doc]

Allin Cottrell

1.3

2018-12-29

Compute predictions from ordered probit, logit

88

PairPlot.zip [doc]

Artur Tarassow

0.5

2019-10-07

Scatterplot matrix with factor separation

89

paneldesc.gfn

Riccardo "Jack" Lucchetti

1.0

2017-04-02

Basic statistics about gaps in panel datasets

90

parallel_specs.gfn

Sven Schreiber and Allin Cottrell

0.1

2018-06-22

Parallel execution of differing specifications

91

plot_scatter_label.gfn

Artur Tarassow

0.11

2017-02-20

Add labels to scatter plot

92

plot_ts_y2axis.gfn

Artur Tarassow

0.1

2015-09-21

Single scatter plot with 2 y-axis + with lines

93

pmbb.gfn

Giuseppe Vittucci and Artur Tarassow

1.7

2018-03-24

Moving Blocks Bootstrap (MBB) for linear panels

94

PMG.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.1

2019-04-29

Pooled mean group estimation (panel)

95

poisson_mfx.gfn

Oleh Komashko

0.22

2017-02-13

marginal effects for poisson and negbin regression

96

PPtest.gfn

Riccardo "Jack" Lucchetti

0.1

2012-08-23

Phillips-Perron test

97

PTconf.zip [doc]

Sven-Schreiber

0.92

2016-10-03

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

98

ridge.gfn

Sven Schreiber and Artur Tarassow

1.11

2020-01-12

Ridge regression

99

RLSStein.zip [doc]

Lee C. Adkins

1.0

2019-01-18

RLS Stein-rule estimator

100

robust_RESET.gfn

Oleh Komashko

0.2

2017-02-10

robust RESET test as in Wooldridge

101

roc.zip [doc]

Peter M. Summers

1.02

2017-10-5

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

102

RollingStats.gfn

Artur Tarassow

0.2

2019-01-11

Rolling Time-Series Statistics

103

SB.gfn

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

1.3

2017-11-14

Stationary bootstrap resampling of time series

104

seasfSTB.gfn

Ignacio Diaz-Emparanza

1.1

2018-04-06

Seasonal filters

105

SETAR.gfn

Federico Lampis & Ignacio Díaz-Emparanza

1.3

2019-01-02

Estimation of a SETAR model

106

sfa_mod.gfn

Gordon Hughes

0.92

2017-12-15

Estimation of stochastic frontier models with no heteroskedasticity

107

ShapleyCont.gfn

Ernesto Rivera y María José Arteaga

1.1

2019-05-23

Shapley based R-Squared decomposition

108

sols.gfn

Allin Cottrell

1.4

2014-01-26

OLS showing standardized coefficients

109

sparse.gfn

Riccardo "Jack" Lucchetti

1.01

2017-04-06

Sparse matrix functions

110

spm.zip [doc]

Chiara Casoli, Luca Pedini and Francesco Valentini

0.1

2019-12-20

Spatial Regression Models

111

staticfactor.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.2

2018-05-31

static factor analysis

112

string_utils.gfn

Artur Tarassow

0.1

2019-12-17

Helper functions for string operations

113

StrucBreak.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.21

2018-01-09

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

114

StrucTiSM.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.52

2020-01-08

Harvey-style Structural Time Series Models

115

summary_xy.gfn

Yi-Nung Yang

1.4

2018-04-26

summary of Z categorized by two discrete series x and y

116

suradf.gfn

Allin Cottrell

0.2

2015-03-23

SUR-based ADF-type test for multiple time series

117

SVEC_GUI.gfn

Sven Schreiber

0.2

2019-04-18

GUI for SVECs

118

Threshold_Panel.zip [doc]

Artur Tarassow

1.1

2018-06-10

Panel threshold model (Hansen, JoE 1999)

119

tobithetm.gfn

Oleh Komashko

0.43

2018-02-12

Tobit model with multiplicative heteroskedasticity

120

tobit_mfx.gfn

Oleh Komashko

0.3

2016-10-20

marginal effects after tobit and censored regression

121

tobit_y.gfn

Allin Cottrell

0.3

2017-11-16

Tobit dependent variable prediction

122

tramolin.gfn

Ignacio Diaz-Emparanza

1.14

2019-04-09

Outlier detection/correction and missing data interpolation

123

TsCrossValidation.gfn

Artur Tarassow

0.2

2016-01-24

Time-Series Cross-Validation

124

tsfcst.gfn

Oleh Komashko

0.52

2018-03-18

time series forecasting and non-smooth optimization

125

uniFCextensions.gfn

Sven Schreiber

1.0

2017-07-27

Extensions for univariate forecast models

126

VARrec.gfn

Artur Tarassow

0.24

2017-02-27

Recursive computation of VAR model coefficient estimates

127

var_chow.gfn

Artur Tarassow

0.82

2017-10-26

Chow test for VAR models (bootstrap version)

128

vecmI2.gfn

Andreas Noack Jensen

0.2

2018-05-21

Tools for I2 analysis

129

VSG_test.gfn

Daniel Ventosa-Santaulària

1.3

2018-10-25

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

130

waldTest.gfn

Oleh Komashko

1.1

2018-10-25

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

131

Winters.zip [doc]

Ignacio Diaz-Emparanza

1.1

2015-11-05

Smoothing and forecasting method for seasonal time series

132

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

133

wstats.gfn

Riccardo "Jack" Lucchetti

1.0

2018-06-08

weighted frequencies and contingency tables

134

yahoo_get.gfn

Riccardo "Jack" Lucchetti

3.0

2019-06-17

Downloader of daily financial data from Yahoo