gretl function packages

Allin Cottrell

1.1

2009-08-19

Sequential addition of variables to a model

Yi-Nung Yang

0.4

2013-05-07

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

Allin Cottrell

0.2

2011-09-29

Confidence band plot

Marcos Larios Santa Rosa

0.2

2009-08-21

Bartlett's test for Homogeneity of Variance

Marcin Błażejowski, ...

1.03

2013-05-06

Bayesian Model Averaging for the linear regression models with jointness measures

Riccardo "Jack" Lucchetti

1.2

2009-08-22

Beveridge-Nelson Decomposition

Sven Schreiber

1.3

2012-11-23

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

Ignacio Diaz-Emparanza

1.4

2011-02-14

Brown linear and quadratic trend models

Ignacio Diaz-Emparanza

1.1

2009-08-22

Basic Structural Model

Ignacio Diaz-emparanza

1.2

2011-12-07

Plots for seasonal time series

Ignacio Diaz-emparanza, ...

1.1

2013-09-02

Seasonal stability tests

Yi-Nung Yang

0.6

2013-06-20

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

Claudia Pigini

0.1

2012-03-28

OLS with clustered std errors

Monsueto, S.E

1.0

2010-08-31

Calculate the conditional number

Andreas Noack Jensen and Sven Schreiber

1.0

2013-05-31

Small-sample additions to coint2

Allin Cottrell

1.1

2010-07-02

Calculate model selection criteria

Juan Pablo de Botton Falcón

1.1

2012-12-22

DeWallis_test

Uriel Rodríguez Ramírez

1.0

2013-05-31

double unit root

Marcin Blazejowski

1.04

2013-05-07

Dickey-Hasza-Fuller Seasonal Unit Root Test

Marcin Błażejowski

1.05

2011-10-01

Dickey's Stationarity Test fot High Frequency Data

Artur Tarassow

0.7

2013-04-19

Dynamic Multiplier for ECM model

Allin Cottrell

0.1

2011-08-14

Statistics for fixed-effects estimates

Riccardo "Jack" Lucchetti

1.4

2014-05-05

Fixed-effects logit

Yi-Nung Yang

1.0

2011-01-03

feasible GLS in Wooldridge

Yi-Nung Yang

0.2

2013-06-26

generate yyyy, mm, day,weekday

Yi-Nung Yang

0.1

2013-08-24

get stock daily data from Yahoo Finance

Ignacio Diaz-Emparanza

1.0

2013-03-14

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

Riccardo "Jack" Lucchetti and Stefano Balietti

2.14

2013-10-30

An assortment of univariate GARCH models

Yi-Nung Yang

1.1

2010-01-25

GJR-GARCH in Mean

Artur Tarassow

0.51

2013-11-21

Residual-based tests for cointegration in models with regime shifts

Logan Kelly

1.0

2014-02-07

Splits up a list of series into subsample based on a criterierion provided in a discrete variable.

Artur Bala

1.2

2011-09-30

Least square average annual growth rate

Riccardo "Jack" Luchetti

1.3

2009-09-08

HEGY seasonal unit root test

Yi-Nung Yang

1.0

2012-12-12

Heterosckedasticity tests in Asteriou & Hall

Riccardo "Jack" Lucchetti and Claudia Pigini

0.2

2012-02-13

Heteroskedastic IV Probit

Ignacio Diaz-Emparanza

1.4

2010-02-20

Time series forecasting using Holt-Winters exponential smoothing

Riccardo "Jack" Lucchetti

1.0

2012-03-22

Instrumental-variable Interval Regression

Allin Cottrell

0.4

2011-02-10

Within and Between TSLS models plus G2SLS

Yi-Nung Yang

1.1

2007-10-06

calculate Jarque-Bera statistic and p-value

Uriel Rodriguez Ramirez

2.0

2013-03-06

Cointegration Test of Panel Data

Marcos Larios Santa Rosa

0.2

2009-08-22

Levene's Test for Equality of Variances

Ignacio Diaz-Emparanza

1.2

2009-08-22

Local Linear Trend Model

Artur Tarassow

0.11

2013-08-21

Performs two LM specification tests for the LOGIT model

Allin Cottrell

1.1

2009-08-19

Lo-MacKinlay variance ratio test

Allin Cottrell

0.2

2013-06-27

logit/probit marginal effects

Uriel Rodríguez

1.0

2012-05-22

Ridge Regression

Jack Lucchetti

1.2

2009-08-28

Descriptive statistics -- conditional means

Daniel Ventosa-Santaulària

1.0

2011-02-25

Lo's (1991) modified R/S test

Giuseppe Vittucci

0.2

2011-09-04

Moran's I statistic of spatial autocorrelation

Yi-Nung Yang

1.1

2013-04-25

Mann-Whitney U test (Matrix version)

Yi-Nung Yang

0.93

2013-08-24

Mann-Whitney U test

Yi-Nnung Yang

0.92

2013-04-25

Mann-Whitney U test with group dummy

Allin Cottrell

1.0

2009-09-14

Compute predictions from ordered probit

Giuseppe Vittucci

1.6

2013-01-18

Moving Blocks Bootstrap (MBB) for linear panels

Riccardo "Jack" Lucchetti

0.1

2012-08-23

Phillips-Perron test

Lee C. Adkins

0.92

2013-07-09

RLS Stein-rule estimator

Uriel Rodriguez Ramires

1.0

2013-08-28

Semiparametric Regression

Federico Lampis, ...

1.2

2011-06-27

Estimation of a SETAR model

Gordon Hughes

0.5

2008-07-01

Estimate SFA models with heteroskedasticity

Gordon Hughes

0.91

2009-08-22

Estimation of stochastic frontier models with no heteroskedasticity

Allin Cottrell

1.4

2014-01-26

OLS showing standardized coefficients

yinung Yang

1.2

2010-03-24

Summary statistics for (financial) time series

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.

Allin Cottrell

0.1

2011-01-26

SUR-based ADF-type test for multiple time series

Riccardo "Jack" Lucchetti

0.993

2013-04-02

Structural VARs

Artur Tarassow

0.9

2013-07-11

Threshold_Panel

Allin Cottrell

0.1

2011-07-13

Tobit dependent variable prediction

Ignacio Diaz-Emparanza

1.5

2009-08-22

Outlier detection/correction and missing data interpolation

Artur Tarassow

0.81

2013-06-07

bootstrap Chow test for VAR models

Andreas Noack Jensen

0.1

2012-02-11

VECM for I(2) analysis

Daniel Ventosa-Santaulària

1.11

2011-02-21

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

Giuseppe Vittucci

1.0

2011-09-24

Wooldridge test for serial correlation of residuals in panel

Riccardo "Jack" Lucchetti

1.13

2013-11-27

Downloader of daily financial data from Yahoo