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Grocer: an econometric toolbox for Scilab

(Painting by Marion Dubois: thanks Marion! for more pictures see Marion's web page )

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What is Grocer?

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 5.5.0 (I do not maintain Grocer anymore for older Scilab versions).
Like Scilab, Grocer is free and open source.

Grocer Capabilities:

- ordinary least squares and various single equation methods (autocorrelated models, instrumental variables, non linear least squares, robust methods, quantile regression...)
- basic estimation with limited dependent variables: ordered logit and probit (with 2 or more variables); tobit; multivariate logit
- specification tests (multicolinearity, autocorrelation, 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 dating of turning points, spectral analysis
- various panel data estimation methods: fixed and random effects, between estimation and panel models with common correlated effects
- Static and Dynamic factor estimation
- numerous time series disaggregation methods: Chow-Lin, Litterman,...
- a syntactic analyzer and a symbolic derivative program
- an optimization program that mixes various optimization devices to gain robustness
- tools to build, estimate and simulate backward macroeconometric models
- a pc-gets like device, that performs automatic general to specific estimations, including a block search algorithm to deal with the case when there are more variables than observations
- estimation of Markov-switching models
- Bayesian Model Averaging estimation and bayesian structural time-varying VAR estimation
- a contributions device, that provides contributions of exogenous variables to an endogenous one for any dynamic equation

You can download:

WARNINGS:

e-mail: grocer.toolbox[at]free.fr (of course, replace [at] with @).

What's new:

(2019/06/01): Grocer version 1.8 has been posted on the web. This new version contains a major innovation: tools to build, estimate and simulate backward macroeconometric models. These tools come with specialized functions to solve system of nonlinear equations with variants of the Newton method, that are more robust than Scilab fsolve function. Many estimation functions have been adapted to work with model equations.

Several "low-level" estimation functions that were lacking have been created (iv1, hwhite1, lad1, olsarma1, olspec1, ridge1, robust1 and theil1) at this occasion.

A small number of functions have been adapted to work with Scilab 6.0.2.

The user manual has been adpated accordingly. A new chapter 30, describing how to build, estimate and simulate backward macroeconometric models, has been created; chapter 6, dealing with numerical methods has been extended to the resolution of systems of nonlinear equations. Chapters 2 (overview of Grocer), 3 (about time series), 4 (about matrices of time series), 5 (basic functions), 7 (generalities about regressions), 8 (about estimation of equations), 18 (about business cycles analysis), 20 (about symbolic analysis) and 31 (about printings and graphs) have been updated.

WARNING: With the release of Scilab 6.0 and because of the changes Siclab 6.0 entails to Grocer implementation, Grocer releases now work "only" with Scilab versions from the 5.5.0 one and not with older ones. If this poses a problem to you, do not hesitate to signal it to me by e-mail.

To see older modifications, see here

Last updated: 2018/12/10