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.

 NameAuthorVersionDateDescription
1a_eff.gfn

Oleh Komashko

0.12

2016-11-11

advanced treatment of marginal effects

2addlist.gfn

Allin Cottrell

1.2

2010-12-17

Sequential addition of variables to a model

3ADFGLSTest.gfn

Oleh Komashko

0.055

2015-04-12

ADF-GLS test with interpolated p-values

4almonreg.zip

Allin Cottrell

0.4

2015-02-09

PDL (Almon lag) model

5armax.gfn

Yi-Nung Yang

0.92

2014-09-04

Automatically Choose and Show best ARMAX models based on AIC, BIC, or HQC

6bandplot.gfn

Allin Cottrell

0.3

2015-07-11

Confidence band plot

7bartlett.gfn

Marcos Larios Santa Rosa

0.2

2009-08-21

Bartlett's test for Homogeneity of Variance

8bkw.gfn

Lee C Adkins

1.01

2015-07-07

Computes the Belsley, Kuh, Welch table of collinearity diagnostics for linear and nonlinear models

9BMA.zip

Marcin Błażejowski, ...

1.32

2016-07-12

Bayesian Model Averaging for the linear regression models with jointness measures

10BMST.gfn

Artur Tarassow

1.0

2016-11-04

Logit + Probit model specifcation tests package

11BNdecomp.gfn

Riccardo "Jack" Lucchetti

2.0

2015-03-03

Beveridge-Nelson Decomposition

12Box_Cox_Value.gfn

Pedro Isaac Chávez López

1.01

2014-05-13

Obtain the lambda value of a Box-Cox Transformation

13BreitungCandelonTest.gfn

Sven Schreiber

2.1

2016-06-29

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

14Brown.gfn

Ignacio Diaz-Emparanza

1.5

2015-02-18

Brown linear and quadratic trend models

15BSMestim.gfn

Ignacio Diaz-Emparanza

1.1

2009-08-22

Basic Structural Model

16buys_ballot.gfn

Ignacio Diaz-emparanza, ...

1.6

2014-12-03

Plots for seasonal time series

17Canova_Hansen.zip

Ignacio Diaz-Emparanza, ...

1.2

2015-03-13

Seasonal stability tests

18carr.gfn

Yi-Nung Yang

0.7

2015-07-11

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

19cffilt.gfn

Riccardo Jack Lucchetti

1.0

2016-07-03

Christiano-Fitzgerald asymmetric filter

20coint2finite.gfn

Andreas Noack Jensen and Sven Schreiber

1.1

2014-06-02

Small-sample additions to coint2

21coint2rec.gfn

Andreas Noack Jensen and Sven Schreiber

0.4

2014-07-04

Cointegration stability tests (Hansen&Johansen)

22corresp.gfn

Riccardo "Jack" Lucchetti

0.3

2016-06-12

Simple Correspondence Analysis

23criteria.gfn

Allin Cottrell

1.2

2016-10-29

Calculate model selection criteria

24delayspectral.gfn

Sven Schreiber

0.6

2016-07-07

Calculates signal delays in frequency domain and their uncertainty

25DeWallis_test.gfn

Juan Pablo de Botton Falcón

1.2

2015-01-19

DeWallis_test

26DHF_test.gfn

Marcin Blazejowski

1.041

2015-11-03

Dickey-Hasza-Fuller Seasonal Unit Root Test

27dhurdle.zip

Riccardo "Jack" Lucchetti

1.3

2016-01-26

Double-hurdle model

28DiebMar.gfn

Giulio Palomba

1.0

2015-08-06

Diebold-Mariano test

29DIF_panelcoint.zip

F. Di Iorio and S. Fachin

1.0

2015-2-15

panel no-cointegration tests with bootstrap p-values

30DP.gfn

Uriel Rodriguez Ramirez

1.3

2015-07-15

double unit root

31DPB.zip

Riccardo "Jack" Lucchetti and Claudia Pigini

1.2

2016-02-23

Dynamic Panel Binary models

32DST_test.gfn

Marcin Błażejowski

1.05

2011-10-01

Dickey's Stationarity Test fot High Frequency Data

33dynMultipl.gfn

Artur Tarassow

0.91

2014-11-07

Dynamic Multiplier computation for ARDL models

34fcModels.gfn

Yi-Nung Yang

0.96

2014-04-29

Forecasting models

35fe_stats.gfn

Allin Cottrell

0.5

2015-03-22

Statistics for fixed-effects estimates

36felogit.gfn

Riccardo "Jack" Lucchetti

1.5

2014-05-02

Fixed-effects logit

37FEP.zip

Artur Tarassow

1.01

2016-11-22

Forecast Evaluation Package

38FEPoisson.gfn

Riccardo "Jack" Lucchetti

1.1

2016-01-13

Fixed-Effects Poisson

39genr_dates.gfn

Yi-Nung Yang

0.2

2013-06-26

generate yyyy, mm, day,weekday

40getQuandl.gfn

Yi-Nung Yang

0.62

2014-10-08

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

41GHegy.zip

Ignacio Diaz-Emparanza

1.1

2015-03-10

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

42GJR-garchm.gfn

Yi-Nung Yang

1.1

2010-01-25

GJR-GARCH in Mean

43gnuplot_piechart.gfn

Ignacio Diaz-Emparanza

1.0

2014-10-23

A simple 2D pie chart

44gqtest.gfn

Oleh Komashko

0.20

2016-04-04

Golfeld - Quandt heteroskedasticity test

45gregory_hansen.gfn

Artur Tarassow

0.6

2014-11-08

Residual-based tests for cointegration in models with regime shifts

46heckprobit.gfn

Claudia Pigini

0.1

2015-05-12

Probit model with sample selection

47hetero.gfn

Yi-Nung Yang

1.0

2012-12-12

Heterosckedasticity tests in Asteriou & Hall

48HIP.zip

Riccardo "Jack" Lucchetti and Claudia Pigini

0.41

2015-05-19

Heteroskedastic IV Probit

49Holt.zip

Ignacio Diaz-Emparanza

1.0

2015-10-05

Holt's local linear trend

50ivintreg.gfn

Riccardo "Jack" Lucchetti

1.0

2012-03-22

Instrumental-variable Interval Regression

51KaoTest.gfn

Uriel Rodriguez Ramirez

2.0

2013-03-06

Cointegration Test of Panel Data

52lagreg.zip

Oleh Komashko

0.50

2016-04-02

regressions with lagged variables

53latextab.gfn

Artur Tarassow

0.21

2016-06-01

Write matrix as Latex table

54levene.gfn

Marcos Larios Santa Rosa

0.2

2009-08-22

Levene's Test for Equality of Variances

55LLTestim.gfn

Ignacio Diaz-Emparanza

1.2

2009-08-22

Local Linear Trend Model

56lomackinlay.gfn

Allin Cottrell

1.1

2009-08-19

Lo-MacKinlay variance ratio test

57loss_functions.gfn

Germán Villar

1.0

2015-06-14

Loss functions to evaluate out of sample predictions

58lp-mfx.gfn

Allin Cottrell

0.4

2016-11-10

logit/probit marginal effects

59margeff_el.gfn

Oleh Komashko

0.52

2016-10-20

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

60matrix_perf.gfn

Allin Cottrell

0.4

2014-06-17

Matrix multiplication performance test

61MCO_Ridge.gfn

Uriel Rodríguez Ramírez

1.4

2015-06-15

Ridge Regression

62ModRS_test.gfn

Daniel Ventosa-Santaulària

1.0

2011-02-25

Lo's (1991) modified R/S test

63moran.gfn

Giuseppe Vittucci

0.2

2011-09-04

Moran's I statistic of spatial autocorrelation

64mwu.gfn

Yi-Nung Yang

0.93

2013-08-24

Mann-Whitney U test

65oddsratios.zip

Riccardo "Jack" Lucchetti and Allin Cottrell

1.0

2015-03-22

Computation of odds ratios for logit models

66oprobit_predict.gfn

Allin Cottrell

1.2

2016-01-26

Compute predictions from ordered probit

67plot_scatter_label.gfn

Artur Tarassow

0.1

2015-11-28

Add labels to scatter plot

68plot_ts_y2axis.gfn

Artur Tarassow

0.1

2015-09-21

Single scatter plot with 2 y-axis + with lines

69pmbb.gfn

Giuseppe Vittucci

1.6

2013-01-18

Moving Blocks Bootstrap (MBB) for linear panels

70poisson_mfx.gfn

Oleh Komashko

0.2

2016-10-28

marginal effects for poisson and negbin regression

71PPtest.gfn

Riccardo "Jack" Lucchetti

0.1

2012-08-23

Phillips-Perron test

72PTconf.zip

Sven-Schreiber

0.92

2016-10-03

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

73RLSStein.gfn

Lee C. Adkins

0.92

2013-07-09

RLS Stein-rule estimator

74Robinson.gfn

Uriel Rodriguez Ramires

1.0

2013-08-28

Semiparametric Regression

75robust_RESET.gfn

Oleh Komashko

0.1

2015-10-31

robust RESET test as in Wooldridge

76roc.zip

Peter M. Summers

1.01

2015-07-07

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

77RVNR.gfn

Guillermo Verduzco Bustos

1.0.1

2015-05-16

Rank Von Neumann Ratio

78SB.gfn

pc

1.0

2016-04-11

Stationary Bootstrap resampling of time series

79seasfSTB.gfn

Ignacio Diaz-Emparanza

1.0

2014-06-25

Seasonal filters

80SETAR.gfn

Federico Lampis, ...

1.2

2011-06-27

Estimation of a SETAR model

81sfa_mod.gfn

Gordon Hughes

0.91

2009-08-22

Estimation of stochastic frontier models with no heteroskedasticity

82ShapleyCont.gfn

Ernesto Rivera and María José Arteaga

1.0

2016-05-30

Shapley based R-Squared decomposition

83sols.gfn

Allin Cottrell

1.4

2014-01-26

OLS showing standardized coefficients

84StrucBreak.zip

Riccardo "Jack" Lucchetti and Sven Schreiber

0.1

2016-11-08

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

85summary_ts.gfn

yinung Yang

1.2

2010-03-24

Summary statistics for (financial) time series

86summary_xy.gfn

Yi-Nung Yang

1.2

2015-07-13

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

87suradf.gfn

Allin Cottrell

0.2

2015-03-23

SUR-based ADF-type test for multiple time series

88Threshold_Panel.zip

Artur Tarassow

0.921

2015-08-24

Threshold model for static panel, Hansen (1999)

89tobit_mfx.gfn

Oleh Komashko

0.3

2016-10-20

marginal effects after tobit and censored regression

90tobit_y.gfn

Allin Cottrell

0.2

2015-03-23

Tobit dependent variable prediction

91tobithetm.gfn

Oleh Komashko

0.12

2015-07-29

Heteroscedastic tobit model

92tramolin.gfn

Ignacio Diaz-Emparanza

1.10

2014-05-02

Outlier detection/correction and missing data interpolation

93TsCrossValidation.gfn

Artur Tarassow

0.2

2016-01-24

Time-Series Cross-Validation

94tsfcst.gfn

Oleh Komashko

0.3

2016-04-12

time series forecasting and non-smooth optimization

95var_chow.gfn

Artur Tarassow

0.81

2013-06-07

bootstrap Chow test for VAR models

96VARrec.gfn

Artur Tarassow

0.23

2016-10-01

Recursive computation of VAR model coefficient estimates

97vecmI2.gfn

Andreas Noack Jensen

0.1

2012-02-11

VECM for I(2) analysis

98VSG_test.gfn

Daniel Ventosa-Santaulària

1.11

2011-02-21

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

99waldTest.gfn

Oleh Komashko

0.8

2016-11-06

Wald tests of restrictions in user-specified models and confidence intervals

100Wilcoxon.zip

Giulio Palomba

1.0

2015-07-15

Wilcoxon Signed Rank Test

101Winters.zip

Ignacio Diaz-Emparanza

1.1

2015-11-05

Smoothing and forecasting method for seasonal time series

102wooldridge_test_serial.gfn

Giuseppe Vittucci and Artur Tarassow

2.0

2016-10-28

Wooldridge test for serial correlation of residuals in panel

103yahoo_get.gfn

Riccardo "Jack" Lucchetti

1.21

2016-03-14

Downloader of daily financial data from Yahoo