Gretl User’s Guide Gnu Regression, Econometrics and Time-series Library Allin Cottrell Department of Economics Wake Forest University Riccardo “Jack” Lucchetti Dipartimento di Economia Università Politecnica delle Marche August, 2021 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). Contents 1 Introduction 1 1.1 Features at a glance.........................................1 1.2 Acknowledgements.........................................1 1.3 Installing the programs.......................................2 I Running the program3 2 Getting started 4 2.1 Let’s run a regression........................................4 2.2 Estimation output..........................................6 2.3 The main window menus......................................7 2.4 Keyboard shortcuts......................................... 10 2.5 The gretl toolbar........................................... 10 3 Modes of working 12 3.1 Command scripts........................................... 12 3.2 Saving script objects......................................... 14 3.3 The gretl console........................................... 14 3.4 The Session concept......................................... 15 4 Data files 18 4.1 Data file formats........................................... 18 4.2 Databases............................................... 18 4.3 Creating a dataset from scratch.................................. 19 4.4 Structuring a dataset......................................... 21 4.5 Panel data specifics......................................... 23 4.6 Missing data values......................................... 27 4.7 Maximum size of data sets..................................... 28 4.8 Data file collections......................................... 28 4.9 Assembling data from multiple sources............................. 30 5 Sub-sampling a dataset 31 5.1 Introduction.............................................. 31 5.2 Setting the sample.......................................... 31 5.3 Restricting the sample........................................ 32 i Contents ii 5.4 Panel data............................................... 33 5.5 Resampling and bootstrapping.................................. 34 6 Graphs and plots 36 6.1 Gnuplot graphs............................................ 36 6.2 Plotting graphs from scripts.................................... 40 6.3 Boxplots................................................ 44 7 Joining data sources 47 7.1 Introduction.............................................. 47 7.2 Basic syntax.............................................. 47 7.3 Filtering................................................. 48 7.4 Matching with keys.......................................... 49 7.5 Aggregation.............................................. 52 7.6 String-valued key variables..................................... 52 7.7 Importing multiple series...................................... 53 7.8 A real-world case........................................... 54 7.9 The representation of dates.................................... 56 7.10 Time-series data........................................... 57 7.11 Special handling of time columns................................. 60 7.12 Panel data............................................... 60 7.13 Memo: join options......................................... 62 8 Realtime data 65 8.1 Introduction.............................................. 65 8.2 Atomic format for realtime data................................. 65 8.3 More on time-related options................................... 67 8.4 Getting a certain data vintage................................... 67 8.5 Getting the n-th release for each observation period..................... 68 8.6 Getting the values at a fixed lag after the observation period................ 69 8.7 Getting the revision history for an observation........................ 70 9 Temporal disaggregation 73 9.1 Introduction.............................................. 73 9.2 Notation and design......................................... 74 9.3 Overview of data handling..................................... 75 9.4 Function signature.......................................... 75 9.5 Handling of deterministic terms.................................. 77 9.6 Some technical details........................................ 77 9.7 The plot option............................................ 79 9.8 Multiple low-frequency series................................... 79 Contents iii 9.9 Examples................................................ 80 10 Special functions in genr 81 10.1 Introduction.............................................. 81 10.2 Cumulative densities and p-values................................ 82 10.3 Retrieving internal variables (dollar accessors)......................... 83 11 Gretl data types 84 11.1 Introduction.............................................. 84 11.2 Series.................................................. 84 11.3 Scalars................................................. 85 11.4 Matrices................................................. 85 11.5 Lists................................................... 85 11.6 Strings................................................. 85 11.7 Bundles................................................. 86 11.8 Arrays.................................................. 90 11.9 The life cycle of gretl objects.................................... 93 12 Discrete variables 96 12.1 Declaring variables as discrete................................... 96 12.2 Commands for discrete variables................................. 97 13 Loop constructs 101 13.1 Introduction.............................................. 101 13.2 Loop control variants........................................ 101 13.3 Progressive mode........................................... 104 13.4 Loop examples............................................ 104 14 User-defined functions 108 14.1 Defining a function.......................................... 108 14.2 Calling a function........................................... 111 14.3 Deleting a function.......................................... 111 14.4 Function programming details................................... 112 14.5 Function packages.......................................... 119 15 Named lists and strings 120 15.1 Named lists.............................................. 120 15.2 Named strings............................................. 125 16 String-valued series 129 16.1 Introduction.............................................. 129 16.2 Creating a string-valued series................................... 129 Contents iv 16.3 Permitted operations........................................ 131 16.4 String-valued series and functions................................ 133 16.5 Other import formats........................................ 134 17 Matrix manipulation 136 17.1 Creating matrices........................................... 136 17.2 Empty matrices............................................ 137 17.3 Selecting submatrices........................................ 138 17.4 Deleting rows or columns...................................... 139 17.5 Matrix operators........................................... 140 17.6 Matrix–scalar operators....................................... 142 17.7 Matrix functions........................................... 142 17.8 Matrix accessors........................................... 148 17.9 Namespace issues.......................................... 149 17.10Creating a data series from a matrix............................... 149 17.11Matrices and lists........................................... 149 17.12Deleting a matrix........................................... 150 17.13Printing a matrix........................................... 151 17.14Example: OLS using matrices.................................... 151 18 Complex matrices 153 18.1 Introduction.............................................. 153 18.2 Creating a complex matrix..................................... 153 18.3 Indexation............................................... 154 18.4 Operators................................................ 155 18.5 Functions................................................ 155 18.6 File input/output........................................... 156 18.7 Backward compatibility....................................... 156 19 Calendar dates 160 19.1 Introduction.............................................. 160 19.2 Calendrical functions........................................ 160 19.3 Working with pre-Gregorian dates................................ 163 19.4 Year numbering............................................ 164 20 Handling mixed-frequency data 165 20.1 Basics.................................................. 165 20.2 The notion of a “MIDAS list”.................................... 167 20.3 High-frequency lag lists....................................... 168 20.4 High-frequency first differences.................................. 170 20.5 MIDAS-related plots......................................... 170 Contents v 20.6 Alternative MIDAS data methods................................. 170 21 Cheat sheet 176 21.1 Dataset handling........................................... 176 21.2 Creating/modifying variables................................... 180 21.3 Neat tricks............................................... 187 II Econometric methods 192 22 Robust