gretl 2026b released
by Allin Cottrell
See https://gretl.sourceforge.net/
Here are the changes:
2026-04-30 version 2026b
- new function which() to determine which elements of a
given matrix satisfy a specified condition
- new function fols() for factorized least squares
- new function tsolvepd() for solving Toeplitz linear
systems when the Toeplitz matrix is known to be symmetric
and positive definite
- probability distribution functions: add support for the
truncated normal distribution
- "join" command: fix possible crash on joining data from
two binary gdtb data files in succession
- correlation matrix plot: use graph-names as set by the
"setinfo" command if available
- "add" and "omit" commands with --auto option: attach to
the augmented or reduced $model bundle a list giving the
order in which regressors were added ("add_order") or
omitted ("omit_order")
- "var" command with --lagselect option: show the LR test
P-value for the null of lag order 0
- "vecm" command: in the vecm_info bundle in the $system
accessor we now provide new matrices: "long_run"
(Johansen's C), "cov_long_run" (the covariance of vec(C))
and "se_long_run" (standard errors of the elements of C),
along with additional documentation in the User's Guide
- "foreign" command block: support the --send-data option
when executing a Python script, via Pandas
- "panplot" command: correct suport for the --font option
- matrix "slicing": correct handling of an empty selection
vector, and sypport use of row and column names when
indexing into matrices
- script editor: handle "doc strings" in hansl functions
via "question mark-click"
- geoplot addon: document the cbrange option
- User's Guide: improve documentation of string literals
- GUI: /View/Correlations now shows nonparametric option
- GUI: Augment tooltips for model selection dialog buttons
- GUI: "View code" for function packages: preserve inline
comments
- GUI: fix broken display of complex matrices
- GUI: enhance searching of gretl-curated data files
- GUI: fix handling of scalar arguments in the dialog box
for calling function packages
- GUI: "ui-maker" for functions packages: support setting
a run-time default for a boolean argument
- GUI: fix breakage in Command Log on Windows and macOS
- GUI: fix breakage in string argument selector for
function packages on 32-bit Windows (GTK2)
- launching of gnuplot via gretl: respect the GNUTERM
environment variable on Linux, if present
- Windows ARM64 build: include MPI and make available an
ARM64 build of X-13ARIMA-SEATS (x13as)
- Mac builds: update GTK3 to version 3.24.52
--
Allin Cottrell
Professor Emeritus
Wake Forest University
5 months, 3 weeks
retreiving the IRF and FEVD
by Olasehinde Timmy
Dear Profs,
Could you please direct me to how to retrieve the IRF and FEVD after
SVAR/SVECM estimation?
I really appreciate any help you can provide.
Timmy.
6 months
Time-varying coefficients estimation: New version
by Ekkehart Schlicht
Hi all,
a new version of the TVC package doing time-varying coefficients
estimation in available on the Gretl server, along with an updated
version of the associated graphical backend TVCplots.
As a new feature, a Monto-Carlo check for testing time-variability of
regression coefficients has been added. This may also serve in some
cases to test the assumption of time-invariance in conventional models.
The feature is experimental. Comments are welcome.
Cheers
Ekkehart
Ekkehart Schlicht
Professor emeritus of Economics
Department of Economics
Ludwig-Maximilians-Universität München
www.semverteilung.vwl.uni-muenchen.de/ekkehart
ekkehart.schlicht(a)econ.lmu.de
Tel. +49 (0)8152 9149270
6 months, 1 week
Statistical advances in science: climatologists make a discovery
by Brian Revell
Climatologists have established that the (AMOC Atlantic meridional
overurning current)) is slowing down.
"The new research, published in the journal Science Advances
<http://www.science.org/doi/10.1126/sciadv.adx4298>, explored four
different ways of using real-world observations to assess the models. They
found a method called ridge regression, which had been little used in
climate science before now, provided the best results." [Guardian newspaper
l
They have also seem to have discovered that dedication to Bayesian
modelling, de rigeur nowadays for publishing in the natural sciences,
clearly has its limitations.
Well done Gretl ! At the forefront of usefulness.
*Brian *
6 months, 1 week
It is necessary to use robust standard error in random effect estimation
by Ramki S
When I run the code in the stata, the results are matching with gretl only when I specify the robust standard errors. Why is this case?
xtreg ANS FDIENT FDICAP FDIAST FDITUR FDIGDP FDIROTC FDIROFA FDIROS FDIEMP FDICOM FDIWAG GDPgrowth Size, re
>
Random-effects GLS regression Number of obs = 434
Group variable: Id Number of groups = 62
R-squared: Obs per group:
Within = 0.7754 min = 7
Between = 0.0372 avg = 7.0
Overall = 0.1280 max = 7
Wald chi2(13) = 525.11
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
ANS | Coefficient Std. err. z P>|z| [95% conf. interval]
-------------+----------------------------------------------------------------
FDIENT | .3538051 .1119847 3.16 0.002 .1343191 .5732911
FDICAP | .0560138 .0341982 1.64 0.101 -.0110135 .123041
FDIAST | -.0488365 .027242 -1.79 0.073 -.1022297 .0045567
FDITUR | -.0249275 .0195643 -1.27 0.203 -.0632728 .0134179
FDIGDP | .0761888 .0221277 3.44 0.001 .0328193 .1195583
FDIROTC | -.0140346 .0176176 -0.80 0.426 -.0485645 .0204953
FDIROFA | .0029775 .0053075 0.56 0.575 -.007425 .01338
FDIROS | -.0061958 .0053613 -1.16 0.248 -.0167037 .004312
FDIEMP | .0093037 .0294696 0.32 0.752 -.0484557 .0670631
FDICOM | -.0078266 .0252738 -0.31 0.757 -.0573623 .041709
FDIWAG | -.2533413 .3531677 -0.72 0.473 -.9455373 .4388548
GDPgrowth | .0565587 .0193329 2.93 0.003 .0186669 .0944505
Size | -12.14111 .6405544 -18.95 0.000 -13.39658 -10.88565
_cons | 69.71459 2.813264 24.78 0.000 64.2007 75.22849
-------------+----------------------------------------------------------------
sigma_u | 1.6051608
sigma_e | 1.0781735
rho | .68909913 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Hausman test results are also different.
Hausman test -
Null hypothesis: GLS estimates are consistent
Asymptotic test statistic: Chi-square(13) = 341.943
with p-value = 3.83701e-65
Stata:
Test of H0: Difference in coefficients not systematic
chi2(13) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= -918.16
Warning: chi2 < 0 ==> model fitted on these data
fails to meet the asymptotic assumptions
of the Hausman test; see suest for a
generalized test.
With sigmamore:
Test of H0: Difference in coefficients not systematic
chi2(13) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 237.83
Prob > chi2 = 0.0000
data:
https://www.dropbox.com/scl/fi/o9copqsun64if9n7vyu4r/2017035-data.dta?rlk...
6 months, 2 weeks
Missing value handling and correlated random effects CRE model
by Ramki S
I tried to replicate the following stata webpage example in gretl by creating cwc variables for tenure and age. After running, the number of observations are different and race_1 coefficient is very different although other coefficients are comparable. Any suggestions?
https://www.stata.com/stata-news/news39-4/correlated-random-effects-models/
Model 1: Random-effects (GLS), using 28522 observations
Included 4699 cross-sectional units
Time-series length: minimum 1, maximum 15
Dependent variable: ln_wage
Standard errors clustered by unit
coefficient std. error z p-value
---------------------------------------------------------
const 1.07919 0.0308898 34.94 2.07e-267 ***
tm_tenure 0.0586924 0.00210393 27.90 2.93e-171 ***
tm_age 0.0111681 0.00113419 9.847 7.08e-023 ***
Drace_1 0.131393 0.0117410 11.19 4.52e-029 ***
Drace_3 0.236570 0.0592482 3.993 6.53e-05 ***
Mean dependent var 1.675133 S.D. dependent var 0.478001
Sum squared resid 5607.429 S.E. of regression 0.443427
Log-likelihood −17274.26 Akaike criterion 34558.52
Schwarz criterion 34599.81 Hannan-Quinn 34571.80
rho 0.311897 Durbin-Watson 1.017081
'Between' variance = 0.106527
'Within' variance = 0.102584
mean theta = 0.577464
corr(y,yhat)^2 = 0.13988
Joint test on named regressors -
Asymptotic test statistic: Chi-square(4) = 1467.73
with p-value = 0
Breusch-Pagan test -
Null hypothesis: Variance of the unit-specific error = 0
Asymptotic test statistic: Chi-square(1) = 20404.8
with p-value = 0
Data:
https://www.dropbox.com/scl/fi/zd5od9r00esst52obcxtm/nlsdata.dta?rlkey=nu...
6 months, 2 weeks
Package updates (March 2026)
by Riccardo (Jack) Lucchetti
Dear all,
this message is to inform the community about the activity in our
function package repository: during the month of March 2026, 2 packages
were updated to a new version:
"CSDpanel", by Sven Schreiber and Jörg Breitung (test and estimators for
panel datasets with cross-section dependence)
"TVCplots", by Ekkehart Schlicht (plot time-varying series with
confidence bands)
As usual, update and enjoy!
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
6 months, 2 weeks
Grand mean centering, groupmean, cwc variable creation
by Ramki S
Hi
Is there any option to create grand mean centering of a varibale x_mc, (x_i - x_bar), group mean (x_barj), centering within clustered variable x_cwc (x_i - x_barj). These are necesary functions to teach mixed models. If there are not, i request you to provide.
6 months, 2 weeks
