What is Grocer?
Grocer Capabilities:
Grocer is the econometric toolbox for Scilab, a matrix-oriented software similar to Gauss and Matlab, that I have developed, first alone and since 2005 with Emmnanuel Michaux. The current version works with Scilab versions from the 3.0 to the 5.2.0 (the transitory 5.0.1 excepted).
Like Scilab, Grocer is free and open source.
- ordinary least squares and various single equation methods (autocorelated models, instrumental variables, non linear least
squares, robust methods,...)
- basic estimation with limited dependent variables: ordered logit and probit (with 2 or more variables); tobit; multivariate logit
- specification tests (multicolinearity, autocorelation, heteroskedasticity, normality, predictive failure,...)
- simultaneous equations methods (SUR, two and three stage least squares,...)
- VAR, VECM, VARMA and GARCH estimation
- the Generalized Method of Moments (GMM)
- the Kalman filter and time varying parameters estimation
- unit root tests (ADF, KPSS,...), panel unit roots and cointegration methods (CADF, Johansen,...)
- various business cycle tools: HP, Baxter-King and Christiano-Fitzgerald filters, the Bry-Boschan-Harding-Pagan procedure for the datation of turning points, spectral analysis
- basic panel data estimation: fixed and random effects, between estimation
- Static and Dynamic factor estimation
- numerous time series disaggregation methods: Chow-Lin, Litterman,...
- a pc-gets like device, that performs automatic general to specific estimations
- estimation of Markov-switching models
- Bayesian Model Averaging estimation
- a contributions device, that provides contributions of exogenous variables to an endogenous one for any dynamic equation
WARNING: if your O/S is Windows Vista, then do not install Scilab in the folder Program Files: Windows will hinder Grocer installation if you do so.
WARNING: for users that have already installed older grocer version, it is highly recommended to unsitall this version by running uninstall_grocer() in Scilab.
If your O/S is Windows98 (or older versions of Windows) click here
e-mail: grocer.toolbox[at]free.fr (of course, replace [at] with @)
(2010/02/05): Because I have noticed a problem of compatibility for help files between the 5.2 Scilab version and the older 5.X versions, Grocer now comes under 3 distributions: a distribution for Scilab versions until the 4.1.2, between 5.0 and 5.1.1 and from 5.2.0.
(2010/01/31): Grocer version 1.41 has been posted on the web.
(2009/12/06): Grocer version 1.4 has been posted on the web.
The main novelties of the 1.4 with respect to the 1.331 version are the following:
To see older modifications, see here
- As the 1.4 one, this version works with Scilab 5.2.0, but, unless the previous one, the help takes adavantages of the possibility offered by Scilab 5.2.0 to organize help files under a general chapter, Grocer in this case (thanks to Pierre Marechal for having provided the stuff used to that end).
- Run time of function fac_kalman has been greatly improved.
- The adaptation of function m2q and q2a to tsmat had lead to bugs with respect to ts (thanks to Nicolas Sormani for having signalled this bug): they are now corrected and a function m2a performing annual aggregation of monthly time series has been introduced at this occasion.
- Because of change in Scilab function "who", function dblist had been modified and its working changed in a subtle way: the variables were presented in lexical order in the 1.4 version, which did not preserve ascending compatiblity (thanks to Ginters Buss for having signalled this change). The old working has been restaured in the 1.41 version.
- The working of function varf had also been changed incidentally: the user was now obliged to enter the values of the const over the simulation period: the old working has been restored (thanks again to Ginters Buss for having signalled this change).
- Function ms_reg did not work when there was no switching exogenous variable: this bug has been corrected (thanks again to Ginters Buss for having signalled this bug).
- Function ms_forecast did not work with results from a ms_var estimation. This bug has been corrected (thanks to Ginter Buss for the correction!).
- Grocer has become Scilab Partner External Module (see http://www.scilab.org/pem/) and Grocer can now be download through the Scilab menu Atoms (from Scilab 5.2.0 only). Note that only the 1.4 version can at this date be download this way, but it will be soon the case for the 1.41 version.
- a new type of object has been introduced: matrices of time series that allow mass calculations with time series
- a field "comment" can now be added to time series, in partcicular when importing time series from an Excel or an ascii file
- most Johansen cointegration tests (weak exogeneity, test on the cointegration vectors or on the error correction coefficients,...) have been introduced and the Johansen cointegration method now allows any kind of exogenous variable, in the long run as in the short run
- many panel unit root tests have introduced
- Markov-switching methods applied to qualitative variables have been introduced
- a general function (dealing in particular with time series) allowing multiple graphs on the same window has been introduced
- a bug in the calculation of the gradient has been corrected in function fac_kalman (thanks to Laurent Ferrara for having signalled this bug).
- a few bugs in functions ecm, becm, bvar and varma have been corrected (thanks to Ginters Buss for having signalled these bugs and corrected most of them!)
![[]](http://m3.moostik.net/img/?pseudo=grocertoolbox&cpt=Grocer&option=invisible)