Re: [Gretl-users] GRETL versus Stata: Time Series

FWIW, I've toyed with the idea of translating some of my Bayesian (VAR & other) code into gretl, but haven't for a couple reasons: 1) I haven't had the time, and 2) a lot of this (including Sims-Zha) is available in R and therefore accessible via gretl. So this is potentially re-inventing the wheel. It does seem, though, that it would be fairly easy to implement some basic BVAR functionality in gretl, and I'd be willing to look more closely at that if there's demand (not before this summer though). PS -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Thomas Volscho Sent: Wednesday, April 27, 2011 1:07 PM To: Gretl list Subject: Re: [Gretl-users] GRETL versus Stata: Time Series That sounds like a good assessment. Does anyone have any plans to (or has anyone) implemented the Sims-Zha model (their Bayesian approach to VAR?) Thomas W. Volscho Assistant Professor of Sociology Department of Sociology, Anthropology, and Social Work City University of New York-College of Staten Island 2800 Victory Blvd., Bldg. 4S, Room 210 Staten Island, NY 10314 phone: 718-982-3781 email: thomas.volscho(a)csi.cuny.edu web: http://scholar.library.csi.cuny.edu/~volschot -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Charles Koss Sent: Tuesday, April 26, 2011 10:53 AM To: Gretl list Subject: [Gretl-users] GRETL versus Stata: Time Series I have used Stata and GRETL for univariate and multivariate time series analyses. And today decided to share my opinion with the community. I have concluded that GRETL is a reliable software for time series analyses while Stata capabilities are still in development. An example, Stata can estimate Vector Error Correction Models, however, it can not provide estimates of the standard errors for the IRF's. Therefore, I can not recommend Stata fot this type of analysis whereas the opposite is true for GRETL. In Stata, some time series estimators are written by users and then down the road, the company incorporates them in the core software. An example, rolling command for rolling regression. Other examples of this practice, cusum and prais commands. So, I would like to know some papers that compare the time series capabilities of Stata and GRETL in order to have a better understanding of the two softwares. Any help is appreciated. Thank you, Charles -- Charles Koss http://charlesonnet.blogspot.com _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users ________________________________ Think green before you print this email. _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users