β Scribed by Lee C. Adkins
No coin nor oath required. For personal study only.
simulation is a powerful way to study the basic sampling properties of various statistics in econometrics. The open source software package gretl makes this method accessible to a wide audience of students and researchers. Although the review discusses teaching applications, gretl can also serve as a platform for simulation research. Gretl is an acronym for Gnu Regression, Econometrics and Time-series Library (Cottrell and Lucchetti, 2010).
Gretl is useful for performing Monte Carlo simulations for several reasons. First, gretl is distributed freely by download from http://gretl.sourceforge.net and can be installed on just about any computer. Users worldwide will appreciate the fact that gretl has been translated into many languages, including French, Italian, Spanish, Polish, German, Basque, Portuguese, Russian, Turkish and Czech. Gretl is supported by an active and growing community of users and contributors that are tied together via listserv. It is fast and accurate (see Yalta and Yalta, 2007); from a numerical standpoint, it is the equal or better of many commercial products. More importantly for teaching applications, it is very easy to use. As shown below, the amount of programming needed to perform a Monte Carlo simulation in gretl is minimal, especially for those estimators supported by its -progressive loop option.
To evaluate gretl for Monte Carlo exercises, several examples are considered. These examples are chosen because they illustrate common topics in introductory econometrics courses taught to undergraduates and first-year graduate students in economics and business. Rather than present complete examples, relevant snippets of code are given that illustrate the ease with which various statistical models can be simulated via gretl. Complete programs are available from the JAE Data Archive and from the author's own website (Adkins, 2010).
Simulations involve executing several lines of computer code at once, making gretl scripts the best way to work. A gretl script is simply a collection of commands that are put into a plain text file. The script can be executed from the command line (which gretl refers to as the console) or
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