I keep saying that I must make more use of the gretl econometrics package. It's great software, and it's free! So, shame on me for not putting my effort where my mouth is.
Fortunately, Riccardo (Jack) Lucchetti keeps a bit of an eye on me in this regard!
In response to my recent post, Another Gripe About the Linear Probability Model, Jack sent me an email which included the comment, "...I find gretl quite intuitive to use for Monte Carlo stuff." He also kindly included a script (.inp) file for gretl to illustrate his point in relation to my own EViews code for my post. You'll find Jack's script file on the code for this blog - it's nice and tidy, for sure.
Jack also pointed me to a recent paper by Lee Adkins on using gretl for Monte Carlo simulation work. Lee's paper (Adkins, 2011) appeared in Journal of Applied Econometrics, but I found a downloadable version here. Defiitely worth taking a look at!
I'll finish with another suggestion from Jack:
"PS: by the way: we just released 1.9.9; grab it while it's hot!"
Adkins, L. C., 2011. Using gretl for Monte Carlo experiments. Journal of Applied Econometrics, 26, 880-885.
© 2012, David E. Giles