Gretl Manual

Gnu Regression, Econometrics and Time-series Library

Allin Cottrell

Department of Economics
Wake Forest University

Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1.1 or any later version published by the Free Software Foundation (see http://www.gnu.org/licenses/fdl.html).


Table of Contents
1. Introduction
Features at a glance
Acknowledgements
Installing the programs
Linux
MS Windows
Updating
2. Getting started
Let's run a regression
Estimation output
The main window menus
The gretl toolbar
3. Modes of working
Command scripts
The gretl console
The "session" concept
Introduction
The model table
Saving and re-opening sessions
4. Data files
Native format
Other data file formats
Binary databases
Online access to databases
RATS 4 databases
Creating a data file from scratch
Common points on imported data
Appending imported data
Using the built-in spreadsheet
Selecting from a database
Creating a gretl data file independently
Further note
Missing data values
Data file collections
5. Panel data
Panel structure
Dummy variables
Using lagged values with panel data
Pooled estimation
Illustration: the Penn World Table
6. Graphs and plots
Gnuplot graphs
Boxplots
7. Nonlinear least squares
Introduction and examples
Initializing the parameters
NLS dialog window
Analytical and numerical derivatives
Controlling termination
Details on the code
Numerical accuracy
8. Loop constructs
Monte Carlo simulations
Iterated least squares
Indexed loop
9. Options, arguments and path-searching
gretl
gretlcli
Path searching
MS Windows
10. Command Reference
Introduction
gretl commands
add
addto
adf
ar
arch
arma
chow
coeffsum
coint
coint2
corc
corr
corrgm
criteria
critical
cusum
data
delete
diff
end
endloop
equation
eqnprint
fcast
fcasterr
fit
freq
genr
gnuplot
graph
hausman
hccm
help
hilu
hsk
if
import
info
label
labels
lad
lags
ldiff
leverage
lmtest
logistic
logit
logs
loop
meantest
mpols
multiply
nls
noecho
nulldata
ols
omit
omitfrom
open
outfile
pca
panel
pergm
plot
pooled
print
printf
probit
pvalue
quit
rename
reset
rhodiff
rmplot
run
runs
scatters
seed
setobs
setmiss
shell
sim
smpl
spearman
square
store
summary
system
tabprint
testuhat
tsls
var
varlist
vartest
wls
Estimators and tests: summary
11. Troubleshooting gretl
Bug reports
Auxiliary programs
12. The command line interface
Gretl at the console
Changes from Ramanathan's ESL
A. Data file details
Basic native format
Traditional ESL format
Binary database details
B. Technical notes
C. Numerical accuracy
D. Advanced econometric analysis with free software
E. Listing of URLs
Bibliography
List of Tables
4-1. Typical locations for file collections
7-1. Nonlinear regression: the NIST tests
9-1. Default path settings
10-1. Examples of use of genr command
10-2. Estimators
10-3. Tests for models
List of Figures
2-1. Practice data files window
2-2. Main window, with a practice data file open
2-3. Model specification dialog
2-4. Model output window
3-1. Script window, editing a command file
3-2. Icon view: one model and one graph have been added to the default icons
3-3. Example of model table
6-1. gretl's gnuplot controller
7-1. NLS dialog box
List of Examples
5-1. Lags with panel data
5-2. Use of the Penn World Table
7-1. Consumption function from Greene
7-2. Nonlinear function from Russell Davidson
8-1. Simple Monte Carlo loop
8-2. Nonlinear consumption function
8-3. ARMA 1, 1
8-4. Indexed loop example
8-5. Second indexed loop example