gretl is a software package for econometric and statistical analysis. It combines a graphical interface with a command-line client and libgretl, a shared library providing functions for econometric estimation and data analysis.
The software covers a broad range of statistical methods while also offering the hansl scripting language for automation, simulations and more complex analytical workflows. It can exchange data and results with several other statistical and programming environments.
This is free and open source software.
Key Features
- Wide range of estimators including least squares, maximum likelihood and GMM, with single-equation and system methods.
- Regularized least squares with LASSO, Ridge and Elastic Net.
- Time-series methods include ARIMA, GARCH models, VARs, VECMs, structural VARs, unit-root and cointegration tests, and Kalman filtering.
- Panel-data estimators including instrumental variables, probit and dynamic panel models based on GMM.
- Limited dependent-variable models including logit, probit, tobit, sample selection, interval regression, count models and duration models.
- Integrated hansl scripting language with matrix operations and general programming facilities.
- Command loops support Monte Carlo simulations and iterative estimation procedures.
- Mixed-frequency data analysis with MIDAS methods.
- Machine-learning facilities include regularized regression and LIBSVM integration.
- Function packages extend gretl with additional econometric, forecasting, financial, panel-data and machine-learning methods.
- Exchange data and results with R, Octave, Python, Julia, Ox and Stata.
- gretl4py provides facilities for using gretl from Python.
- Parallel computation is available through MPI.
- Gnuplot integration provides graphical output with controls for refining plots.
- Exports model results to LaTeX in tabular or equation form.
- Reads CSV, Excel, Gnumeric, OpenDocument, Stata, SPSS, EViews, JMulTi, RATS and PC-Give data formats.
- Supports databases containing mixed frequencies and series of different lengths.
- Graphical and command-line interfaces support both interactive and scripted analysis.
Website: gretl.sourceforge.net
Support:
Developer: Allin Cottrell, Riccardo Lucchetti
License: GNU General Public License v3.0
gretl is written in C. Learn C with our recommended free books and free tutorials.
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