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.

The last post in this thread generated some questions: What incentives could be created for individuals that cooperate with the development of GRETL? How to align those incentives to promotion (tenure) and salaries of those individuals that cooperate in this open source community? Charles On Wed, Apr 27, 2011 at 1:34 PM, Summers, Peter <peter.summers(a)ttu.edu&gt; wrote:

Riccardo, "See above. If you're interested in my SVAR package, I can send it to you. Actually, it would be nice to co-operate on this. On the subject of re-inventing the wheel..." I've been playing around with your SVAR code for a while now, though not much with the new (10/10) version (see my earlier comment re "time, lack thereof"). Good stuff! Re cooperation and Bayesian stuff, I'm definitely interested. Maybe we can talk more off-list. PS -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Riccardo (Jack) Lucchetti Sent: Thursday, April 28, 2011 5:33 AM To: Gretl list Subject: Re: [Gretl-users] GRETL versus Stata: Time Series On Tue, 26 Apr 2011, Charles Koss wrote: A special issue of the Journal of Statistical Software is in preparation, in which a number of statistical packages (including stata and gretl) are compared with respect to their implementation of linear state-space models, Kalman filtering etc. On Wed, 27 Apr 2011, Thomas Volscho wrote: Not exactly the same thing, but I have a semi-finished product implementing SVARs (but all inference is frequentist, nothing Bayesian). A few people who had expressed interest received some early versions. I plan to turn it into a proper function package when I have the time. On Wed, 27 Apr 2011, Summers, Peter wrote: See above. If you're interested in my SVAR package, I can send it to you. Actually, it would be nice to co-operate on this. On the subject of re-inventing the wheel: sure, no-one needs a bazillion buggy implementations of the same functionality, although you can't stop people from writing their own mp3 player just for fun. But when it comes to scientific software, having multiple _free_ implementations of a procedure is, in my view, a good thing. We all know how buggy software can be, and being able to compare results from independent implementations is tremendously useful, in my view, both to the practioner and the coder (who often coincide). Moreover, I don't mean to diss the R community, but often R packages are of a much worse quality than core R (IMO outstanding); so, the mere existence of an R package that claims to do something does not by itself guarantee that it works properly. On Wed, 27 Apr 2011, Charles Koss wrote: Well, speaking for myself, my primary driving factor was fun. I've been helping Allin for a few years now and it's been a great gig. Of course, you also get added benefits, but in my case it was primarily for fun and the satisfaction you get out of doing something that other people find useful (as opposed to publishing, on a reputable journal, a clever paper that nobody is ever going to read, let alone find useful for anything). However, in the future we plan to shift gretl's development model more and more towards the implementation of new features through function packages and add-ons, written in gretl's own scripting language rather than in C, a bit like R and Stata do. If this development model matures, package writers who do something interesting and non trivial may have a good publishing opportunity on specilised journals like the Journal of Statistical Software, Computational Economics, etc. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti