Grocer is an econometric toolbox for Scilab with a particular emphasis on time-series analysis. It provides a large collection of routines covering standard econometric techniques as well as more specialised methods for model selection and macroeconomic analysis.
The toolbox adds time-series and matrices-of-time-series data types to Scilab. It can also be used to build, estimate and simulate backward macroeconomic models.
This is free and open source software.
Key Features
- Ordinary least squares and other single-equation estimators.
- Instrumental variables, nonlinear least squares and robust estimation methods.
- Limited dependent-variable methods including ordered logit, ordered probit, tobit and multinomial logit.
- Specification tests covering multicollinearity, autocorrelation, heteroskedasticity, normality and predictive failure.
- Simultaneous-equation methods including seemingly unrelated regressions and two- and three-stage least squares.
- VAR, VECM, ARMA, VARMA and GARCH estimation.
- Generalized Method of Moments estimation.
- Kalman filtering and time-varying parameter estimation.
- Unit-root and cointegration testing, including panel unit-root methods and Johansen cointegration tests.
- Panel-data estimation with fixed effects, random effects and between estimators.
- Static and dynamic factor estimation.
- Markov-switching estimation.
- Bayesian Model Averaging.
- Automatic general-to-specific model selection.
- Time-series disaggregation methods including Chow-Lin and Litterman.
- Business-cycle tools including Hodrick-Prescott, Baxter-King and Christiano-Fitzgerald filters.
- Turning-point dating and spectral-analysis facilities.
- Dynamic contribution analysis.
- Builds, estimates and simulates backward macroeconomic models.
- Provides dedicated time-series and matrices-of-time-series data types.
Website: grocer.toolbox.free.fr/grocer.html
Support:
Developer: Eric Dubois, Emmanuel Michaux
License: CeCILL Free Software License Agreement
Related Software
| Econometric Software | |
|---|---|
| R | Statistical computation and graphics system |
| gretl | Regression, Econometric and Time-Series Library |
| Grocer | Econometric toolbox for Scilab, software similar to Gauss and Matlab |
| GeoDa | Exploratory data analysis and spatial regression |
| gbutils | Set of command line utilities for the manipulation and statistical analysis of data |
| Draco | Econometrics and statistics package |
| Minsky | System dynamics program with additional features for economics |
| Dynare | Software platform for handling a wide range of economic models |
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