On Fri, July 21, 2006 01:52, Allin Cottrell wrote:
On Thu, 20 Jul 2006, Allan_Bart(a)ibi.com wrote:
> What is the expected level of capabillity of Gretl in the area
> of times series analysis lets say in a year??
What we have already:
* ARCH and GARCH.
At the moment we are only providing "plain vanilla" GARCH. Its implementation
is excellent, being based on the code written by the three famous
computational econometrics gurus Fiorentini, Calzolari & Panattoni. However,
we lack an extension to the veritable zoo of *ARCH models that have been
invented in the past 20 years, such as EGARCH, APARCH, GARCH-M and so on.
Gretl *can*, at present, estimate these models, but only through the mle
command: the user has to write down the log-likelihood manually, and there's
no GUI interface.
* ARIMA, including seasonal ARIMA, with a choice of estimation
I'll venture to say that the ARMA routines in the upcoming 1.6.0 version are
among the best around. Possible improvements are: analytical gradients,
constraints on coefficients, fractional models. But ordinary (S)ARIMA
estimation is fully implemented.
* Unit root tests: Dickey-Fuller and KPSS.
And it's rather easy to write more using scripts. For example, DF-GLS takes
only a few lines.
What might be added in the next year, depending on how
priorities work out:
* More advanced hypothesis testing for VECMs.
* Structural VARs
* GUI interface for time-series filters
* Your requests here
* a few more tools for long-memory models
Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"