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Grocer

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.

 Grocer 1.64

Price
Free to download

Size
4.1MB
License

CECILL license

Developer
Eric Dubois, Emmnanuel Michaux

Website
dubois.ensae.net

System Requirements
Scilab

Support:
Readme, Scilab Partner External Modules

Selected Reviews:

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

Return to Econometric Home Page

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Last Updated Thursday, December 11 2014 @ 02:17 PM EST


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