Friday, June 24, 2011

gretl

In comments on a recent post, "Ben" and Tal Galili very sensibly asked if I could make R code available for the econometric analysis in my posts, in addition to EViews code. I'll be trying to do this wherever I can, given the time constraints.

The important point implicit in these comments is that R is free, open-source, software, whereas EViews is not. I'm definitely a supporter of open-source. Here's a suggestion that may be helpful in the meantime, especially if you aren't feeling up to learning R.

There's a nice open-source package called gretl that has much in common with EViews. It's specifically econometrics-oriented, with lots of the time-series features that are part of EViews' strength, and that are hard to match in a freindly way in a lot of other econometrics packages.

In case you're wondering, gretl is an acronym for Gnu Regression, Econometrics and Time-series Library.

The really good news is that is is very simple to open foreign data files in gretl, including EViews workfiles, SAS, STATA, and SPSS files. This might help some readers of this blog who don't have access to EViews.

Right now, there seem to be a few problems with opening some EViews 7 files in gretl - earlier versions of EViews are fine. Allin Cottrell is kindly checking this out, and I'll keep you posted on this point.

From here on I'll try and supply data in EViews.wf1, Excel, R, and STAT.dta files to maximize accessibility.

I'm only just starting to play around with gretl, but it looks just great!

(HT to Martina Lui - long overdue!)



© 2011, David E. Giles

2 comments:

  1. I like the point-and-click unit root tests in Gretl. I also like how Gretl helps the user avoid the clumsiness of dealing with models with differenced response variables and AR and MA explanatory terms.

    On the topic of free statistical software, here is a long list of links to free statistical software (includes several econometrics programs):
    http://www.statisticalconsultants.co.nz/statssoftware.html

    ReplyDelete
  2. Dion: Thanks for the comment, and also the link to the list of software.

    ReplyDelete