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 5.1 (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,...) 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
(2009/06/15): Grocer is to be presented at ScilabTec’09, the first Scilab Users’ Conference, in Supelec, on July the 1st, 2009.
(2009/05/03): Grocer version 1.33 for Scilab versions starting from the 5.0.2 or for older Scilab versions has been posted on the web. This version includes a new function dynfore that performs the dynamic simulation of an equation estimated by ols, hwhite,etc. Function fac_kalman was not working in many cases since more than one factor had been allowed: it now works in those cases. The function fac_acp, fac_acp1, fac_acp2 and fac_acp_d (acp=analyse en composantes principales = principal component analysis in French) have been renamed to fac_pca, fac_pca1, fac_pca2 and fac_pca_d.
(2009/02/15): Grocer version 1.32 for Scilab versions starting from the 5.0.2 or for older Scilab versions has been posted on the web. This version is the first one to work with the just released Scilab 5.1 version. Several bugs have also been corrected: for functions johansen, ecm, becm, garch, the option 'dropna', did it works, now they work (thanks to Issei Koduru for having signalled this bug); in function twosls, the Student statistic of endogenous rhs variables were incorrectly reported, now they are correct (thanks to Nicolas de Riccardis for having signalled this bug); function varmaf was broken, it now works again.
Note that Grocer versions for the Scilab 5.0 and Scilab 5.1 versions and for older Scilab versions come with different zip files. This is because help files are handled differently according to Scilab version. Note also that help files for the 5.0 and 5.1 versions have been translated semi-automatically, so that some help files in the Scilab 5.0 version surely need to be corrected. Do not hesitate to signal us files that need so. Note lastly that the presentation of Grocer help with Scilab 5.0 and Scilab 5.1 versions can probably be improved: this is left for future release.
(2008/10/18): Grocer version 1.31 for older Scilab versions has been posted on the web. The function fac_kalman has been extended to deal with any number of dynamic factors. A few functions dealing with ts have been added to allow checking if 2 conditions on ts are simultaneously statisfied (ts1&ts2 where ts1 or ts2 is itself the result of a test such as ts1==3 or ts2>5) or if at least one of the 2 conditions on ts is statisfied (ts1|ts2). A function fan_chart producing fan-charts à la Bank of England has been added. Function ms_var did not work when the size of the var was greater than 1; now it works (thanks to James Eustace for having signalled this bug). Function fac_acp did not minimize properly the information criterion when the number of factors is determined by the Bai and Ng criterion: now it is. Several help files have been corrected.
(2008/04/06): Grocer version 1.306 has been posted on the web. The function studentize has been extended to deal with time series. The function var (lower case) has been changed to VAR (upper case) to avoid side effects with some Scilab functions (var is indeed a convenient name for a variable...). Bugs to functions ms_reg and ms_forecast have been corrected: functions ms_reg and ms_forecast did not work when there were no common exogenous variable (thanks to Thomas Raffinot for having signaled these bugs). The case when the starting conditions for the Kalman filter were not stationary was not dealt in function smooth_innov: now it is; and the convergence of the dynamic factor function fac_kalman has been improved by imposing the variances to be positive (thanks to Roumen Vesselinov for having provided the example that fostered these improvements).
(2008/04/06): Grocer version 1.305 has been posted on the web. Minor improvments have been brought to the function automatic: the strategy followed and its parameters are not displayed with the final model; the arch test can now be added to the list of tests without going through the option 'newfunc='; Some minor errors to the help files relative to the functions automatic and bma_g have also been corrected.
(2008/03/18): Grocer version 1.304 has been posted on the web. A bug had been introduced in function varma and mysteriously not detected; it is corrected (thanks to Cyril Voyant for having signaled us this bug). The function fac_kalman did not work for white noise residuals, nor for moving average (MA) factors (thanks to Laurent Ferrara for having signaled us this bug): this is corrected. The function prtts now checks properly if the frequencies of the printed time series are identical.
(2008/02/02): Grocer version 1.303 has been posted on the web. A bug in function brybos has been corrected: when the bounds did not correspond to the time period of the series, the field 'phases' was not correctly created; now it is (thanks to Christelle Minodier for having signaled us this bug). Fields 'ans_vari_to_shockj' have been added to function irf to facilitate the recovery of irf results.
(2008/02/02): Grocer version 1.302 has been posted on the web. A typo in function statfore has been corrected (thanks to Nicolas de Riccardis for having signaled us this bug).
(2008/01/23): Grocer version 1.301 has been posted on the web. A bug introduced in function acf has been corrected (thanks to Juan-Pablo Ortega for having signaled us this bug).
(2008/01/22): Grocer version 1.3 has been posted on the web.
The main novelties of the 1.3 with respect to the 1.224 version are the following:
To see older modifications, see here
- daily and weekly time series have been introduced and most econometric programs now can eliminate non-NA values from the estimation period
- a much more efficient function for importing Excel files
- a more efficient (3 to 4 times more rapid) varma function which now also provides the estimated residuals
- calculation of descriptive statistics
- small sample correction has been introduced in the White's adjusted heteroscedastic consistent Least-squares Regression (a correction due to Nicolas Sauter)
- the Box-Pierce and Ljung-Box tests of autocorrelations and Li-McLeod tests of squared autocorrelations
- the General Method of Moments has been introduced
- Static and Dynamic factor estimation is now available
- the cointegration test proposed by Ericsson and MacKinnon has been integrated
- new econometric methods dealing with qualitative variables have been introduced: multivariate logit (translated and adapted from a Matlab program by Simon D. Woodcock) and ordered logit and probit with any number of categories
- the manual and help files have been extended accordingly and corrected; some broken links to individual help files have been restored
- A bug in Clark-West test for nested models has been corrected: the estimation of the HAC variance was always performed with
a truncation window of 1 whatever the user asked for; now the user can impose her own soze for the truncation window (thanks to Hélène Erkel-Rousse for having signaled us this bug).
- A bug in the garch function has been corrected: contrary to what was indicated, garch(p,q) models with p or q different than 1 could not be estimated; now they can (thanks to Juan-Pablo Ortega for having signaled us this bug).
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