Sunday, 20 April 2014

Using Gretl for Econometrics

Love it or hate it either way Gretl is a freeware econometrics package

Economics needs to have the practical backing. This package has proved very useful in econometrics study. 

There is a great deal of information on how to use this software. However, to get to the point and use this efficiently I recommend one blog - Hishamh over at the Economics Malaysia blog has put together a series of post that guides the user through all the major uses of Gretl. .

  • In the first post the author shows how to input and format data.
  • In the second post the author shows how to run and interpret a regression.
  • In the third post the author shows how to ensure that the test that has been run is robust — in this he shows the reader how to test for independence and normal distribution.
  • Finally, in the fourth post the author shows how to introduce dummy variables to control for seasonal variation in the data.

This series will help you get through some of the steps to start with gretl.

There has alway been some debate over the effectivity of econometrics, however it pays to understand the subject.

As well as this there some more contentious relationships that can be tested and used very provisionally in making forecasts. 

The author of the series’ own example — that is, the lagged effect of exports on imports in a small open economy — is a good example of this. As would be, for example, the import/export elasticities of demand (i.e. how exports/imports are affected by income and the exchange rate) or multiplier estimations. But again, such relationships likely miss more than they capture and they are sure to be unable to incorporate anything of real interest.

But if you’re going to do econometrics, and you’re going to use Gretl in particular, the above series is great for either the beginner or those that want a refresher course.

Update: The new version of the excellent Gretl manual by Lee Adkins is out now and can be downloaded here.

Wednesday, 2 April 2014

List of Free Market Historical Data Sources - For MATLAB, Excel, GRETL Econometrics

Where to get data for imports:

Sites with Summaries

  • (The community collects free data from the web and converts it into CSV, etc.)
  • wikiposit (The author collects free data from the web and converts it into CSV, etc.)
  • (recommendationQuandl (Successor of wikiposit: great full-text search, XLS, CSV, JSON export)
  • Matlab Trendy (The community collects free data from the web and converts it into plots)

Foreign Exchange, Forex, FX


Debt/Interest Rates

  • historical time series
    • (Interest-Rates: “Euribor, Eonia”), Excel download
    • (Exchange Rate, Interest Rate, Consumer Price Inflation (CPI), Commodities: “Brent Spot, Henry Hub Spot, I P E Brent crude futures 1-pos, I P E Natural Gas Index, OPEC Fixing, US EIA Crude Imports, WTI Daily”), Excel download
    • Interest-Rates and Government Bonds, web tables and partly Excel download
    • (German) (Bonds, daily), Website table only
    • (German ) German money and interest-rate statistics
  • current
    • (German) (Bonds)
    • (German) (2012-07-12: Just went offline, hopefully online again soon), Swaps, Caps, Floors, CSV download
    • (web table only) yield curves of bonds per rating and maturity
  • interest-rate derivatives
    • (new in the list) Caps, Floors and Collars in form of Warrents

Stock / Indices

Investment Fonds


General Historical

  • (German) (Stocks, Indices, Warrants, ETFs …, daily Quotes) Website
  • World-wide econometric data and commodities
  • US, UK, Japan, China with interest rates, GDP, inflation, gold and silver prices, cool long term, Website table only
  • Many countries, especially Sweden, GDP, population and much more, links to other sources

Economic data

European Union
United Kingdom
United States

Live Cams

Buy Data:

(I did not try any of these, but they look interesting.)


Please leave a comment if you have other good sources or is any link breaks.