Grocer
Grocer is an econometric toolbox particularly devoted to time
series for Scilab, a matrix-oriented software similar to Gauss and
Matlab.
This software is free, opensource and performs most usual
econometric tasks that commercial software perform (
single and multiple regression methods, diagnostic
testing, VAR methods, unit roots and cointegration methods, Kalman
filtering, etc). It contains a time series object, which allows all
usual operations. Moreover, Grocer contains functions, aimed at
selecting the best linear model from a large information set, that no
other software today perform, except for PC-gets.
Features include:
- Ordinary least squares and various single equation methods
(autocorelated models, instrumental variables, non linear least
squares, robust methods,...)
- Basic estimation with limited dependent variables: ordered
logit and probit (with 2 or more variables); tobit; multivariate logit
- Specification tests (multicolinearity, autocorelation,
heteroskedasticity, normality, predictive failure,...)
- Simultaneous equations methods (SUR, two and three stage
least squares,...)
- VAR, VECM, VARMA and GARCH estimation
- Generalized Method of Moments (GMM)
- Kalman filter and time varying parameters estimation
- Unit root tests (ADF, KPSS,...), panel unit roots and
cointegration methods (CADF, Johansen,...)
- Various business cycle tools: HP, Baxter-King and
Christiano-Fitzgerald filters, the Bry-Boschan-Harding-Pagan procedure
for the datation of turning points, spectral analysis
- Basic panel data estimation: fixed and random effects,
between estimation
- Static and Dynamic factor estimation
- Numerous time series disaggregation methods: Chow-Lin,
Litterman, and more
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Last Updated Tuesday, March 26 2013 @ 05:17 PM EST
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