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Gretl: A free alternative to EViews



Software Review



Gretl logo
Gretl is a free open source time series and regression modelling program, designed for the purpose of econometrics.  Gretl is very similar to the econometrics software EViews. 
 
 
Features (listed on the Gretl website):
  • Easy intuitive interface (now in French, Italian, Spanish, Polish, German, Basque, Portuguese, Russian, Turkish and Czech as well as English)
  • A wide variety of estimators: least squares, maximum likelihood, GMM; single-equation and system methods
  • Time series methods: ARMA, GARCH, VARs and VECMs, unit-root and cointegration tests, etc.
  • Limited dependent variables: logit, probit, tobit, interval regression, models for count and duration data, etc.
  • Output models as LaTeX files, in tabular or equation format
  • Integrated scripting language: enter commands either via the gui or via script
  • Command loop structure for Monte Carlo simulations and iterative estimation procedures
  • GUI controller for fine-tuning Gnuplot graphs
  • Links to GNU R, GNU Octave and Ox for further data analysis
 
It comes with convenient point and click windows for stationarity tests, allowing the user to choose the type of test and whether to take into account the constant and/or time trend(s). 

ADF testADF test output
 

The forecasts are made automatically and include actual values, point estimates, prediction intervals and a graph.  This can be very handy when differencing or autocorrelation is involved. 
 
forecast graph
forecast output
 

Gretl website:

http://gretl.sourceforge.net/

See also:

PSPP: A free alternative to SPSS
TANAGRA: A free data-mining program





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