Gretl

Gretl is an application software package for econometric modeling.

Capabilities of

• Estimation of parameters using the method of least squares (OLS), method of maximum likelihood (ML), generalized method of moments (GMM), etc;
• Seasonality extraction using X-12-ARIMA and TRAMO/SEATS (Time series Regression with ARIMA noise, Missing values and Outliers / Signal Extraction in ARIMA Time Series) embedded packages;
• Time series models: autoregressive moving average (ARMA), autoregressive integrated moving average (ARIMA), generalized autoregressive conditional heteroscedasticity (GARCH), vector autoregressive (VAR), vector error correction model (VECM), etc;
• Models with limited dependent variables: logit, probit, tobit, interval regression, etc;
• Model output in LaTeX format;
• Scripting scripting language with loop support for Monte Carlo method and iterative evaluation procedures;
• Creation of graphs with Gnuplot;
• Integration with GNU R, GNU Octave, and Ox for further data analysis.