(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 until the 4.1.2 and from the 5.2.0 (the versions in between being inferior
both to the 4.1.2 and the most recent versions, I do not maintain Grocer anymore for these Scilab versions:
if for any reason, you nevertheless need it, e-mail me and I will then restore Grocer for these versions).
Like Scilab, Grocer is free and open source.
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 (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
some more rare -but useful- ones:
- 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
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
2 zip files containing the
toolbox, for different Scilab versions:
- until the
4.1.2,
- from 5.2.0.
I recommend using Grocer either with Scilab 5.5.2 or 4.1.2: Scilab 5.5.2 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
the user manual, in the zip file Grocer_manual_v1.7.zip download
THE USER LICENSE that you must accept to use grocer download
:
e-mail: grocer.toolbox[at]free.fr (of course, replace [at] with @).
(2015/10/03): Grocer version 1.71 has been posted on the web. You can download Grocer in 2 different versions, according to the Scilab version you use:
The 1.71 version is a minor evolution of the 1.7 version, with the following changes:
(2015/10/03): Grocer version 1.7 has been posted on the web.
The main novelties of the 1.7 with respect to the previous 1.67 version are the following:
The user manual has been modified accordingly and slightly enhanced (correction of typos, of a few errors,...).
: With the coming release of Scilab 6.0 and because of the changes Siclab 6.0 entails to Grocer implementation, I plan that next Grocer releases work "only" with Scilab versions from the 5.4 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: 2015/11/09