gretl function packages

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Please note, the recommended way of installing these packages is via gretl: look under the menu item Tools/Function packages/On server.

Shown below are contributed function packages; in addition there are several official addons available for gretl.

Name Author Version Date Description
1

adalasso.gfn

Sven Schreiber

0.1

2023-01-22

adaptive Lasso

2

addlist.gfn

Allin Cottrell

2.0

2020-08-15

Sequential addition of variables to a model

3

ADFGLSTest.gfn

Oleh Komashko

0.1

2020-11-15

ADF-GLS test with interpolated p-values

4

ADMBP.zip [doc]

Artur Tarassow

1.0

2021-04-08

ARDL Dynamic Multiplier Bootstrap Package

5

almonreg.zip [doc]

Allin Cottrell

0.5

2022-06-09

PDL (Almon lag) model

6

arima_sim.gfn

Oleh Komashko

0.3

2022-06-28

simulation of arima(p, d, q; P, D, Q) trajectories

7

armax.gfn

Yi-Nung Yang

0.101

2017-09-22

Automatically determine and show the best ARMAX model based on either the AIC, BIC, or HQC criterion.

8

ARMA_IRF.gfn

Riccardo "Jack" Lucchetti

1.1

2023-07-16

IRF for univariate ARMA models

9

ARprobit.zip [doc]

Sven Schreiber

0.7

2021-02-21

Dynamic Probit (univariate/AR, Kauppi&Saikkonen)

10

assertion.gfn

Artur Tarassow

1.0

2020-08-22

Assert functions for verifying expectations and values in gretl tests

11

auto_arima.gfn

Artur Tarassow

0.8

2023-03-02

Return best SARIMA(x) model according to information criteria value

12

a_eff.gfn

Oleh Komashko

0.91

2021-06-27

advanced treatment of marginal effects and elasticities

13

BACE.zip [doc]

Marcin Błażejowski, Jacek Kwiatkowski

3.1

2024-03-20

Bayesian Averaging of Classical Estimates (BACE) procedure

14

bandplot.gfn

Allin Cottrell

1.1

2023-11-27

Confidence band plot

15

bartlett.gfn

Marcos Larios Santa Rosa

0.4

2021-06-28

Bartlett's test for Homogeneity of Variance

16

basis_functions.zip [doc]

Jack Lucchetti

1.0

2022-07-04

transformations of continuous variables (splines, fractional polynomials etc)

17

BayTool.zip [doc]

Luca Pedini

0.7

2023-09-09

Bayesian regression methods

18

BEKK.zip [doc]

Riccardo "Jack" Lucchetti

0.6

2024-02-27

BEKK multivariate GARCH model

19

BMA.zip [doc]

Marcin Błażejowski, Jacek Kwiatkowski

3.21

2024-03-07

Bayesian Model Averaging for the linear regression models with jointness measures

20

BMST.gfn

Artur Tarassow

2.1

2021-02-03

Binary (logit + probit) model specification tests

21

BNdecomp.gfn

Riccardo "Jack" Lucchetti

2.1

2022-11-09

Beveridge-Nelson Decomposition

22

BoxCoxFuncForm.gfn

Sven Schreiber and Jürgen Malitte

0.3

2018-10-16

Best-fitting functional form

23

Box_Cox_Value.gfn

Pedro Isaac Chávez López

1.01

2014-05-13

Obtain the lambda value of a Box-Cox Transformation

24

BreitungCandelonTest.gfn

Sven Schreiber

2.7

2023-07-21

Breitung-Candelon test of frequency-wise Granger (non-) causality

25

Brown.gfn

Ignacio Diaz-Emparanza

1.6

2022-06-10

Brown linear and quadratic trend models

26

buys_ballot.gfn

Ignacio Diaz-Emparanza, Riccardo

2.0

2018-02-15

Plots for seasonal time series

27

BVAR.zip [doc]

Luca Pedini and Sven Schreiber

0.2

2024-01-19

Estimation of Bayesian VARs

28

calendar_utils.gfn

Artur Tarassow

0.6

2023-01-07

Collection of useful date time related tools

29

candlesticks.zip [doc]

Federico Fiorani and Artur Tarassow

1.1

2022-11-15

Plot candlestick chart

30

Canova_Hansen.zip [doc]

Ignacio Diaz-Emparanza, Mª Paz Moral

1.3

2023-12-12

Seasonal stability tests

31

carr.gfn

Yi-Nung Yang

0.81

2022-09-12

CARR models: ECARR and WCARR by Ray Y. Chou (2005, JCMB)

32

CategoryEncoders.gfn

Artur Tarassow

0.4

2021-04-03

Encoder based on categorical variables

33

cffilt.zip [doc]

Riccardo Jack Lucchetti

2.2

2024-03-19

Christiano-Fitzgerald asymmetric filter

34

cointARDL.zip [doc]

Artur Tarassow

0.8

2021-04-09

Bootstrap single-eq. cointegration tests

35

cointpanel.gfn

Sven Schreiber

0.1

2019-05-27

Panel cointegration tests (Kao)

36

color_xy.gfn

Riccardo "Jack" Lucchetti

1.2

2023-09-28

color xy plot for time series

37

CommonTrendsTest.gfn

Sven Schreiber

0.91

2022-07-24

Multivariate test for common stochastic trends

38

corresp.zip [doc]

Riccardo "Jack" Lucchetti

0.8

2022-07-19

Simple Correspondence Analysis

39

CSDpanel.zip [doc]

Sven Schreiber and Jörg Breitung

0.2

2020-07-04

cross-section dependence in panels (test/estimate)

40

CUB.zip [doc]

Francesca Di Iorio, Rosaria Simone and Riccardo "Jack" Lucchetti

1.5

2023-09-28

Uniform-Binomial mixture model for ordinal data

41

CvDataSplitter.gfn

Artur Tarassow

0.3

2021-06-21

Compile cross-validation datasets

42

DCC.zip [doc]

Jack Lucchetti, Giulio Palomba and Luca Pedini

0.1

2023-03-10

Dynamic Conditional Correlation (Multivariate GARCH) model

43

dcm.zip [doc]

Oleh Komashko and Riccardo "Jack" Lucchetti

0.9

2019-04-18

Discrete choice models

44

delayspectral.gfn

Sven Schreiber

1.0

2019-03-23

Calculates signal delays in frequency domain and their uncertainty

45

DFM.zip [doc]

Ioannis A. Venetis and Riccardo "Jack" Lucchetti

0.5

2023-07-09

Dynamic Factor Models

46

dhurdle.zip [doc]

Riccardo "Jack" Lucchetti

1.4

2022-06-10

Double-hurdle model

47

DiebMar.gfn

Giulio Palomba

1.3

2019-03-22

Diebold-Mariano test for predictive accuracy

48

DIF_panelcoint.zip [doc]

F. Di Iorio and S. Fachin

2.0

2023-03-02

panel no-cointegration tests with bootstrap p-values

49

DPB.zip [doc]

Riccardo "Jack" Lucchetti and Claudia Pigini

1.3

2021-02-01

Dynamic Panel Binary models

50

DST_test.zip [doc]

Marcin Błażejowski

1.06

2017-12-19

Dickey's Stationarity Test for High Frequency Data

51

dumitrescu_hurlin_test.gfn

Giuseppe Vittucci

1.0

2017-03-25

Dumitrescu-Hurlin (2012) test: Granger causality for panel data

52

DynMultCalc.zip [doc]

Riccardo "Jack" Lucchetti and Allin Cottrell

2.0

2022-12-03

Compute dynamic multipliers for ADL models

53

exogtest.zip [doc]

Allin Cottrell

0.1

2017-07-21

diff-in-sargan exogeneity test

54

fcModels.gfn

Yi-Nung Yang

1.3

2023-01-14

Forecasting models

55

fdensity.gfn

Artur Tarassow and Riccardo "Jack" Lucchetti

0.6

2024-03-02

Factorized kernel density estimation

56

felogit.gfn

Riccardo "Jack" Lucchetti

2.1

2022-06-10

Fixed-effects logit

57

FEP.zip [doc]

Artur Tarassow and Sven Schreiber

2.91

2023-05-04

Forecast Evaluation Package

58

FEPoisson.gfn

Riccardo "Jack" Lucchetti

1.3

2021-08-12

Fixed-Effects Poisson

59

fe_stats.gfn

Allin Cottrell

1.0

2022-12-27

Statistics for fixed-effects estimates

60

FLS.zip [doc]

Riccardo "Jack" Lucchetti and Francesco Valentini

0.11

2024-02-27

Flexible Least Squares

61

FMOLS.gfn

Stefano Fachin, Riccardo "Jack" Lucchetti and Artur Tarassow

2.2

2024-02-19

Fully Modified Least Squares Estimation for I(1) variables

62

Friedman.gfn

Sven Schreiber

1.1

2017-12-10

Friedman (and Quade) nonparametric c-sample tests

63

frontier.zip [doc]

Riccardo "Jack" Lucchetti

1.1

2023-11-07

Stochastic Frontier Analysis

64

fsboost.zip [doc]

Artur Tarassow

0.5

2024-03-09

Forward-stagewise boosted regression estimates

65

gen_hurst.gfn

Joachim Reinhardt

0.1

2017-12-05

generalized Hurst exponent estimation

66

getYahoo.gfn

yinung

2023.2

2023-02-08

To download financial data from Yahoo Finance

67

GHegy.zip [doc]

Ignacio Diaz-Emparanza

1.4

2022-12-21

General seasonal unit roots tests (HEGY) and P-values

68

ghosts.zip [doc]

Allin Cottrell and Riccardo "Jack" Lucchetti

1.1

2023-12-20

Multivariate spectra

69

GJR-garchm.gfn

Yi-Nung Yang

1.3

2021-11-04

GJR-GARCH in Mean

70

GlobalFactors.zip [doc]

Ioannis A. Venetis

0.1

2023-02-11

Global and Local factors. Testing and PC estimation

71

gnuplot_piechart.gfn

Ignacio Diaz-Emparanza

1.11

2021-03-17

A simple 2D pie chart

72

gqtest.gfn

Oleh Komashko

0.31

2017-09-27

Golfeld - Quandt heteroskedasticity test

73

graphlasso.gfn

Sven Schreiber

0.2

2023-02-12

graphical Lasso

74

gregory_hansen.zip [doc]

Artur Tarassow

1.0

2021-07-09

Cointegration with regime-shifts

75

hamilcycle.gfn

Sven Schreiber

1.1

2021-06-28

Hamilton cycle (filter)

76

heatmap.zip [doc]

Riccardo "Jack" Lucchetti

1.7

2023-11-21

heatmap plots

77

heckprobit.gfn

Claudia Pigini

0.2

2020-02-12

Probit model with sample selection

78

hetero.gfn

Yi-Nung Yang

2023.3

2023-03-12

Heteroskedasticity tests in Asteriou & Hall

79

holidays.gfn

Artur Tarassow

0.3

2021-04-04

Retrieve list of holiday series

80

Holt.zip [doc]

Ignacio Diaz-Emparanza

1.0

2015-10-05

Holt's local linear trend

81

Imputer.gfn

Artur Tarassow

0.2

2023-03-12

Impute missing values

82

ivintreg.gfn

Riccardo "Jack" Lucchetti

1.3

2020-11-11

Instrumental-variable Interval Regression

83

johansenrec.gfn

Andreas Noack Jensen and Sven Schreiber

1.6

2022-07-19

Cointegration stability tests (Hansen & Johansen)

84

johansensmall.zip [doc]

Sven Schreiber and Andreas Noack Jensen

3.3

2021-09-27

Small-sample Johansen coint. rank tests (bootstrap and Bartlett)

85

Kapetanios.gfn

Andrea E. Sánchez Urbina, Ricardo Ramírez & Daniel Ventosa-Santaulària

2.1

2022-04-11

UR test with ( up to ) five structural breaks under the alternative hypothesis of trend stationarity

86

kddensity.gfn

Riccardo "Jack" Lucchetti

1.1

2023-04-09

kernel estimation of bivariate densities

87

ketvals.zip [doc]

Francesco Valentini and Riccardo "Jack" Lucchetti

1.1

2023-07-17

Kernel-based Time-Varying Least Squares

88

kmeans.gfn

Artur Tarassow

0.3

2024-02-15

K-means clustering algorithm

89

KruskalWallis.gfn

Riccardo Jack Lucchetti

1.2

2021-05-06

Kruskal-Wallis test

90

KSTest.gfn

Federico Fiorani

1.0

2023-05-11

Kolmogorov-Smirnov Test

91

lagreg.zip [doc]

Oleh Komashko

1.05

2022-10-19

regressions with lagged variables

92

latextab.gfn

Artur Tarassow

1.1

2023-07-28

Write matrix as Latex table

93

levene.gfn

Marcos Larios Santa Rosa

0.3

2017-07-02

Levene's Test for Equality of Variances

94

LocalProjection.zip [doc]

Gerardo Sebastián Díaz-Muro

1.3

2023-08-06

Linear and nonlinear IRF estimation with local projections

95

lomackinlay.gfn

Allin Cottrell and Sven Schreiber

1.2

2017-06-07

Lo-MacKinlay variance ratio test

96

lp-mfx.zip [doc]

Allin Cottrell

1.0

2019-04-29

logit/probit marginal effects

97

MannKendall.gfn

Sven Schreiber and Riccardo Jack Lucchetti

1.1

2020-09-27

Mann-Kendall nonparametric trend test

98

margeff_el.gfn

Oleh Komashko

0.7

2021-02-21

marg. effects, elasticities, prediction in presence of functions of vars.

99

mat2data.gfn

Artur Tarassow

0.5

2019-12-18

Write matrix as dataset to some file (e.g. csv, gdt)

100

matlab_utilities.zip [doc]

Peter M. Summers

0.3

2019-07-11

Various Matlab/Octave compatibility functions for use in scripting

101

matrix_perf.gfn

Allin Cottrell

1.1

2022-07-30

Matrix multiplication performance test

102

MDS.gfn

Francesca Di Iorio and Riccardo "Jack" Lucchetti

1.3

2023-09-28

Multidimensional Scaling

103

memusage.gfn

Artur Tarassow

1.0

2020-06-03

Compute memory usage of gretl objects

104

metadata.gfn

Riccardo "Jack" Lucchetti and Artur Tarassow

0.9

2020-12-18

Retrieve metadata from gdt files.

105

ModRS_test.gfn

Daniel Ventosa-Santaulària

1.1

2018-02-05

Lo's (1991) modified R/S test

106

moran.gfn

Giuseppe Vittucci

0.3

2022-06-09

Moran's I statistic of spatial autocorrelation

107

MSVAR.zip [doc]

Sven Schreiber

0.22

2021-07-13

Markov-Switching VAR

108

multiplot.gfn

Sven Schreiber and Artur Tarassow

0.4

2023-05-01

Combine multiple plots to a single graph

109

mwu.gfn

Yi-Nung Yang

0.95

2018-08-30

Mann-Whitney U test with group dummy variable

110

naiveFC.zip [doc]

Artur Tarassow

0.7

2019-06-18

Simple forecasting methods

111

oprobit_predict.zip [doc]

Allin Cottrell

1.3

2018-12-29

Compute predictions from ordered probit, logit

112

PairPlot.zip [doc]

Artur Tarassow

0.97

2024-02-17

Scatterplot matrix with factor separation

113

paneldesc.gfn

Riccardo "Jack" Lucchetti

2.0

2022-08-31

Basic statistics about gaps in panel datasets

114

PanelTools.gfn

Artur Tarassow

0.6

2023-05-02

Collection of tools for handling panel data

115

parallel_func.gfn

Sven Schreiber

0.55

2024-03-14

parallelized execution of a (matrices-returning) function

116

parallel_specs.gfn

Sven Schreiber, Allin Cottrell, Artur Tarassow

0.3

2021-03-10

Parallel execution of differing specifications

117

ParMA.zip [doc]

Riccardo "Jack" Lucchetti and Luca Pedini

0.93

2023-09-18

Parallel BMA for GLMs

118

pkgchecker.gfn

Artur Tarassow

0.2

2021-07-12

Metrics on gfn package files and search for 'dead' code

119

PMG.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

1.0

2021-03-5

Pooled and mean group estimation (panel)

120

poisson_mfx.gfn

Oleh Komashko

0.3

2021-07-02

marginal effects for poisson and negbin regression

121

PPtest.gfn

Riccardo "Jack" Lucchetti

1.0

2020-07-26

Phillips-Perron unit root test

122

PTconf.zip [doc]

Sven Schreiber

1.1

2024-01-06

Permanent-transitory decompositions in I(1) systems, with estimation uncertainty

123

qcorr.zip [doc]

Luca Pedini

0.5

2021-04-28

Cross-quantilogram and partial cross-quantilogram

124

random_forest.zip [doc]

Allin Cottrell

0.3

2023-12-18

Random Forest (via R)

125

retobit.gfn

Riccardo Lucchetti and Sven Schreiber

0.91

2021-02-12

Panel Tobit model with random effects

126

RLSStein.zip [doc]

Lee C. Adkins

1.1

2022-08-03

RLS Stein-rule estimator

127

robust_RESET.gfn

Oleh Komashko

0.2

2017-02-10

robust RESET test as in Wooldridge

128

roc.zip [doc]

Peter M. Summers

1.2

2023-01-23

Computation and analysis of receiver operating characteristic curves (ROC) for binary choice models.

129

RollingStats.gfn

Artur Tarassow

1.0

2023-02-04

Compute moving-window statistics

130

SB.gfn

F. Di Iorio, S. Fachin, A. Tarassow, Riccardo "Jack" Lucchetti

1.4

2023-01-28

Stationary bootstrap resampling of time series

131

seasfSTB.gfn

Ignacio Diaz-Emparanza

1.1

2018-04-06

Seasonal filters

132

season_plot.gfn

Artur Tarassow

0.1

2020-08-17

Plot seasonal time-series components

133

series_calculator.gfn

Sven Schreiber

0.1

2020-05-26

Calculate and add new series to dataset via the GUI

134

SETAR.gfn

Federico Lampis & Ignacio Díaz-Emparanza

1.5

2022-11-27

Estimation of a SETAR model

135

SFspec.gfn

Alecos Papadopoulos

1.0

2023-11-07

Tests at once 12 specifications for the error term of the Stochastic Frontier model

136

ShapleyCont.gfn

Ernesto Rivera y María José Arteaga

1.1

2019-05-23

Shapley based R-Squared decomposition

137

sols.gfn

Allin Cottrell

1.4

2021-03-26

OLS showing standardized coefficients

138

sparse.gfn

Riccardo "Jack" Lucchetti

1.01

2017-04-06

Sparse matrix functions

139

spm.zip [doc]

Chiara Casoli, Luca Pedini and Francesco Valentini

0.2

2022-11-07

Spatial Regression Models

140

stack_data.zip [doc]

Artur Tarassow

1.0

2021-03-12

Stack and unstack data

141

staticfactor.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.82

2023-03-13

static factor analysis

142

stat_match.zip [doc]

Paolo Chirico

1.0

2023-07-10

Propensity score and mahalanobis matching

143

string_utils.gfn

Artur Tarassow

0.7

2023-12-29

Helper functions for string operations

144

StrucBreak.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.91

2021-07-20

Autodetection of structural breaks in linear models, Bai-Perron style

145

StrucTiSM.zip [doc]

Riccardo "Jack" Lucchetti and Sven Schreiber

0.82

2024-02-08

Harvey-style Structural Time Series Models

146

summary_xy.gfn

Yi-Nung Yang

2023.4

2023-04-03

summary of Z categorized by two discrete series x and y

147

suradf.gfn

Allin Cottrell

0.3

2022-06-09

SUR-based ADF-type test for multiple time series

148

SVEC_GUI.gfn

Sven Schreiber

0.3

2020-02-18

GUI for SVECs

149

Threshold_Panel.zip [doc]

Artur Tarassow

2.3

2022-06-02

Panel threshold model of Hansen (JoE, 1999)

150

tobithetm.gfn

Oleh Komashko

0.43

2018-02-12

Tobit model with multiplicative heteroskedasticity

151

tobit_mfx.gfn

Oleh Komashko

0.4

2021-06-27

marginal effects after tobit and censored regression

152

tobit_y.gfn

Allin Cottrell

0.4

2022-07-19

Tobit dependent variable prediction

153

TsCrossValidation.gfn

Artur Tarassow

0.3

2021-07-05

Time-series cross-validation

154

tsfcst.gfn

Oleh Komashko

0.6

2021-12-28

time series forecasting

155

TVC.zip [doc]

Ekkehart Schlicht

2.0

2023-12-21

Regression with Time-varying coefficients (TVC)

156

TVCplots.zip [doc]

Ekkehart Schlicht

2.0

2023-12-19

Plot Time-varying series with confidence bands (TVCplots)

157

uniFCextensions.gfn

Sven Schreiber

1.1

2021-06-27

Extensions for univariate forecast models

158

VARrec.gfn

Artur Tarassow

0.3

2022-11-11

Compute VAR model estimates recursively

159

var_chow.gfn

Artur Tarassow

1.00

2022-09-16

Chow-test on parameter constancy for VAR models

160

vecmI2.gfn

Andreas Noack Jensen

0.2

2018-05-21

Tools for I2 analysis

161

VSG_test.gfn

Daniel Ventosa-Santaulària

1.3

2018-10-25

Tests for a drift (and a shift) in a unit-root process

162

waldTest.gfn

Oleh Komashko

1.2

2021-06-27

Wald test for (non)linear restrictions and conf. intervals

163

weightedIV.gfn

Sven Schreiber

0.2

2024-02-16

weighted IV estimation

164

Winters.zip [doc]

Ignacio Diaz-Emparanza

1.1

2022-04-29

Smoothing and forecasting method for seasonal time series

165

wooldridge_test_serial.gfn

Giuseppe Vittucci Marzetti and Artur Tarassow

2.1

2019-09-02

Wooldridge's test for serial correlation of residuals in panel model

166

wstats.gfn

Riccardo "Jack" Lucchetti

1.2

2023-07-02

weighted frequencies and contingency tables

167

yahoo_get.gfn

Riccardo "Jack" Lucchetti

3.5

2022-08-21

Downloader of daily financial data from Yahoo