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 3.0 to the 5.3.3 (the transitory 5.0.1 excepted).
Like Scilab, Grocer is free and open source.

Grocer Capabilities:

• most standard econometric 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 (multicollinearity, 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
- basic panel data estimation: fixed and random effects, between estimation
- Static and Dynamic factor estimation
- numerous time series disaggregation methods: Chow-Lin, Litterman,...

• some more rare -but useful- ones:

- 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

• an interface with Excel and unlike Gauss, it deals with true time series objects and matrices of time series.

• an imperfect, partial, but nevertheless substantial Gauss to Scilab translator

You can download:

• 3 zip files containing the toolbox, for different Scilab versions:
  - until the 4.1.2,
  - between 5.0 and 5.1.1 (WARNING: I plan not to maitain Grocer for this Scilab family starting from Grocer 1.6 version, tentatively scheduled for the end of 2012 or the start of 2013, except if it is truly needed by some users; so, if you need it, tell me!)
  - from 5.2.0.

  I recommend using Grocer either with Scilab 5.3.3 or 4.1.2: Scilab 5.3.3 contains many improvements with respect to previous versions, but the 4.1.2 still performs several Grocer functions somewhat more quickly.

• the installation guidelines, called readme_grocer.pdf download

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.

• the user manual, in the zip file grocer_manual_v1.5.zip download

• THE USER LICENSE that you must accept to use grocer download

WARNING: for users that have already installed older grocer version, it is highly recommended to uninstall 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 @).

What's new:

(2012/02/18): Grocer version 1.52 has been posted on the web, in 3 versions: until the 4.1.2, between 5.0 and 5.1.1 and from 5.2.0. This is a small update, whose main purpose is to make Grocer run on the forthcoming Scilab 5.4.0 version (already available as an alpha version). Emmanuel Michaux has also added a function waldchi performing a Wald test of linear constraints using its Chi-Square form (see function waldchi_d for a demo) and an option 'notstat', that prevents from calculating the Student statistics of the estimated coefficients, has been added to functions ms_mean, ms_reg and ms_var: this can be useful if the numerical hessian is not invertible (for instance in the case you have many coefficients) or in an experimental phase (moreover, you can calculate them ex-post with function MSVAR_stderr). Several bugs have also been corrected: function readxls2b has been made working on ts without comments; function varmaf has been made working when the user had not given a name to its variables in function arma (thanks to Jekaterina Borodina for having signalled and corrected this bug); function prtauto_signed which was lacking has been added; function gmmAndMon.sci, which used the wrong sign of the AR part when using an ARMA, now uses the good one; function BNG_ur did not work with more than 1 factor, now it works; option 'mindat' that was not correctly implemented in function explone is now correctly implemented; in function car2freq the good folder definition for the database basets.dat has been restaured; the difference of 2 tsmats (performed by function %tsmat_s_tsmat) is now working when the option 'reset' prevails.

(2011/10/29): Grocer version 1.51 has been posted on the web. 2 new capabilities have been added:
- a function msvar_irf that provide impulse response functions for Markov-switching VAR models: for a demo see function msvar_irf_d or help msvar_ird; since I have not been able to confront the results of this function with available results, I invite the user to check carefully the code and/or the plausibility of the results she may obtain.
- a function contrib_logm2grq, built upon the model of function contrib_logq2gra, and which calculates contributions of exogenous variables to the quarterly growth rate of an endogenous variable when the econometric equation is estimated on the logarithm of the monthly observations of the variable (see the help from contrib_logq2gra for explanations).

A few bugs have been corrected: in function adf, the order of the critical values, which was wrong, has been corrected; in function cadf, option 'noprint', which was not working, now works; help files for bfl and bfl1 were not correct (thanks to Cecile Ballini for having signaled all these bugs); function banerji works again, with the replacement of the removed Scilab function sort with gsort.

(2011/09/28): Grocer version 1.5 has been posted on the web.

The main novelties of the 1.5 with respect to the previous 1.46 version are the following:
- you can now run ols with ARMA errors (function olsarma);
- Andrews and Ploberger break point tests have been introduced, along with Bruce Hansen bootstrap method to evaluate their p-value (function AndPlob);
- Basic quantile regression is now available in Grocer (function qreg);
- those who do not want to use the bootstrap method with the Johansen cointegration method introduced with the 1.4 version can again use the asymtotic p-values (function johansen);
- an imperfect, partial, but nevertheless substantial Gauss to Scilab translator (function gauss2sci);
- Help files were not totally adapted to Scilab 5.3 family: they have been adapted and examples have been checked, corrected and improved at the occasion;
- creation of a function automatic_signed that provides estimation à la pc-gets with sign constraints on the coefficients;
- creation of a function quantile that calculates quantiles of colums of a vector;
- adaptation of functions ecm and becm to allow the user to remove from the short term exogenous variables the part that can be integrated into the cointegration relationships;
- taking into account Michaël Baudin's advice, non essential optimisation functions dfp_min, frpr_min and pow_min have been removed;
- correction of several bugs: impexc2bd did not work when lines in the text files ended with a semicolumn; function mean did not work with matrices of ts; function uninstall_grocer did not work properly anymore; disagregation functions bfl, chowlin, denton, difonzo, fernandez and litterman did not work when bounds were given; since the extension in version 1.46 to more general cases, functions ms_mean, ms_reg and ms_var did not work anymore when a priori datation was given or when there were non switching variables; function fan_chart did not work when the number of bands was lower than 5; option bandwith='C' did not work in function ADF_individual; when LagOrders was given, function Levin_Lin did not work; function Pesaran did not work anymore starting from Scilab 5.3.0 versions: a small change has been made to restore the function; function oprobit1 did not work when not launched from function oprobit; function statfore did not work with ts when there was only a constant in the model; functions da2m, da2q and datelf2hf0 did not work anymore; many overloading tsmat functions did not work with 'reset' option.

The manual has been updated and corrected: in particular, the names of many folders used in the manual examples, which were not correct anymore since Grocer adaptation to Atoms, Scilab module manager, have been restaured.

Last updated: 2012/02/18