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Gretl for gretl ver. 1.9.x
Gnu Regression, Econometrics and Time-series Library
Chung Yuan Christian University, Taiwan.http://yaya.it.cycu.edu.tw/gretl/
June 4, 2013 v.0.5Original: April 29, 2009
ii gretl CYCU
Chung Yuan Christian University, Taiwan.
........................................................................................................................1
..........................................................................................2.........................................................................................................3gretl : ..................................................................................................3
1 gretl ................................................................................6
1.1 .....................................................................................61.2 CVS PO ............................................................7
CVS ...............................................................................................7 PO ......................................................................8
1.3 gretl ..............................................................................................9.............................................................................10
1.4 gretl .................................................................................. 11(1) ............................................................................................ 11(2) .........................................................................................13(3) .....................................................................................13(4) ...................................................................14(5) ..............................................................................14
2 .....................................................................................15
....................................................................................152.1 ............................................................................................162.2 ................................................................................................182.3 .....................................................................................192.4 ............................................................................................222.5 .................................................................................23
3 .....................................................................................26
CYCU gretl iii
Chung Yuan Christian University, Taiwan.
3.1 ............................................................................263.2 : White ........................................................273.3 : ARCH LM .................................................293.4 ........................................................................333.5 ................................................................................343.6 ...................................................................................37
4 gretl .......................................................................................41
4.1 .......................................................................................41 Excel ...............................................................................42 Eviews ............................................................................44...............................................................................................46 ...........................................................................................47
4.2 .......................................................................................48gretl ......................................................................................48gretl ......................................................................................51
4.3 .......................................................................................524.4 ............................................................................53
........................................................................................53........................................................................................54.............................................................................55.............................................................................55........................................................................................59...............................................................................................60........................................................................................63
4.5 .......................................................................................69.............................................................................69......................................................................70
4.6 ...................................................................................71 5 gretl .......................................................................................75
5.1 ............................................................................76
iv gretl CYCU
Chung Yuan Christian University, Taiwan.
5.2 .......................................................................................78 ....................................................................................78
5.3 (multiple graphs) .................................................................805.4 3D ...........................................................................................82
6 gretl ..........................................................................84
6.1 (session file)............................................................................84 ................................................................................84......................................................................86 ................................................................................87 ...........................................................................................87
6.2 (Model Table) ...................................................................88(1) Logit Probit .............................................................89(2) (Icon View) ..........................................................90(3) Model Table .....................................................90
7 gretl ..................................................................................92
7.1 (function package)...........................................937.2 .....................................................................................94
(1) GJR-garchm ...................................................................947.3 .................................................................................94
(1) Phillips-Perron .........................................................95 8 R ................................................................................100
8.1 R .............................................................................1008.2 R PP.test() ...................................................................101
9 ...................................................................................104
9.1 SUR..........................................................................1049.2 ...................................................................................104
....................................................................................................................110
Chung Yuan Christian University, Taiwan.
gretl Gnu Regression, Econometrics and Time-series Library,
GNU General Public License (Open Source
Software) Allin Cottrell and Riccardo "Jack" Lucchettii
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http://yaya.it.cycu.edu.tw/gretl/
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, gretl (ARIMA) (ARCH/GARCH)(Vector Autoregression) (VECM)Engle-Granger Engle-Granger Johansen Johansen gretl Panel (Nonlinear models) (LAD) (quantile regression)GMM (Simultaneous equations) (Panel data) gretl 1.9.3 2 Panel : LLC KPSS R
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