gretl function packages

addlist.gfn

Allin Cottrell

1.3

2018-12-04

Sequential addition of variables to a model

ADFGLSTest.gfn

Oleh Komashko

0.055

2015-04-12

ADF-GLS test with interpolated p-values

ADMBP.zip [doc]

Artur Tarassow

0.96

2018-05-03

ARDL Dynamic Multiplier Bootstrap Package

almonreg.zip [doc]

Allin Cottrell

0.4

2015-02-09

PDL (Almon lag) model

arima_sim.gfn

Oleh Komashko

0.23

2018-11-12

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

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.

a_eff.gfn

Oleh Komashko

0.82

2018-10-28

advanced treatment of marginal effects and elasticities

BACE.zip [doc]

Marcin Błażejowski, Jacek Kwiatkowski

1.1

2018-08-31

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

bandplot.gfn

Allin Cottrell

0.3

2015-07-11

Confidence band plot

bartlett.gfn

Marcos Larios Santa Rosa

0.3

2017-07-02

Bartlett's test for Homogeneity of Variance

BMA.zip [doc]

Marcin Błażejowski, Jacek Kwiatkowski

2.01

2017-06-29

Bayesian Model Averaging for the linear regression models with jointness measures

BMST.gfn

Artur Tarassow

1.0

2016-11-04

Logit + Probit model specifcation tests package

BNdecomp.gfn

Riccardo "Jack" Lucchetti

2.0

2015-03-03

Beveridge-Nelson Decomposition

BoxCoxFuncForm.gfn

Sven Schreiber and Jürgen Malitte

0.3

2018-10-16

Best-fitting functional form

Box_Cox_Value.gfn

Pedro Isaac Chávez López

1.01

2014-05-13

Obtain the lambda value of a Box-Cox Transformation

BreitungCandelonTest.gfn

Sven Schreiber

2.5

2018-05-29

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

Brown.gfn

Ignacio Diaz-Emparanza

1.5

2015-02-18

Brown linear and quadratic trend models

buys_ballot.gfn

Ignacio Diaz-Emparanza, Riccardo

2.0

2018-02-15

Plots for seasonal time series

Canova_Hansen.zip [doc]

Ignacio Diaz-Emparanza, Mª Paz Moral

1.21

2018-03-21

Seasonal stability tests

carr.gfn

Yi-Nung Yang

0.8

2017-10-07

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

CategoryEncoders.gfn

Artur Tarassow

0.2

2019-09-30

Encoder based on categorical variables

cffilt.gfn

Riccardo Jack Lucchetti

1.01

2017-12-02

Christiano-Fitzgerald asymmetric filter

cmatrix.zip [doc]

Riccardo "Jack" Lucchetti and Allin Cottrell

1.0

2018-12-23

support for complex matrices

coint2rec.gfn

Andreas Noack Jensen and Sven Schreiber

1.3

2019-02-27

Cointegration stability tests (Hansen & Johansen)

cointARDL.zip [doc]

Artur Tarassow

0.7

2018-12-26

Bootstrap single-eq. cointegration tests

cointpanel.gfn

Sven Schreiber

0.1

2019-05-27

Panel cointegration tests (Kao)

color_xy.gfn

Riccardo "Jack" Lucchetti

1.0

2019-04-30

color xy plot for time series

CommonTrendsTest.gfn

Sven Schreiber

0.9

2019-03-01

Multivariate test for common stochastic trends

corresp.gfn

Riccardo "Jack" Lucchetti

0.32

2017-06-20

Simple Correspondence Analysis

CSDpanel.zip [doc]

Sven Schreiber and Jörg Breitung

0.1

2018-05-01

cross-section dependence in panels (test/estimate)

CvDataSplitter.gfn

Artur Tarassow

0.1

2019-03-31

Compile cross-validation datasets

dcm.zip [doc]

Oleh Komashko and Riccardo "Jack" Lucchetti

0.9

2019-04-18

Discrete choice models

delayspectral.gfn

Sven Schreiber

1.0

2019-03-23

Calculates signal delays in frequency domain and their uncertainty

DFM.zip [doc]

Ioannis A. Venetis and Riccardo "Jack" Lucchetti

0.41

2019-10-21

Dynamic Factor Models

DHF_test.gfn

Marcin Blazejowski

1.041

2015-11-03

Dickey-Hasza-Fuller Seasonal Unit Root Test

dhurdle.zip [doc]

Riccardo "Jack" Lucchetti

1.3

2016-01-26

Double-hurdle model

DiebMar.gfn

Giulio Palomba

1.3

2019-03-22

Diebold-Mariano test for predictive accuracy

DIF_panelcoint.zip [doc]

F. Di Iorio and S. Fachin

1.1

2017-02-20

panel no-cointegration tests with bootstrap p-values

DP.gfn

Uriel Rodriguez Ramirez

1.3

2015-07-15

double unit root

DPB.zip [doc]

Riccardo "Jack" Lucchetti and Claudia Pigini

1.22

2019-03-22

Dynamic Panel Binary models

DST_test.zip [doc]

Marcin Błażejowski

1.06

2017-12-19

Dickey's Stationarity Test for High Frequency Data

dumitrescu_hurlin_test.gfn

Giuseppe Vittucci

1.0

2017-03-25

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

exogtest.zip [doc]

Allin Cottrell

0.1

2017-07-21

diff-in-sargan exogeneity test

fcModels.gfn

Yi-Nung Yang

1.1

2019-06-25

Forecasting models

felogit.gfn

Riccardo "Jack" Lucchetti

1.8

2019-06-11

Fixed-effects logit

FEP.zip [doc]

Artur Tarassow and Sven Schreiber

2.21

2019-08-12

Forecast Evaluation Package

FEPoisson.gfn

Riccardo "Jack" Lucchetti

1.1

2016-01-13

Fixed-Effects Poisson

fe_stats.gfn

Allin Cottrell

0.5

2015-03-22

Statistics for fixed-effects estimates

FMOLS.gfn

Stefano Fachin and Riccardo "Jack" Lucchetti

1.0

2017-03-22

Fully Modified Least Squares Estimation for I(1) variables

Friedman.gfn

Sven Schreiber

1.1

2017-12-10

Friedman (and Quade) nonparametric c-sample tests

frontier.zip [doc]

Riccardo "Jack" Lucchetti

1.0

2018-07-18

Stochastic Frontier Analysis

gen_hurst.gfn

Joachim Reinhardt

0.1

2017-12-05

generalized Hurst exponent estimation

getQuandl.gfn

Yi-Nung Yang

0.70

2018-03-01

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

GHegy.zip [doc]

Ignacio Diaz-Emparanza

1.3

2018-04-06

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

ghosts.zip [doc]

Riccardo "Jack" Lucchetti

0.3

2019-04-24

Multivariate spectra

GJR-garchm.gfn

Yi-Nung Yang

1.21

2019-06-25

GJR-GARCH in Mean

gnuplot_piechart.gfn

Ignacio Diaz-Emparanza

1.0

2014-10-23

A simple 2D pie chart

gqtest.gfn

Oleh Komashko

0.31

2017-09-27

Golfeld - Quandt heteroskedasticity test

gregory_hansen.zip [doc]

Artur Tarassow

0.61

2017-05-01

Residual-based tests for cointegration in models with regime shifts

heckprobit.gfn

Claudia Pigini

0.1

2015-05-12

Probit model with sample selection

hetero.gfn

Yi-Nung Yang

1.2

2017-11-06

Heterosckedasticity tests in Asteriou & Hall

Holt.zip [doc]

Ignacio Diaz-Emparanza

1.0

2015-10-05

Holt's local linear trend

ivintreg.gfn

Riccardo "Jack" Lucchetti

1.2

2017-12-19

Instrumental-variable Interval Regression

johansensmall.zip [doc]

Sven Schreiber and Andreas Noack Jensen

3.0

2019-09-27

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

Kapetanios.gfn

Ricardo Ramírez & Daniel Ventosa-Santaulària

2.0

2018-10-24

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

kddensity.gfn

Riccardo "Jack" Lucchetti

0.2

2017-11-29

kernel estimation of bivariate densities

KruskalWallis.gfn

Riccardo Jack Lucchetti

1.1

2018-01-02

Kruskal-Wallis test

lagreg.zip [doc]

Oleh Komashko

1.04

2018-03-20

regressions with lagged variables

latextab.gfn

Artur Tarassow

0.22

2017-05-28

Write matrix as Latex table

levene.gfn

Marcos Larios Santa Rosa

0.3

2017-07-02

Levene's Test for Equality of Variances

lomackinlay.gfn

Allin Cottrell and Sven Schreiber

1.2

2017-06-07

Lo-MacKinlay variance ratio test

lp-mfx.zip [doc]

Allin Cottrell

1.0

2019-04-29

logit/probit marginal effects

MannKendall.gfn

Sven Schreiber and Riccardo Jack Lucchetti

1.0

2017-06-08

Mann-Kendall nonparametric trend test

margeff_el.gfn

Oleh Komashko

0.6

2017-02-13

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

matlab_utilities.zip [doc]

Peter M. Summers

0.3

2019-07-11

Various Matlab/Octave compatibility functions for use in scripting

matrix_perf.gfn

Allin Cottrell

0.4

2014-06-17

Matrix multiplication performance test

MDS.gfn

Francesca Di Iorio and Riccardo "Jack" Lucchetti

1.0

2017-04-21

Multidimensional Scaling

MGARCH.zip [doc]

Riccardo "Jack" Lucchetti

0.31

2019-04-29

Multivariate GARCH models

ModRS_test.gfn

Daniel Ventosa-Santaulària

1.1

2018-02-05

Lo's (1991) modified R/S test

moran.gfn

Giuseppe Vittucci

0.2

2011-09-04

Moran's I statistic of spatial autocorrelation

mwu.gfn

Yi-Nung Yang

0.95

2018-08-30

Mann-Whitney U test with group dummy variable

naiveFC.zip [doc]

Artur Tarassow

0.7

2019-06-18

Simple forecasting methods

oddsratios.zip [doc]

Riccardo "Jack" Lucchetti and Allin Cottrell

1.0

2015-03-22

Computation of odds ratios for logit models

oprobit_predict.zip [doc]

Allin Cottrell

1.3

2018-12-29

Compute predictions from ordered probit, logit

PairPlot.zip [doc]

Artur Tarassow

0.5

2019-10-07

Scatterplot matrix with factor separation

paneldesc.gfn

Riccardo "Jack" Lucchetti

1.0

2017-04-02

Basic statistics about gaps in panel datasets

parallel_specs.gfn

Sven Schreiber and Allin Cottrell

0.1

2018-06-22

Parallel execution of differing specifications

plot_scatter_label.gfn

Artur Tarassow

0.11

2017-02-20

Add labels to scatter plot

plot_ts_y2axis.gfn

Artur Tarassow

0.1

2015-09-21

Single scatter plot with 2 y-axis + with lines

pmbb.gfn

Giuseppe Vittucci and Artur Tarassow

1.7

2018-03-24

Moving Blocks Bootstrap (MBB) for linear panels

PMG.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.1

2019-04-29

Pooled mean group estimation (panel)

poisson_mfx.gfn

Oleh Komashko

0.22

2017-02-13

marginal effects for poisson and negbin regression

PPtest.gfn

Riccardo "Jack" Lucchetti

0.1

2012-08-23

Phillips-Perron test

PTconf.zip [doc]

Sven-Schreiber

0.92

2016-10-03

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

ridge.gfn

Sven Schreiber

1.0

2017-09-22

Ridge regression

RLSStein.zip [doc]

Lee C. Adkins

1.0

2019-01-18

RLS Stein-rule estimator

robust_RESET.gfn

Oleh Komashko

0.2

2017-02-10

robust RESET test as in Wooldridge

roc.zip [doc]

Peter M. Summers

1.02

2017-10-5

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

RollingStats.gfn

Artur Tarassow

0.2

2019-01-11

Rolling Time-Series Statistics

SB.gfn

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

1.3

2017-11-14

Stationary bootstrap resampling of time series

seasfSTB.gfn

Ignacio Diaz-Emparanza

1.1

2018-04-06

Seasonal filters

SETAR.gfn

Federico Lampis & Ignacio Díaz-Emparanza

1.3

2019-01-02

Estimation of a SETAR model

sfa_mod.gfn

Gordon Hughes

0.92

2017-12-15

Estimation of stochastic frontier models with no heteroskedasticity

ShapleyCont.gfn

Ernesto Rivera y María José Arteaga

1.1

2019-05-23

Shapley based R-Squared decomposition

sols.gfn

Allin Cottrell

1.4

2014-01-26

OLS showing standardized coefficients

sparse.gfn

Riccardo "Jack" Lucchetti

1.01

2017-04-06

Sparse matrix functions

staticfactor.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.2

2018-05-31

static factor analysis

StrucBreak.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.21

2018-01-09

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

StrucTiSM.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.51

2019-07-07

Harvey-style Structural Time Series Models

summary_xy.gfn

Yi-Nung Yang

1.4

2018-04-26

summary of Z categorized by two discrete series x and y

suradf.gfn

Allin Cottrell

0.2

2015-03-23

SUR-based ADF-type test for multiple time series

SVEC_GUI.gfn

Sven Schreiber

0.2

2019-04-18

GUI for SVECs

Threshold_Panel.zip [doc]

Artur Tarassow

1.1

2018-06-10

Panel threshold model (Hansen, JoE 1999)

tobithetm.gfn

Oleh Komashko

0.43

2018-02-12

Tobit model with multiplicative heteroskedasticity

tobit_mfx.gfn

Oleh Komashko

0.3

2016-10-20

marginal effects after tobit and censored regression

tobit_y.gfn

Allin Cottrell

0.3

2017-11-16

Tobit dependent variable prediction

tramolin.gfn

Ignacio Diaz-Emparanza

1.14

2019-04-09

Outlier detection/correction and missing data interpolation

TsCrossValidation.gfn

Artur Tarassow

0.2

2016-01-24

Time-Series Cross-Validation

tsfcst.gfn

Oleh Komashko

0.52

2018-03-18

time series forecasting and non-smooth optimization

uniFCextensions.gfn

Sven Schreiber

1.0

2017-07-27

Extensions for univariate forecast models

VARrec.gfn

Artur Tarassow

0.24

2017-02-27

Recursive computation of VAR model coefficient estimates

var_chow.gfn

Artur Tarassow

0.82

2017-10-26

Chow test for VAR models (bootstrap version)

vecmI2.gfn

Andreas Noack Jensen

0.2

2018-05-21

Tools for I2 analysis

VSG_test.gfn

Daniel Ventosa-Santaulària

1.3

2018-10-25

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

waldTest.gfn

Oleh Komashko

1.1

2018-10-25

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

Winters.zip [doc]

Ignacio Diaz-Emparanza

1.1

2015-11-05

Smoothing and forecasting method for seasonal time series

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

wstats.gfn

Riccardo "Jack" Lucchetti

1.0

2018-06-08

weighted frequencies and contingency tables

yahoo_get.gfn

Riccardo "Jack" Lucchetti

3.0

2019-06-17

Downloader of daily financial data from Yahoo