Free econometrics software that’s actually worth the price!
In the last part of my dissertation I’ve been using a time series econometrics method called vector autoregression to empirically model the dynamics of innovation of information technology components, products, and infrastructure (sounds pretty awesome doesn’t it). Because I’m still a poor graduate student for the next few months and CSOM won’t let me keep any software I purchase with my research stipend – I’ve been exploring open source and free econometrics software. I found two packages that are quite good and well worth the effort to download and try out.
First, gretl (Gnu Regression Econometrics and Time series Library) is an open source project that is cross platform and written in C. It is quite useful and has virtually all the basic functionality necessary for econometric analysis. It has a menu driven GUI and will read in data sets formatted as CSV, STATA files, eViews files, Excel spreadsheets and others. It also appears to be easy to develop custom codes to run through the gretl engine, although I haven’t tried.
Second, JMulTi is a Java-based tool for time series analysis and is the companion software for the Lutkepohl books “Applied Time Series Econometrics” and “New Introduction to Multiple Time Series Analysis“. JMulTi is a great tool for multiple time series analysis, specifically VAR and VECM estimation; it also has facilities for univariate time series analysis. It includes multiple diagnostic tests to help with specification and provides structural analysis and forecasting capabilities. It also has the ability to automatically perform subset restriction selection on VARs.
I recommend checking both of these tools out, since they’re free and useful. Also,the impoverished social scientist’s guide to free statistical software and resources is a great reference hosted by the Harvard-MIT Data Center on free tools across multiple statistical analysis areas (including social network analysis, data mining, imaging, and many other categories).
No comments yet
Leave a reply
