# Advanced econometric analysis with free software

Gretl Manual: Gnu Regression, Econometrics and Time-series Library
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# Appendix D. Advanced econometric analysis with free software

As mentioned in the main text, `gretl` offers a reasonably full selection of least-squares based estimators, plus a few additional estimators such as (binomial) logit and probit and Least Absolute Deviations. Advanced users may, however, find `gretl`'s menu of statistical routines restrictive.

No doubt some advanced users will prefer to write their own statistical code in a fundamental computer language such as C, C++ or Fortran. Another option is to use a relatively high-level language that offers easy matrix manipulation and that already has numerous statistical routines built in, or available as add-on packages. If the latter option sounds attractive, and you are interested in using free, open source software, I would recommend taking a look at either GNU R (r-project.org) or GNU Octave (www.octave.org). These programs are very close to the commercial programs S and Matlab respectively.

Also as mentioned above, `gretl` offers the facility of exporting data in the formats of both Octave and R. In the case of Octave, the `gretl` data set is saved as a single matrix, `X`. You can pull the `X` matrix apart if you wish, once the data are loaded in Octave; see the Octave manual for details. As for R, the exported data file preserves any time series structure that is apparent to `gretl`. The series are saved as individual structures. The data should be brought into R using the `source()` command.

Of these two programs, R is perhaps more likely to be of immediate interest to econometricians since it offers more in the way of statistical routines (e.g. generalized linear models, maximum likelihood estimation, time series methods). I have therefore supplied `gretl` with a convenience function for moving data quickly into R. Under `gretl`'s Session menu, you will find the entry "Start GNU R". This writes out an R version of the current `gretl` data set (`Rdata.tmp`, in the user's gretl directory), and sources it into a new R session. A few details on this follow.

First, the data are brought into R by writing a temporary version of `.Rprofile` in the current working directory. (If such a file exists it is referenced by R at startup.) In case you already have a personal `.Rprofile` in place, the original file is temporarily moved to `.Rprofile.gretltmp`, and on exit from `gretl` it is restored. (If anyone can suggest a cleaner way of doing this I'd be happy to hear of it.)

Second, the particular way R is invoked depends on the internal `gretl` variable `Rcommand`, whose value may be set under the File, Preferences menu. The default command is `RGui.exe` under MS Windows. Under X it is either `R --gui=gnome` if an installation of the Gnome desktop (gnome.org) was detected at compile time, or `xterm -e R` if Gnome was not found. Please note that at most three space-separated elements in this command string will be processed; any extra elements are ignored.

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