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Using

gretl

for Principles of Econometrics, 4th Edition

Version 1.041

Lee C. Adkins

Professor of Economics

Oklahoma State University

April 7, 2014

Visit

http://www.LearnEconometrics.com/gretl.html

for the latest version of this book. Also, check

the errata (page 459) for changes since the last update.

License

Using gretl for Principles of Econometrics, 4th edition. Copyright c 2011 Lee C. Adkins.

Permission is granted to copy, distribute and/or modify this document under the terms of the

GNU Free Documentation License, Version 1.1 or any later version published by the Free Software

Foundation (see Appendix F for details).

Preface

The previous edition of this manual was about using the software package called

gretl

to do

various econometric tasks required in a typical two course undergraduate or masters level econo-

metrics sequence. This version tries to do the same, but several enhancements have been made

that will interest those teaching more advanced courses. I have come to appreciate the power and

usefulness of

gretl’s

powerful scripting language, now called

hansl. Hansl

is powerful enough to

do some serious computing, but simple enough for novices to learn. In this version of the book,

you will ﬁnd more information about writing functions and using loops to obtain basic results. The

programs have been generalized in many instances so that they could be adapted for other uses

if desired. As I learn more about

hansl

speciﬁcally and programming in general, I will no doubt

revise some of the code contained here. Stay tuned for further developments.

As with the last edition, the book is written speciﬁcally to be used with a particular textbook,

Principles of Econometrics, 4th edition

(POE4 ) by Hill, Griﬃths, and Lim. It could be used

with many other introductory texts. The data for all of the examples used herein are available

as a package from my website at

http://www.learneconometrics.com/gretl.html.

If you are

unfamiliar with

gretl

and are interested in using it in class, Mixon Jr. and Smith (2006) and

Adkins (2011a) have written a brief review of

gretl

and how it can be used in an undergraduate

course that you may persuade you to give it a try.

The chapters are arranged in the order that they appear in

Principles of Econometrics.

Each

chapter contains a brief description of the basic models to be estimated and then gives you the

speciﬁc instructions or

gretl

code to reproduce (nearly) all of the examples in the book. Where

appropriate, I’ve added a bit of pedagogical material that complements what you’ll ﬁnd in the text.

I’ve tried to keep this to a minimum since this is not supposed to serve as a substitute for your

text book. The best part about this manual is that it, like

gretl,

is free. It is being distributed in

Adobe’s pdf format and I will make corrections to the text as I ﬁnd errors.

Gretl’s

ability to process user written functions greatly expands the usefulness of the appli-

cation. In several of the chapters functions are used to estimate models, select models, and to

compute various statistics. The scripting language, continues to evolve in useful ways, becoming

more transparent in use and more functional. Though not explored in this book, the ability to

give function writers access to the basic GUI and to package things into bundles is s very exciting

development.

Functions can be shared and imported easily through

gretl,

especially if you are connected to

the internet. If

gretl

doesn’t do what you want it to now, stay tuned. It soon may. If recent

activity is any indication, I am conﬁdent that the the

gretl

team will continue to improve this

already very useful application. I hope that this manual is similarly useful to those using

Principles

of Econometrics.

There are some signiﬁcant changes in the 4th edition of

POE

and that means there are some

changes in this book from the previous edition. As in the previous edition of this e-book, I have

attempted to provide

gretl

instructions for each and every example in the book. My solutions are

not necessarily the most elegant. In some cases elegance gives way to simplicity of programming,

especially with respect to the types of students who are likely to be using this book. I have made

an eﬀort to generalize some of the script so that it will be easier to adapt to new needs. I’ve also

made liberal uses of loops and functions. These are powerful tools and a thorough understanding

of them can take your

gretl

and econometric skills to the next level. Feel free to send suggestions.

Another change in this version of the book is that I’ve made some eﬀort to generalize some of

the scripts. Although that should make it easier to generalize them to a new use, it does mean that

they have become a little more complicated. A heavy reliance on user written functions is evident.

I invite users to take the time to work through these in order to advance your programming and

econometric skills.

To make things easier to ﬁnd in the book, I have added an index. In the pdf, you can click on

the page number listed in the index and be taken to the relevant spot in the text. Also, the ﬁgure

numbers, equation numbers, and citations are also ‘hot’ and can be used in this fashion as well.

Since some may prefer to print the manual out rather than work from the .pdf, I opted to make

the ‘hot’ links black in color, which disguises their functionality.

Finally, I want to say that my conversion to

gretl

was not immediate. In fact I still use other

software as occasions require, though more infrequently. That said, I have become a true believer

in the power of

gretl.

It is now my go to software. I trust it. It is simple to use and to program.

In my opinion it combines the best of Gauss and Eviews. It is both a high level programming

language and a useful front-end for doing standard econometrics. The ease with which one can

move back and forth from both uses makes it truly unique. As a former Gauss user, I ﬁnd

gretl

to the tasks that I choose. I heartily recommend that you take some time to work with it and to

learn it. You can’t help but come to appreciate its power. Its worth is derived from what it does,

not its price.

I want to thank the

gretl

team of Allin Cottrell and Riccardo Lucchetti for putting so much

eﬀort into

gretl.

I don’t know how they ﬁnd the time to make this such a worthwhile project. It

is a terriﬁc tool for

teaching

and

doing

econometrics. It has many capabilities beyond the ones

I discuss in this book and other functions are added regularly. Also, Jack has kindly provided me

with suggestions and programs that have made this much better than it would have been otherwise.

iii

Any remaining errors are mine alone.

I also want to thank my good friend and colleague Carter Hill for suggesting I write this and

Oklahoma State University and our College of Business for continuing to pay me while I work on

using_gretl_for_POE4.pdf

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