gretl function packages

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

0.2

2014-10-18

Confidence band plot

6bartlett.gfn

Marcos Larios Santa Rosa

0.2

2009-08-21

Bartlett's test for Homogeneity of Variance

7BMA.gfn

Marcin Błażejowski, ...

1.2

2014-09-02

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

1.4

2014-06-30

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

0.6

2013-06-20

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

16clustered_ols.gfn

Claudia Pigini

0.1

2012-03-28

OLS with clustered std errors

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

0.11

2015-02-06

Simple Correspondence Analysis

21criteria.gfn

Allin Cottrell

1.1

2010-07-02

Calculate model selection criteria

22DeWallis_test.gfn

Juan Pablo de Botton Falcón

1.2

2015-01-19

DeWallis_test

23DFP.gfn

Uriel Rodríguez Ramírez

1.0

2013-05-31

double unit root

24DHF_test.gfn

Marcin Blazejowski

1.04

2013-05-07

Dickey-Hasza-Fuller Seasonal Unit Root Test

25dhurdle.zip

Riccardo

1.2

2015-04-08

Double-hurdle model

26DPB.zip

Riccardo "Jack" Lucchetti and Claudia Pigini

1.01

2015-04-17

Dynamic Panel Binary models

27DST_test.gfn

Marcin Błażejowski

1.05

2011-10-01

Dickey's Stationarity Test fot High Frequency Data

28dynMultipl.gfn

Artur Tarassow

0.91

2014-11-07

Dynamic Multiplier computation for ARDL models

29fcModels.gfn

Yi-Nung Yang

0.95

2014-04-29

Forecasting models

30fe_stats.gfn

Allin Cottrell

0.5

2015-03-22

Statistics for fixed-effects estimates

31felogit.gfn

Riccardo "Jack" Lucchetti

1.5

2014-05-02

Fixed-effects logit

32fgls.gfn

Yi-Nung Yang

1.0

2011-01-03

feasible GLS in Wooldridge

33genr_dates.gfn

Yi-Nung Yang

0.2

2013-06-26

generate yyyy, mm, day,weekday

34getQuandl.gfn

Yi-Nung Yang

0.62

2014-10-08

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

35getsymbols.gfn

Yi-Nung Yang

0.1

2013-08-24

get stock daily data from Yahoo Finance

36GHegy.zip

Ignacio Diaz-Emparanza

1.1

2015-03-10

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

37GJR-garchm.gfn

Yi-Nung Yang

1.1

2010-01-25

GJR-GARCH in Mean

38gnuplot_piechart.gfn

Ignacio Diaz-Emparanza

1.0

2014-10-23

A simple 2D pie chart

39gregory_hansen.gfn

Artur Tarassow

0.6

2014-11-08

Residual-based tests for cointegration in models with regime shifts

40growth.gfn

Artur Bala

1.2

2011-09-30

Least square average annual growth rate

41heckprobit.gfn

Claudia Pigini

0.1

2015-05-12

Probit model with sample selection

42HEGY_test.gfn

Riccardo "Jack" Lucchetti

1.3

2009-09-08

HEGY seasonal unit root test

43hetero.gfn

Yi-Nung Yang

1.0

2012-12-12

Heterosckedasticity tests in Asteriou & Hall

44HIP.zip

Riccardo "Jack" Lucchetti and Claudia Pigini

0.41

2015-05-19

Heteroskedastic IV Probit

45HoltWinters.gfn

Ignacio Diaz-Emparanza

1.7

2015-05-14

Time series forecasting using Holt-Winters exponential smoothing

46ivintreg.gfn

Riccardo "Jack" Lucchetti

1.0

2012-03-22

Instrumental-variable Interval Regression

47JB.gfn

Yi-Nung Yang

1.2

2014-11-07

calculate Jarque-Bera statistic and p-value

48KaoTest.gfn

Uriel Rodriguez Ramirez

2.0

2013-03-06

Cointegration Test of Panel Data

49levene.gfn

Marcos Larios Santa Rosa

0.2

2009-08-22

Levene's Test for Equality of Variances

50LLTestim.gfn

Ignacio Diaz-Emparanza

1.2

2009-08-22

Local Linear Trend Model

51logit_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

52LOGIT_HETERO.gfn

Artur Tarassow

0.12

2014-11-03

Performs two LM specification tests for the LOGIT model

53lomackinlay.gfn

Allin Cottrell

1.1

2009-08-19

Lo-MacKinlay variance ratio test

54lp-mfx.gfn

Allin Cottrell

0.2

2013-06-27

logit/probit marginal effects

55matrix_perf.gfn

Allin Cottrell

0.4

2014-06-17

Matrix multiplication performance test

56MCO_Ridge.gfn

Uriel Rodríguez

1.0

2012-05-22

Ridge Regression

57meansby.gfn

Jack Lucchetti

1.2

2009-08-28

Descriptive statistics -- conditional means

58ModRS_test.gfn

Daniel Ventosa-Santaulària

1.0

2011-02-25

Lo's (1991) modified R/S test

59moran.gfn

Giuseppe Vittucci

0.2

2011-09-04

Moran's I statistic of spatial autocorrelation

60MWU.gfn

Yi-Nung Yang

1.1

2013-04-25

Mann-Whitney U test (Matrix version)

61mwu.gfn

Yi-Nung Yang

0.93

2013-08-24

Mann-Whitney U test

62mwu_dummy.gfn

Yi-Nnung Yang

0.92

2013-04-25

Mann-Whitney U test with group dummy

63oddsratios.zip

Riccardo "Jack" Lucchetti and Allin Cottrell

1.0

2015-03-22

Computation of odds ratios for logit models

64oprobit_predict.gfn

Allin Cottrell

1.1

2015-03-23

Compute predictions from ordered probit

65pmbb.gfn

Giuseppe Vittucci

1.6

2013-01-18

Moving Blocks Bootstrap (MBB) for linear panels

66PPtest.gfn

Riccardo "Jack" Lucchetti

0.1

2012-08-23

Phillips-Perron test

67RLSStein.gfn

Lee C. Adkins

0.92

2013-07-09

RLS Stein-rule estimator

68Robinson.gfn

Uriel Rodriguez Ramires

1.0

2013-08-28

Semiparametric Regression

69RVNR.gfn

Guillermo Verduzco Bustos

1.0.1

2015-05-16

Rank Von Neumann Ratio

70seasfSTB.gfn

Ignacio Diaz-Emparanza

1.0

2014-06-25

Seasonal filters

71SETAR.gfn

Federico Lampis, ...

1.2

2011-06-27

Estimation of a SETAR model

72sfa_mod.gfn

Gordon Hughes

0.91

2009-08-22

Estimation of stochastic frontier models with no heteroskedasticity

73sols.gfn

Allin Cottrell

1.4

2014-01-26

OLS showing standardized coefficients

74summary_ts.gfn

yinung Yang

1.2

2010-03-24

Summary statistics for (financial) time series

75summary_xy.gfn

Yi-Nung Yang

1.1

2010-04-17

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

76suradf.gfn

Allin Cottrell

0.2

2015-03-23

SUR-based ADF-type test for multiple time series

77Threshold_Panel.gfn

Artur Tarassow

0.9

2013-07-11

Threshold_Panel

78tobit_y.gfn

Allin Cottrell

0.2

2015-03-23

Tobit dependent variable prediction

79tramolin.gfn

Ignacio Diaz-Emparanza

1.10

2014-05-02

Outlier detection/correction and missing data interpolation

80var_chow.gfn

Artur Tarassow

0.81

2013-06-07

bootstrap Chow test for VAR models

81vecmI2.gfn

Andreas Noack Jensen

0.1

2012-02-11

VECM for I(2) analysis

82VSG_test.gfn

Daniel Ventosa-Santaulària

1.11

2011-02-21

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

83wooldridge_test_serial.gfn

Giuseppe Vittucci

1.0

2011-09-24

Wooldridge test for serial correlation of residuals in panel

84yahoo_get.gfn

Riccardo "Jack" Lucchetti

1.16

2015-05-04

Downloader of daily financial data from Yahoo