Gretl -Gnu Regression, time series library

Gretl is an acronym for Gnu Regression,Econometrics and Time Series library.The home page is at
http://gretl.sourceforge.net/,

It is a complete cross-platform(Windows, Mac OS and Unix-Linux) desktop program with its own gui interface, is written natively in the fast machine code compilable C programming language.
It is is free, open-source software, freely distributable under the GNU General Public License (GPL) as published by the Free Software Foundation.


We have not enough time to discuss Gretl in our Econometrics course in the second semester, 2010 as we used and focused more on the the bigger and more general, powerful R statistical data and visualization software. Gretl available data sets were useful for us, especially making available the data sets of Gujarati.

Hopefully we would be better prepared and Gretl might find more usage by
presenting more educationsl resources in this blog and
our continuing experimentation with this software.

Lets see its features from its well written documentation:

1. Easy intuitive interface in various European, Turkish languages including English.
   
2. A wide variety of estimators: ordinary least squares, ML(maximum likelihood), GMM; single-equation and simulaneous equations system methods
   
3. Time series methods: ARMA, GARCH, VARs and VECMs, unit-root and cointegration tests, etc.
   
4. Limited dependent variables: logit, probit, tobit, interval regression, models for count and duration data, etc.
   
5. Output models as LaTeX files, in tabular or equation format
   
6. Integrated scripting language: enter commands either via the gui or via script
   
7. Command loop structure for Monte Carlo simulations and iterative estimation procedures
   
8. GUI controller for fine-tuning Gnuplot graphs
   
9. Interface to GNU R, GNU Octave and Ox for further data analysis
   

Here is a list of built-in functions in Gretl. We are sure that this list would be growing.

$ahat       $aic        $bic        $chisq      $coeff      
$compan     $datatype   $df         $dwpval     $ess        
$Fstat      $gmmcrit    $h          $hausman    $hqc        
$jalpha     $jbeta      $jvbeta     $lnl        $ncoeff     
$nobs       $nvars      $pd         $pvalue     $rho        
$rsq        $sample     $sargan     $sigma      $stderr     
$stopwatch  $sysA       $sysB       $sysGamma   $T
$t1         $t2         $test       $trsq       $uhat       
$unit       $vcv        $version    $windows    $xlist      
$yhat       

abs         acos        asin        atan        BFGSmax     
bkfilt      boxcox      cdemean     cdf         cdiv        
ceil        cholesky    cmult       cnorm       colnames    
cols        corr        corrgm      cos         cov         
critical    cum         det         diag        diff        
dnorm       dsort       dummify     eigengen    eigensym    
exp         fdjac       fft         ffti        filter
firstobs    floor       fracdiff    gammafun    genpois     
getenv      gini        ginv        hpfilt      I           
imaxc       imaxr       imhof       iminc       iminr       
infnorm     int         inv         invcdf      invpd       
islist      isnull      kfilter     ksimul      ksmooth     
isseries    isstring    lags        lastobs     ldet        
ldiff       lincomb     ljungbox    lngamma     log
log10       log2        lower       lrvar       makemask    
max         maxc        maxr        mcorr       mcov        
mcovg       mean        meanc       meanr       median      
mexp        min         minc        minr        missing     
misszero    mlag        mnormal     mols        movavg      
mpols       mread       mshape      msortby     muniform    
mwrite      mxtab       nelem       nobs        normal
nullspace   obs         obsnum      ok          onenorm     
ones        orthdev     pdf         pmax        pmean       
pmin        pnobs       polroots    princomp    psd         
psdroot     pvalue      qform       qnorm       qrdecomp    
quantile    rank        ranking     randgen     rcond       
readfile    replace     resample    round       rows        
sd          sdc         sdiff       selifc      selifr
seq         sin         sort        sortby      sqrt        
sst         strcmp      strlen      strncmp     strstr      
sum         sumc        sumr        svd         tan         
toepsolv    tolower     tr          transp      trimr       
uniform     unvech      upper       urcpval     values      
var         varname     varnum      vec         vech        
wmean       wsd         wvar        xmax        xmin
xpx         zeromiss    zeros       

Gretl is available as an add-on package for the Ubuntu-Linux OS. You can instal it via synaptic or simply via apt-get:

apt-get install gretl

and all dependencies should be installed by the software package manager. In my 9.04 Karmic, It is installed in Applications/Other menu.


March 13: To be continued with examples!