Addon
CORE
gig
An assortment of univariate GARCH models
Needs time-series data
Official Addons
Maintained by the gretl core team and versioned together with gretl itself. Each one is also cross-listed below, in its matching category, in this same color.
12addons
Addon
CORE
ivpanel
Within and Between TSLS models plus G2SLS
Needs panel data
Addon
CORE
SVAR
Structural VARs
Needs time-series data
Addon
CORE
HIP
Heteroskedastic IV Probit
Addon
CORE
dbnomics
obtain data via dbnomics
No dataset required
Addon
CORE
extra
extra functions for hansl scripting
No dataset required
Addon
CORE
geoplot
geospatial plotting
No dataset required
Addon
CORE
regls
Regularized least squares
No dataset required
Addon
CORE
logging
Structured logging for script execution
No dataset required
Addon
CORE
KFgui
Kalman Filter GUI
Addon
CORE
PairPlot
Scatterplot matrix with factor separation
Addon
CORE
kmeans
K-means clustering algorithm
Bayesian Methods
Priors, model averaging and Bayesian estimation
5entries
No.013
ZIP
BACE
Bayesian Averaging of Classical Estimates (BACE) procedure
No.017
ZIP
BayTool
Bayesian regression methods
No.019
ZIP
BMA
Bayesian Model Averaging for the linear regression models with jointness measures
No.025
ZIP
BVAR
Estimation of Bayesian VARs
No.122
ZIP
ParMA
Parallel BMA for GLMs
Unit Roots, Stationarity & Breaks
Testing for stochastic trends, seasonal roots and structural change
12entries
No.003
GFN
ADFGLSTest
ADF-GLS test with interpolated p-values
No.028
ZIP
Canova_Hansen
Seasonal stability tests
No.049
ZIP
DST_test
Dickey's Stationarity Test for High Frequency Data
No.069
ZIP
GHegy
General seasonal unit roots tests (HEGY) and P-values
No.088
GFN
Kapetanios
UR test with ( up to ) five structural breaks under the alternative hypothesis of trend stationarity
No.099
GFN
lomackinlay
Lo-MacKinlay variance ratio test
No.109
ZIP
ModRS_test
Modified Lo's R/S statistic
No.126
GFN
PPtest
Phillips-Perron unit root test
No.148
ZIP
StrucBreak
Autodetection of structural breaks in linear models, Bai-Perron style
No.151
GFN
suradf
SUR-based ADF-type test for multiple time series
No.169
GFN
VSG_test
Tests for a drift (and a shift) in a unit-root process
No.176
ZIP
ZivotAndrews
Zivot-Andrews test
Cointegration & Long-Run Analysis
Long-run relationships between I(1) variables
6entries
No.033
ZIP
cointARDL
Bootstrap single-eq. cointegration tests
No.036
GFN
CommonTrendsTest
Multivariate test for common stochastic trends
No.061
GFN
FMOLS
Fully Modified Least Squares Estimation for I(1) variables
No.076
ZIP
gregory_hansen
Cointegration with regime-shifts
No.086
GFN
johansenrec
Cointegration stability tests (Hansen & Johansen)
No.087
ZIP
johansensmall
Small-sample Johansen coint. rank tests (bootstrap and Bartlett)
Univariate Time-Series Models
Filters, decompositions and single-series dynamics (1 official addon incl.)
13entries
Addon
CORE
gig
An assortment of univariate GARCH models
Needs time-series data
No.006
GFN
arima_sim
simulation of arima(p, d, q; P, D, Q) trajectories
No.008
GFN
ARMA_IRF
IRF for univariate ARMA models
No.007
GFN
armax
Automatically determine and show the best ARMAX model based on either the AIC, BIC, or HQC criterion.
No.011
GFN
auto_arima
Return best SARIMA(X) model according to information criteria value
No.021
GFN
BNdecomp
Beveridge-Nelson Decomposition
No.031
ZIP
cffilt
Christiano-Fitzgerald asymmetric filter
No.043
GFN
delayspectral
Calculates signal delays in frequency domain and their uncertainty
No.066
GFN
gen_hurst
generalized Hurst exponent estimation
No.077
GFN
hamilcycle
Hamilton cycle (filter)
No.136
GFN
seasfSTB
Seasonal filters
No.139
GFN
SETAR
Estimation of a SETAR model
No.149
ZIP
StrucTiSM
Harvey-style Structural Time Series Models
VAR, SVAR & Factor Models
Multivariate dynamic systems and common-factor structures (2 official addons incl.)
15entries
Addon
CORE
SVAR
Structural VARs
Needs time-series data
Addon
CORE
KFgui
Kalman Filter GUI
No.044
ZIP
DFM
Dynamic Factor Models
No.051
ZIP
DYconn
Diebold-Yilmaz VAR-based connectedness
No.070
ZIP
ghosts
Multivariate spectra
No.072
ZIP
GlobalFactors
Global and Local factors. Testing and PC estimation
No.098
ZIP
LocalProjection
Estimates impulse response functions using local projections
No.102
ZIP
MAR
Matrix Auto-Regressive Model
No.111
ZIP
MSVAR
Markov-Switching VAR
No.127
ZIP
PTconf
Permanent-transitory decompositions in I(1) systems, with estimation uncertainty
No.145
ZIP
staticfactor
static factor analysis
No.152
GFN
SVEC_GUI
GUI for SVECs
No.167
GFN
var_chow
Chow-test on parameter constancy for VAR models
No.166
GFN
VARrec
Compute VAR model estimates recursively
No.168
GFN
vecmI2
Tools for I2 analysis
Volatility & Financial Econometrics
GARCH-family models and market-data tools
6entries
No.018
ZIP
BEKK
BEKK multivariate GARCH model
No.029
GFN
carr
CARR models: ECARR and WCARR by Ray Y. Chou (2005, JCMB)
No.041
ZIP
DCC
Dynamic Conditional Correlation (Multivariate GARCH) model
No.071
GFN
GJR-garchm
GJR-GARCH in Mean
No.114
GFNauto
nic_gig
News Impact Curves for GARCH and GJR-GARCH
No.129
ZIP
QMLSV
QML estimation methods for univariate stochastic volatility
Panel Data Models
Estimators and diagnostics for cross-section/time panels (1 official addon incl.)
17entries
Addon
CORE
ivpanel
Within and Between TSLS models plus G2SLS
Needs panel data
No.034
GFN
cointpanel
Panel cointegration tests (Kao)
No.038
ZIP
CSDpanel
cross-section dependence in panels (test/estimate)
No.047
ZIP
DIF_panelcoint
panel no-cointegration tests with bootstrap p-values
No.048
ZIP
DPB
Dynamic Panel Binary models
No.050
GFN
dumitrescu_hurlin_test
Dumitrescu-Hurlin (2012) test: Granger causality for panel data
No.059
GFN
fe_stats
Statistics for fixed-effects estimates
No.056
GFN
felogit
Fixed-effects logit
No.058
GFN
FEPoisson
Fixed-Effects Poisson
No.068
ZIP
GFE
Grouped Fixed Effects for panel data
No.078
ZIP
hausman_taylor
Hausman-Taylor panel model
No.118
ZIP
paneldesc
Basic statistics about gaps in panel datasets
No.119
GFN
PanelTools
Collection of tools for handling panel data
No.124
ZIP
PMG
Pooled and mean group estimation (panel)
No.131
GFN
retobit
Panel Tobit model with random effects
No.154
ZIP
Threshold_Panel
Panel threshold model of Hansen (JoE, 1999)
No.173
GFN
wooldridge_test_serial
Wooldridge's test for serial correlation of residuals in panel model
Discrete & Limited-Dependent Models
Logit, probit, tobit, hurdle and count-data models (1 official addon incl.)
14entries
Addon
CORE
HIP
Heteroskedastic IV Probit
No.009
ZIP
ARprobit
Dynamic Probit (univariate/AR, Kauppi&Saikkonen)
No.020
GFN
BMST
Binary (logit + probit) model specification tests
No.039
ZIP
CUB
Uniform-Binomial mixture model for ordinal data
No.042
ZIP
dcm
Discrete choice models
No.045
ZIP
dhurdle
Double-hurdle model
No.080
GFN
heckprobit
Probit model with sample selection
No.085
GFN
ivintreg
Instrumental-variable Interval Regression
No.100
ZIP
lp-mfx
logit/probit marginal effects
No.115
ZIP
oprobit_predict
Compute predictions from ordered probit, logit
No.125
GFN
poisson_mfx
marginal effects for poisson and negbin regression
No.158
GFN
tobit_mfx
marginal effects after tobit and censored regression
No.159
GFN
tobit_y
Tobit dependent variable prediction
No.157
GFN
tobithetm
Tobit model with multiplicative heteroskedasticity
Hypothesis Testing & Diagnostics
Standalone tests for model and data assumptions
14entries
No.015
GFN
bartlett
Bartlett's test for Homogeneity of Variance
No.023
GFN
BreitungCandelonTest
Breitung-Candelon test of frequency-wise Granger (non-) causality
No.053
ZIP
exogtest
diff-in-sargan exogeneity test
No.063
GFN
Friedman
Friedman (and Quade) nonparametric c-sample tests
No.074
GFN
gqtest
obtains weights to use in wls, GQ het. test
No.081
GFN
hetero
Heteroskedasticity tests in Asteriou & Hall
No.093
GFN
KruskalWallis
Kruskal-Wallis test
No.094
GFN
KSTest
Kolmogorov-Smirnov Test
No.097
GFN
levene
Levene's Test for Equality of Variances
No.101
GFN
MannKendall
Mann-Kendall nonparametric trend test
No.112
GFN
mwu
Mann-Whitney U test with group dummy variable
No.128
ZIP
qcorr
Cross-quantilogram and partial cross-quantilogram
No.140
GFN
SFspec
Tests at once 12 specifications for the error term of the Stochastic Frontier model
No.170
GFN
waldTest
Wald test for (non)linear restrictions and conf. intervals
Estimation & Regression Tools
General-purpose estimators and regression extensions (4 official addons incl.)
22entries
Addon
CORE
ivpanel
Within and Between TSLS models plus G2SLS
Needs panel data
Addon
CORE
HIP
Heteroskedastic IV Probit
Addon
CORE
regls
Regularized least squares
No dataset required
Addon
CORE
kmeans
K-means clustering algorithm
No.012
ZIP
a_eff
advanced treatment of marginal effects and elasticities
No.002
GFN
addlist
Sequential addition of variables to a model
No.004
ZIP
ADMBP
ARDL Dynamic Multiplier Bootstrap Package
No.005
ZIP
almonreg
PDL (Almon lag) model
No.022
GFN
BoxCoxFuncForm
Best-fitting functional form
No.052
ZIP
DynMultCalc
Compute dynamic multipliers for ADL models
No.060
ZIP
FLS
Flexible Least Squares
No.064
ZIP
frontier
Stochastic Frontier Analysis
No.090
ZIP
ketvals
Kernel-based Time-Varying Least Squares
No.095
ZIP
lagreg
regressions with lagged variables
No.103
GFN
margeff_el
marg. effects, elasticities, prediction in presence of functions of vars.
No.132
ZIP
RLSStein
RLS Stein-rule estimator
No.141
GFN
ShapleyCont
Shapley based R-Squared decomposition
No.142
GFN
sols
OLS showing standardized coefficients
No.155
ZIP
thresh_infer
threshold estimation and testing (Hansen, 2000)
No.156
GFN
thresh_search
Gonzalo-Pitarakis best threshold(s) search
No.163
ZIP
TVC
Regression with Time-varying coefficients (TVC)
No.171
GFN
weightedIV
weighted IV estimation
Forecasting & Prediction
Point forecasts, smoothing and forecast evaluation
9entries
No.024
GFN
Brown
Brown linear and quadratic trend models
No.046
GFN
DiebMar
Diebold-Mariano test for predictive accuracy
No.054
GFN
fcModels
Forecasting models
No.057
ZIP
FEP
Forecast Evaluation Package
No.083
ZIP
Holt
Holt's forecasting method
No.113
ZIP
naiveFC
Simple forecasting methods
No.162
GFN
tsfcst
time series forecasting
No.165
GFN
uniFCextensions
Extensions for univariate forecast models
No.172
ZIP
Winters
Winters forecasting method
Machine Learning & Nonparametrics
Clustering, resampling, kernel and ensemble methods
17entries
No.001
GFN
adalasso
adaptive Lasso
No.016
ZIP
basis_functions
transformations of continuous variables (splines, fractional polynomials etc)
No.030
GFN
CategoryEncoders
Encoder based on categorical variables
No.037
ZIP
corresp
Simple Correspondence Analysis
No.040
GFN
CvDataSplitter
Compile cross-validation datasets
No.055
GFN
fdensity
Factorized kernel density estimation
No.065
ZIP
fsboost
Forward-stagewise boosted regression estimates
No.075
GFN
graphlasso
graphical Lasso
No.084
GFN
Imputer
Impute missing values
No.089
GFN
kddensity
kernel estimation of bivariate densities
No.091
GFN
kmeans
K-means clustering algorithm
No.092
GFN
knn
K-nearest neighbor regression and classification
No.106
GFN
MDS
Multidimensional Scaling
No.130
ZIP
random_forest
Random Forest (via R)
No.133
ZIP
roc
Computation and analysis of receiver operating characteristic curves (ROC) for binary choice models.
No.146
ZIP
stat_match
Mahalanobis and propensity score matching
No.160
GFN
TsCrossValidation
Time-series cross-validation
Spatial Econometrics
Models and statistics for spatial dependence
2entries
No.110
GFN
moran
Moran's I statistic of spatial autocorrelation
No.143
ZIP
spm
Spatial Regression Models
Graphics & Visualization
Plots, charts and graphical diagnostics
9entries
No.014
GFN
bandplot
Confidence band plot
No.027
ZIP
candlesticks
Plot candlestick chart
No.032
GFN
coefcomp
graphical comparison of confidence intervals
No.035
GFN
color_xy
color xy plot for time series
No.073
GFN
gnuplot_piechart
A simple 2D pie chart
No.079
ZIP
heatmap
Heatmap, contour and 3D plots
No.116
ZIP
PairPlot
Scatterplot matrix with factor separation
No.137
GFN
season_plot
Plot seasonal (Buys-Ballot) time-series components
No.164
ZIP
TVCplots
Plot Time-varying series with confidence bands (TVCplots)
Data Access & Management
Importing, downloading and reshaping data (3 official addons incl.)
11entries
Addon
CORE
dbnomics
obtain data via dbnomics
No dataset required
Addon
CORE
geoplot
geospatial plotting
No dataset required
Addon
CORE
logging
Structured logging for script execution
No dataset required
No.026
GFN
calendar_utils
Collection of useful date time related tools
No.062
GFN
FRED_get
Downloader of FRED data
No.067
GFN
getYahoo
To download financial data from Yahoo Finance
No.082
GFN
holidays
Retrieve list of holiday series
No.108
GFN
metadata
Retrieve metadata from gdt files.
No.117
GFN
PandasPort
Helper functions for data manipulation and analysis
No.144
ZIP
stack_data
Stack and unstack data
No.175
GFN
yahoo_get
Downloader of daily financial data from Yahoo
Programming Utilities & GUI Tools
Scripting helpers, performance and package-development aids (3 official addons incl.)
19entries
Addon
CORE
extra
extra functions for hansl scripting
No dataset required
Addon
CORE
geoplot
geospatial plotting
No dataset required
Addon
CORE
PairPlot
Scatterplot matrix with factor separation
No.010
GFN
assertion
Assert functions for verifying expectations and values in gretl tests
No.096
GFN
latextab
Write matrix as Latex table
No.104
ZIP
matlab_utilities
Various Matlab/Octave compatibility functions for use in scripting
No.105
GFN
matrix_perf
Matrix multiplication performance test
No.107
GFN
memusage
Compute memory usage of gretl objects
No.120
GFN
parallel_func
parallelized execution of a (matrices-returning) function
No.121
GFN
parallel_specs
Parallel execution of differing specifications
No.123
GFN
pkgchecker
Metrics on gfn package files and search for 'dead' code
No.134
GFN
RollingStats
Compute moving-window statistics
No.135
GFN
SB
Stationary bootstrap resampling of time series
No.138
GFN
series_calculator
Calculate and add new series to dataset via the GUI
No.147
GFN
string_utils
Helper functions for string operations
No.150
GFN
summary_xy
summary of Z categorized by two discrete series x and y
No.153
ZIP
TenTS
Functions to work with tensors
No.161
GFNauto
tsdecomp
Seasonal decomposition of time-series
No.174
GFN
wstats
weighted quantiles, frequencies and contingency tables
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