Econometrics with gretl Proceedings of the gretl Conference 2009 Bilbao, Spain, May 28-29 I. D´ıaz-Emparanza, P. Mariel, M.V. Esteban (Editors) Econometrics with gretl Proceedings of the gretl Conference 2009 Bilbao, Spain, May 28-29, 2009 Econometrics with gretl Proceedings of the gretl Conference 2009 Bilbao, Spain, May 28-29, 2009 I. D´ıaz-Emparanza, P. Mariel, M.V. Esteban (Editors) Editors: Ignacio D´ıaz-Emparanza Departamento de Econom´ıa Aplicada III (Econometr´ıa y Estad´ıstica) Facultad de Ciencias Econ´omicas y Empresariales Universidad del Pa´ıs Vasco Avenida Lehendakari Aguirre, 83 48015 Bilbao Spain Petr Mariel Departamento de Econom´ıa Aplicada III (Econometr´ıa y Estad´ıstica) Facultad de Ciencias Econ´omicas y Empresariales Universidad del Pa´ıs Vasco Avenida Lehendakari Aguirre, 83 48015 Bilbao Spain Mar´ıa Victoria Esteban Departamento de Econom´ıa Aplicada III (Econometr´ıa y Estad´ıstica) Facultad de Ciencias Econ´omicas y Empresariales Universidad del Pa´ıs Vasco Avenida Lehendakari Aguirre, 83 48015 Bilbao Spain c UPV/EHU ISBN: 978-84-692-2600-1 Dep´osito Legal: BI-1428-09 Preface This proceedings volume contains the papers presented at the GRETL CONFER- ENCE held in Bilbao, Spain, May 28-29, 2009. The gretl project (GNU Regression, Econometrics and Time Series Library) was initially promoted at the beginning of 2000 by Allin Cottrell, who took, as the basis for it, the econometric program “ESL”, originally developed by Ramu Ramanathan and published under an open source license. It was around August 2000 when the Free Software Foundation decided to accept gretl as a GNU program. It was at that point when the community of gretl users started to grow. In 2004 Riccardo (Jack) Lucchetti started his collaboration with the project, acting as a second programmer. The use of the gettext program has really been the turning point for gretl to become a more international software. In fact, gretl is currently translated to Basque (Susan Orbe and Marian Zubia), Czech (the CERGE-EI team lead by J. Hanousek), German (Markus Hahn and Sven Schreiber), French (Florent Bres- son and Michel Robitaille), Italian (Cristian Rigamonti), Polish (Pawel Kufel, Tadeusz Kufel and Marcin Blazejowski), Portuguese (Hélio Guilherme), Brazil- ian Portuguese (Hélio Guilherme and Henrique Andrade), Russian (Alexander B. Gedranovich), Spanish (Ignacio Díaz-Emparanza), Turkish (A. Talha Yalta), and, pretty soon, Chinese (Y. N. Yang). The 2009 gretl Conference has been the first gretl program users and devel- opers meeting. The conference has been organized as a small scientific meet- ing, having three invited conferences given by Allin Cottrell, Stephen Pollock and Jack Lucchetti, to whom conference organizers wish to give their special thanks for their collaboration and willingness to participate in the conference. Papers presented in the different sessions scheduled at the conference have con- tributed to develop and extend our knowledge about gretl and some other free software programs for econometric computations and teaching. Allin Cottrell talked about the evolution and development of gretl from its beginnings and, in addition, he also described which ones would be, in his view, the future chal- lenges and paths this interesting project could follow. Stephen Pollock intro- duced IDEOLOG, a program that allows the filtering of economic time series and that also includes several novel specific filtering procedures that mainly op- erate in the frequency domain. Jack Lucchetti presented an econometric analysis of the data from the gretl downloads from SourceForge. His findings suggested that, even though gretl has become a fundamental tool for teaching Economet- II rics, it has not yet been widely accepted as a computation program for research in Economics. Organizers wish to thank specially authors who sent their papers for evalu- ation. Their active collaboration has allowed organizers to be able to have four very interesting and differently focused sessions in the scientific programme for this conference. The first one dealt with Econometric Theory, the second one centered on Econometric Applications , the third one on the use of Free- software programs for teaching Econometrics, and the last one concentrated on Contributions to the development of gretl. The editors of this volume wish to show their most sincere appreciation and thanks to Josu Arteche, Giorgio Calzolari, Michael Creel, Josef Jablonsky, and Tadeusz Kufel, for their effort and dedication to the conference success as members of the Scientific Committee. We also wish to thank specially those authors presenting papers appearing in this proceedings volume, for their care- ful manuscript preparation so that our editing work was a lot easier to handle. Finally, we wish to thank Vicente Núñez-Antón for his valuable help in the preparation and organization of this conference. Ignacio, Petr and Maria Victoria Bilbao, April 2009 Organization The gretl Conference 2009 is organized by the Department of Applied Eco- nomics III (Econometrics and Statistics), the University of the Basque Country and the School of Economics and Business Administration in cooperation with the gretl Development Team. Organizing Commitee Conference Chair: Ignacio Díaz-Emparanza (University of the Basque Country, Spain) Co-Chair: Petr Mariel (University of the Basque Country, Spain) Members: Maria Victoria Esteban (University of the Basque Country, Spain) Allin Cottrell (Wake Forest University, USA) Ricardo (Jack) Lucchetti (Università Politec- nica delle Marche, Italy) A. Talha Yalta (TOBB University of Eco- nomics and Technology, Turkey) Scientific Committee Josu Arteche (University of the Basque Country, Spain) Giorgio Calzolari (University of Firenze, Italy) Michael Creel (Universitat Autònoma de Barcelona, Spain) Josef Jablonsky (University of Economics, Prague, Czech Republic) Tadeusz Kufel (Nicolaus Copernicus University, Poland) Sponsoring Institutions Department of Education of the Basque Government through grant IT-334-07 (UPV/EHU Econometrics Research Group) EUSTAT (Basque Institute of Statistics) Bilbao Turismo and Convention Bureau IV Table of Contents gretl Conference 2009 Invited Lectures Gretl: Retrospect, Design and Prospect ::::::::::::::::::::::::::: 3 Allin Cottrell IDEOLOG: A Program for Filtering Econometric Data—A Synopsis of Alternative Methods :::::::::::::::::::::::::::::::::::::::: 15 D.S.G. Pollock Who Uses gretl? An Analysis of the SourceForge Download Data :::::: 45 Riccardo (Jack) Lucchetti Econometric Theory An Instrumental Variables Probit Estimator using gretl ::::::::::::::: 59 Lee C. Adkins Automatic Procedure of Building Congruent Dynamic Model ::::::::: 75 Marcin Błazejowski,˙ Paweł Kufel, and Tadeusz Kufel Instrumental Variable Interval Regression ::::::::::::::::::::::::: 91 Giulia Bettin, Riccardo (Jack) Lucchetti Applied Econometrics A Model for Pricing the Italian Contemporary Art Paintings::::::::::: 111 Nicoletta Marinelli, Giulio Palomba Analysis of the Tourist Sector Investment Appeal Using the PCA in gretl 135 Tetyana Kokodey Has the European Structural Fisheries Policy Influenced on the Second Hand Market of Fishing Vessels? :::::::::::::::::::::::::::::::: 143 Ikerne del Valle, Kepa Astorkiza, Inmaculada Astorkiza Vertical Integration in the Fishing Sector of the Basque Country: Applications to the Market of Mackerel ::::::::::::::::::::::::::: 171 Javier García Enríquez VI Teaching Econometrics with Free Software Useful Software for Econometric Beginners ::::::::::::::::::::::: 179 Šárka Lejnarová, Adéla Rácková Teaching and Learning Econometrics with Gretl :::::::::::::::::::: 191 Rigoberto Pérez, Ana Jesús López The Roster-in-a-Box Course Management System :::::::::::::::::: 203 Tavis Barr Contributions to gretl Development On Embedding Gretl in a Python Module ::::::::::::::::::::::::: 219 Christine Choirat, Raffaello Seri An Alternative to Represent Time Series: “the Time Scatter Plot” :::::: 229 Alberto Calderero, Hanna Kuittinen, Javier Fernández-Macho Wilkinson Tests and gretl :::::::::::::::::::::::::::::::::::::: 243 A. Talha Yalta, A. Yasemin Yalta Subject Index:::::::::::::::::::::::::::::::::::::::::::::: 252 Author Index :::::::::::::::::::::::::::::::::::::::::::::: 253 Invited Lectures 2 Gretl: Retrospect, Design and Prospect Allin Cottrell Department of Economics, Wake Forest University. [email protected] Abstract. In this paper I will give a brief overview of the history of gretl’s de- velopment, comment on some issues relating to gretl’s overall design, and set out some thoughts on gretl’s future. 1 Retrospect Gretl’s “modern history” began in September, 2001, when the gretl code was first imported to CVS at sourceforge.net. The program’s “pre-history” goes back to the mid-1990s. I will briefly describe this background. 1.1 Econometrics software on DOS and Windows 3.0 I began teaching econometrics at Wake Forest University in 1989. I had taught a related course, Business Statistics, at Elon College in North Carolina over the previous few years, and had tried using various statistical packages—RATS and PcGive in particular. Both of these were powerful programs but neither was particularly user-friendly for undergraduates with little computing background. “EZ-RATS” was a brave attempt at user-friendliness but not a great success: it regular crashed and lost my students’ work. When I started at Wake Forest I tried a different approach, using Ramanathan’s (1989) textbook, which came with its own DOS software, Ecslib (later known as ESL). Ecslib offered