9:12 p.m.
Allin Cottrell wrote on 07/14/2005:
As for forecasting, that's now pretty much done in the latest
release. In gretl CVS we have seasonal ARMA and considerably
enhanced support for VARs. We don't yet have a serious start on
user-defined matrix manipulation, though many of the required basic
functions are there in gretl_matrix.c.
More generally, the question is, what level of sophistication is
gretl aiming for? My original idea (as I recall) was that I wanted
gretl to be an excellent tool for undergraduate-level econometrics.
I think we've pretty much got there, but the target has moved.
I think the notion is: If gretl provides a good interface for doing
econometric work, why stop at the basics? The value of gretl, even
to undergrads, will be enhanced if they can continue to use this
program for professional work.
"Shadowing or avoiding commercial products"
What I have here is more of an attitude than a definite plan, but
I'd like for gretl to be able to do much of what Eviews can, but
better(!).
This is my itch.
I had hoped to be working on this nights & weekends, but a few
complications came up in the spring (a long story...).
What I would like to see is a macroeconomic forecasting environment that
is a superset of gretl.
My inspiration/itch is my experience at Chase Econometrics in the early
1980s and what we could and were trying to do on mainframe virtual
machines.
The environment had several elements:
1. XSIM - regression, multi-equation simulation/modeling, time-series
database, scripting language, report writer (similar to TROLL)
2. Chase Econometric Macroeconomic forecasts (US & International)
3. Chase Econometric Macroeconomic databases (US & International)
Rather than trying to enhance gretl to be a scripting language -- from an
armchair perspective (not hands on at the moment) it would seem to make
more sense to call the gretl API from PYTHON. PYTHON could provide the
command line and GUI interface, as well as a scripting language; while
gretl would provide the statistical tools and objects.
PYTHON could serve as the unifying frontend, scripting & GUI builder.
PYTHON could also be used to call FORTRAN (compiled under appropriate gcc
FORTRAN compiler) and R (see the O'Reilly book, "Learning Python" appendix
for some useful tools for calling functions & objects in other languages
and the RSPython package documentation for interfacing with R).
http://www.omegahat.org/RSPython/
There is a new package in R, called ZOO, that simplifies the handling of
time-series.
http://tolstoy.newcastle.edu.au/R/packages/04/0076.html
PYTHON interfaces to a number of GUI tools including Tkinter and WXWidgets
(wxpython).
http://wiki.wxpython.org/
Professor Roy Fair at Yale has his Fairmodel which is includes a US and a
MultiCountry (MC) macroeconomic models and he regularly publishes
forecasts produced with the models. he also makes all of the data used to
estimate the model available.
http://fairmodel.econ.yale.edu/main2.htm
The Fairmodel runs in its own FORTRAN program the Fair-Parkes (FP)
program.
http://fairmodel.econ.yale.edu/fp/fp.htm
"The FP program can be downloaded in either FORTRAN code to be compiled on
the user's machine or in an executable form for PCs. The FORTRAN code is
not machine specific, and this allows the program to be compiled on a
variety of systems."
Incorporating FP would require the explicit permission of Professor Fair.
When I e-mailed Professor Fair almost 2 years ago there wasn't a specific
license, such as GPL for FP and the FairModel. For better or worse FP &
the Fairmodel were downloadable without an explicit legal contract - I
haven't checked if that has changed.
Now, imagine a Linux Live CD (modelled after Dirk Eddelbuettel's "Quantian
"). Imagine the hypothetical live CD known as "Keynesian Distribution"
that has a PYTHON interface to gretl, Fair-Parkes, Fairmodel, the R
package Zoo and for good measure QuantLib -- as well as some of Dirk's
Perl scripts for downloading financial data from Yahoo.
http://dirk.eddelbuettel.com/quantian.html
http://www.quantlib.org/
http://dirk.eddelbuettel.com/code/yahooquote.html
Oh and while we are daydreaming, in addition to just a raw dump of the
forecast, the forecast can be printed with one of the new Java report
writers (compiled with GCC's GCJ Java compiler) called from PYTHON. Java
report writers include JasperReports and Eclipse/BIRT (search on google).
HERE'S THE PAYOFF:
A professor teaching Freshman macroeconomics could have students do
cookbook excerises such as estimating a consumption function or doing a
predetermined macroeconomic simulation, "just type the commands in the
book."
A professor teaching a Junior year second course in macroeconomics could
have students do more open-ended exercises.
Students could take their "Keynesian Distribution" live CD toolkit with
them to internships in the US Congress, the world of work and even
graduate studies. In the best case scenario this might even lead to
economically literate, model based discussions of macroeconomic policy
options....
FUTHER PAYOFFS:
Once you have reliable source of macroeconomic forecasts one can build
industry and regional models. For example, I never worked in the US Macro
group at Chase Econometrics, I worked in industry specific groups that
relied on the US and International macro forecasts (as well as forecasts
developed by the Regional group). We used the macro/regional databases and
forecasts as a source of independent variables -- both for estimation and
forecast for our industry specific models/forecasts. The Fairmodel is
extraordinarily well-tuned and doesn't require scores of add-factors to
keep it sane (the dirty little secret of most macro models).
What took a 32-bit virtual machine on a mainframe can be done on a PC;
what cost $10,000 or more (in early 1980s) can now be open source.
Now I work for a city government -- but this design has grown beyond what
the City needs and thus the scope of what I can officially do during the
day -- so it has been relegated to nights and weekends -- and hence
remains undone, just the imagination of a person sitting in an armchair.
As I haven't done any coding on this yet, I am too naive to realize the
numerous reasons why the "Keynesian Distribution" won't work.
If you know of an organization willing to sponsor this effort with a
"MacArthur grant" and/or and individual willing to work on it, please let
me know.
Jim Callahan
Management, Budget & Accounting
City of Orlando
(407) 246-3039 office
(407) 234-3744 cell phone