Grocer is an open source econometric toolbox particularly devoted to time series for Scilab, a matrix-oriented software similar to Gauss and Matlab.
This software is free, open source and performs most usual econometric tasks that commercial software perform ( single and multiple regression methods, diagnostic testing, VAR methods, unit roots and cointegration methods, Kalman filtering, etc). It contains a time series object, which allows all usual operations.
Moreover, Grocer contains functions, aimed at selecting the best linear model from a large information set, that no other software today perform, except for PC-gets.
Features include:
- Ordinary least squares and various single equation methods
(autocorelated models, instrumental variables, non linear least squares, robust methods,…). - Basic estimation with limited dependent variables: ordered logit and probit (with 2 or more variables); tobit; multivariate logit.
- Specification tests (multicolinearity, autocorelation, heteroskedasticity, normality, predictive failure,…).
- Simultaneous equations methods (SUR, two and three stage least squares,…).
- VAR, VECM, VARMA and GARCH estimation.
- Generalized Method of Moments (GMM).
- Kalman filter and time varying parameters estimation.
- Unit root tests (ADF, KPSS,…), panel unit roots and cointegration methods (CADF, Johansen,…).
- Various business cycle tools: HP, Baxter-King and Christiano-Fitzgerald .filters, the Bry-Boschan-Harding-Pagan procedure for the datation of turning points, spectral analysis.
- Basic panel data estimation: fixed and random effects, between estimation.
- Static and Dynamic factor estimation.
- Numerous time series disaggregation methods: Chow-Lin, Litterman, and more.
Website: grocer.toolbox.free.fr
Support: Documentation
Developer: Eric Dubois, Emmnanuel Michaux
License: CECILL license
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