gretl Working Papers


 
 
gretl working papers (>> gretl official website)
 
5 Riccardo (Jack) Lucchetti, Sven Schreiber
The SVAR addon for gretl [February 2018]
Keywords:
  Structural VARs, bootstrap
JEL Classification:
  C32 Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
  C87 Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
Abstract:
  The SVAR addon is a collection of gretl functions to estimate Structural Vector Autoregressions (SVARs) and to conduct inference on the resulting magnitudes such as the impulse response functions and short-run or long-run impact matrices. For the purpose of identifying the structural shocks short-run as well as long-run restrictions are supported, including those related to the cointegration properties in the case of non-stationary systems. For the stationary case a dialog-driven graphical interface is also offered. Inference can be based on the bootstrap, optionally using a bias correction as suggested in the literature. This documentation explains the addon's usage, capabilites and limitations, and provides some necessary econometric methodological background (version 1.32).
Citations: CitEc
 
4 Allin Cottrell
Random effects estimators for unbalanced panel data: a Monte Carlo analysis
Citations:  CitEc
 
Allin Cottrell, Riccardo (Jack) Lucchetti, Matteo Pelagatti
Measures of variance for smoothed disturbances in linear state-space models: a clarification [July 29, 2016]
Keywords:
  State-space models, Disturbance smoother, Auxiliary residuals.
JEL Classification:
  C32 Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
  C63 Computational Techniques
Abstract:
  We clarify a point regarding the appropriate measure(s) of the variance of smoothed disturbances in the context of linear state-space models. This involves explaining how two different concepts, which are sometimes given the same name in the literature, relate to each other. We also describe the behavior of several common software packages is in this regard.
Citations:   CitEc
 
Marcin Blazejowski, Jacek Kwiatkowski
Bayesian Model Averaging and Jointness Measures for gretl [30 ottobre 2015]
Keywords:
  Bayesian model averaging, jointness measures, gretl, Hansl
JEL Classification:
  C11- Mathematical and Quantitative Methods - Econometric and Statistical Methods and Methodology: General - Bayesian Analysis: General
  C21- Mathematical and Quantitative Methods - Single Equation Models; Single Variables - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
  C51- Mathematical and Quantitative Methods - Econometric Modeling - Model Construction and Estimation
Abstract:
  This paper presents a software package that implements Bayesian model averaging for gretl, the GNU regression, econometrics and time-series library. Bayesian model averaging is a model-building strategy that takes account of model uncertainty in conclusions about estimated parameters. It is an efficient tool for discovering the most probable models and obtaining estimates of their posterior characteristics. In recent years we have observed an increasing number of software packages devoted to Bayesian model averaging for different statistical and econometric software. In this paper, we propose the BMA package for gretl, which is an increasingly popular free, open-source software for econometric analysis with an easy-to-use graphical user interface. We introduce the BMA package for linear regression models with jointness measures proposed by Ley and Steel (2007) and Doppelhofer and Weeks (2009).
Citations:   CitEc
 
Riccardo Lucchetti, Claudia Pigini
DPB: Dynamic Panel Binary data models in Gretl [24 aprile 2015]
Version:   2015-04-24
Keywords:
  Gretl function package, Random-Effects Dynamic Probit model, Quadratic Exponential model, Gauss-Hermite quadrature, simulated Maximum Likelihood, Conditional Maximum Likelihood
JEL Classification:
  C23- Mathematical and Quantitative Methods - Single Equation Models; Single Variables - Models with Panel Data; Longitudinal Data; Spatial Time Series
  C25- Mathematical and Quantitative Methods - Single Equation Models; Single Variables - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
  C63- Mathematical and Quantitative Methods - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - Computational Techniques; Simulation Modeling
Abstract:
  This paper presents the Gretl function package DPB for estimating dynamic binary models with panel data. The package contains routines for the estimation of the random-effects dynamic probit model proposed by Heckman (1981b) and its generalisation by Hyslop (1999) and Keane and Sauer (2009) to accommodate AR(1) disturbances. The fixed-effects estimator by Bartolucci and Nigro (2010) is also implemented. DPB is available on the Gretl function packages archive.
Citations:   CitEc