Using gret l for Principles of Econometrics, 4th Edition

What is Gretl?

Gretl is an acronym for Gnu Regression, Econometrics and Time-series Library. It is a software package for doing econometrics that is easy to use and powerful. It features a very user-friendly interface that makes it snap to use in classroom. Its flexibility, extensibility, and accuracy make it well-suited for research as well. Gretl is distributed as free software that can be downloaded from http://gretl. sourceforge. net and installed on your personal computer. Unlike software sold by commercial vendors (SAS, Eviews, Shazam to name a few) you can redistribute and/or modify gretl under the terms of the GNU General Public License (GPL) as published by the Free Software Foundation. That means that you are free to patch or extend gretl as you see fit.

Gretl comes with many sample data files and its internet capabilities give you access to several very useful databases served by Wake Forest University. From the gretl web site, you can download and install sample data sets from many of the leading textbooks in econometrics, including the one that this book is based on, Principles of Econometrics by Hill et al. (2011).

Gretl offers a full range of least-squares based estimators, either for single equations and for systems, including vector autoregressions and vector error correction models. Several specific max­imum likelihood estimators (e. g. probit, ARIMA, GARCH) are also provided natively; more ad­vanced estimation methods can be implemented by the user via generic maximum likelihood or nonlinear GMM. Gretl uses a separate Gnu program called gnuplot to generate graphs and is capable of generating output in MEX format. Gretl is under constant development so you can

probably expect some bugs, but in my experience it is quite stable to use with my Windows and Ubuntu Linux systems. The main developers, Allin Cottrell and Jack Lucchetti, participate daily in discussions on the gretl forums and quickly sort out any bugs that are reported.

Which brings me to the final plug for gretl, which is inspired by its openness. As seen with a lot of the better quality open source software, a community of developers and users are woven together via active user and developer forums. The input from their many participants helps to make gretl quite dynamic. If gretl will not estimate what you want today, tune-in tomorrow and someone may have written the code to estimate your econometric problem.

Furthermore, gretl is enhancing its scripting language to facilitate sophisticated add-ons to its basic functionality. In short, gretl is quickly becoming software worth getting to know for research as well as for pedagogical uses.