gretl is an application that has been designed for econometric analysis. It is written in the C programming language and is also available for the MacOS X platform.
Key features include:
- Intuitive user interface.
- Multilingual support.
- A wide variety of estimators including: least squares, maximum likelihood, GMM; single-equation and system methods.
- Time series methods: ARIMA, a wide variety of univariate GARCH-type models, VARs and VECMs (including structural VARs), unit-root and cointegration tests, Kalman filter, etc.
- Limited dependent variables: logit, probit, tobit, sample selection, interval regression, models for count and duration data, etc.
- Panel-data estimators, including instrumental variables, probit and GMM-based dynamic panel models.
- Output models as LaTeX files, in tabular or equation format.
- Integrated powerful scripting language (known as hansl), with a wide range of programming tools and matrix operations.
- GUI controller for fine-tuning Gnuplot graphs.
- An expanding range of contributed function packages, written in hansl.
- Facilities for easy exchange of data and results with GNU R, GNU Octave, Python, Ox and Stata.
Supported formats include:
- Own XML data files.
- Comma Separated Values.
- Gnumeric and Open Document worksheets.
- Stata .dta files.
- SPSS .sav files.
- Eviews workfiles.
- JMulTi data files.
- Own format binary databases (allowing mixed data frequencies and series lengths).
- RATS 4 databases and PC-Give databases.
gretl has language support for English, French, Italian, Spanish, Polish, German, Basque, Catalan, Galician, Portuguese, Russian, Turkish, Czech, Traditional Chinese, Albanian, Bulgarian, Greek, Japanese and Romanian.
New function instring(): boolean variant of strstr()
"join" command: add --aggr=spread option for importing high frequency data for use in MIDAS analysis.
strsplit() function: add optional third argument to choose the separator on which to split strings.
mreverse() function: make this work for a list argument.
hpfilt() function: add option of one-sided filter.
svm() function: better handling of missing values, and add support for probability estimation.
cdf() function and friends: add support for Laplace distribution.
R-function support: handle string arguments.
rename some functions: colnames becomes cnameset, rownames becomes rnameset, and colname becomes cnameget; the old names still work as aliases.
New function rnameget(), strictly analogous to cnameget().
Fix bug: setting of a series as "discrete" via the GUI got broken.
Fix bug: the --www option for opening a database file got broken.
Error messages from X13-ARIMA: try to relay these to the user more effectively.
"arima" command: big speed-up for exact ML estimation of specifications without an AR component.
"heckit" command: add selection equation regressor list to $model bundle under the key "zlist".
"xtab" command: add --quiet option and enable accessors $test and $pvalue for the Pearson chi-square test in the bivariate case.
"difftest" command: add --quiet option.
"smpl" command: add --quiet option.
"foreign" command, python interface: add support for fast data transfer via binary matrix files.
CSV data reader: support date format YYYY-Qq for quarterly data.
Kalman filter documentation: add an example, one-sided Hodrick-Prescott filter in the manner of Stock and Watson.
GUI: tabbed script editor option: make this the default.
GUI convenience: add facility to generate 100-based indices of selected series.
GUI plot editor: support selection of dash patterns for plots using lines.
GUI file chooser for "Open data": remember the last chosen file type and set the filter accordingly.
Build fix: correct undefined symbol in cephes/iv.c.
Boxplots: fix for incorrect extent of "whiskers" in some cases.
Boxplots: fix for "collapse" of boxplot when edited in the GUI, if the locale decimal separator is ','.
GUI fix: the iterate option for groupwise weighted least squares (Model/Panel menu) had become disconnected.
GUI fix: plot with confidence band could go wrong in the presence of missing values.
Windows fix: error on trying to save a record of executed commands on program exit.
Several refinements for configuring and building gretl on MS Windows.
Windows packages: update to gtk 2.24.32.
OS X fix: intra-program drag-and-drop provoked crash.
Translations: add simplified Chinese.