Gretl Command Reference

Gnu Regression, Econometrics and Time-series

Allin Cottrell
Department of Economics
Wake Forest university

November, 2005
Permission is granted to copy, distribute and/or modify this document under the terms of
the GNU Free Documentation License, Version 1.1 or any later version published by the Free
Software Foundation (see http://www.gnu.org/licenses/fdl.html).
 Contents

1 Gretl commands 1
1.1 Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Commands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
add . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
addobs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
addto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
adf . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
append . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
ar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
arch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
arma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
break . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
chow . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
coeffsum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
coint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
coint2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
corc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
corr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
corrgm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
critical . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
cusum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
delete . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
diff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
else . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
end . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
endif . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
endloop . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
eqnprint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
estimate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
fcast . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
fcasterr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
fit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
freq . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11

i
Contents ii

function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
garch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
genr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
gnuplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
hausman . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
hccm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
help . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
hilu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
hsk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
hurst . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
if . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
import . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
include . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
info . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
label . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
kpss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
labels . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
lad . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
lags . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
ldiff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
lmtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
logistic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
logit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
logs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
loop . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
mahal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
meantest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
mle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
modeltab . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
mpols . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
multiply . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
nls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
noecho . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
nulldata . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
ols . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
omit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
omitfrom . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
open . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
outfile . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
panel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
Contents iii

pca . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
pergm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
poisson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
plot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
pooled . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
print . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
printf . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
probit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
pvalue . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
pwe . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
quit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
rename . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
reset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
restrict . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
rhodiff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
rmplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
run . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
runs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
scatters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
sdiff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
seed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
setobs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
setmiss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
shell . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
sim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
smpl . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
spearman . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
square . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
store . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
system . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
tabprint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
testuhat . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
tobit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
transpos . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
tsls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
var . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
varlist . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
vartest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
vecm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
vif . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
Contents iv

wls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
1.3 Estimators and tests: summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42

2 Options, arguments and path-searching 44

2.1 gretl . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
2.2 gretlcli . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
2.3 Path searching . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
MS Windows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
 Chapter 1

Gretl commands

1.1 Notation
The commands defined below may be executed in the command-line client program. They may
also be placed in a “script” file for execution in the GUI, or entered using the latter’s “console
mode”. In most cases the syntax given below also applies when you are presented with a line to
type in a dialog box in the GUI (but see also gretl’s online help), except that you should not type
the initial command word — it is implicit from the context. One other difference is that some
commands support option flags, but you cannot enter these in GUI dialog boxes; generally there
are menu items which achieve the same effect.
The following conventions are used below:

• A typewriter font is used for material that you would type directly, and also for internal
names of variables.

• Terms in a slanted font are place-holders: you should substitute some specific replace-
ment. For example, you might type income in place of the generic xvar.

• The construction [ arg ] means that the argument arg is optional: you may supply it or
not (but in any case don’t type the brackets).

• The phrase “estimation command” means a command that generates estimates for a given
model, for example ols, ar or wls.

Section and Chapter references below are to Ramanathan (2002).

1.2 Commands
add
Argument: varlist
Options: --vcv (print covariance matrix)
--quiet (don’t print estimates for augmented model)
--silent (don’t print anything)
--inst (add as instrument, TSLS only)
--both (add as both regressor and instrument, TSLS only)
Examples: add 5 7 9
add xx yy zz --quiet
Must be invoked after an estimation command. The variables in varlist are added to the pre-
vious model and the new model is estimated. A test statistic for the joint significance of the
added variables is printed, along with its p-value. The test statistic is F in the case of OLS es-
timation, an asymptotic Wald chi-square value otherwise. A p-value below 0.05 means that the
coefficients are jointly significant at the 5 percent level.
If the --quiet option is given the printed results are confined to the test for the joint signifi-
cance of the added variables, otherwise the estimates for the augmented model are also printed.
In the latter case, the --vcv flag causes the covariance matrix for the coefficients to be printed
also. If the --silent option is given, nothing is printed; nonetheless, the results of the test can
be retrieved using the special variables $test and $pvalue.

1
Chapter 1. Gretl commands 2

If the original model was estimated using two-stage least squares, an ambiguity arises: should
the new variables be added as regressors, as instruments, or as both? This is resolved as
follows: by default the new variables are added as endogenous regressors, but if the --inst
flag is given they are added as instruments, or if the --both flag is given they are added as
exogenous regressors.
Menu path: Model window, /Tests/add variables

addobs
Argument: nobs
Example: addobs 10
Adds the specified number of extra observations to the end of the working dataset. This is
primarily intended for forecasting purposes. The values of most variables over the additional
range will be set to missing, but certain deterministic variables are recognized and extended,
namely, a simple linear trend and periodic dummy variables.
This command is not available if the dataset is currently subsampled by selection of cases on
some Boolean criterion.
Menu path: /Data/Add observations

addto
Arguments: modelID varlist
Option: --quiet (don’t print estimates for augmented model)
Example: addto 2 5 7 9
Works like the add command, except that you specify a previous model (using its ID number,
which is printed at the start of the model output) to take as the base for adding variables. The
example above adds variables number 5, 7 and 9 to Model 2.
Menu path: Model window, /Tests/add variables

adf
Arguments: order varname
Options: --nc (test without a constant)
--c (with constant only)
--ct (with constant and trend)
--ctt (with constant, trend and trend squared)
--verbose (print regression results)
Examples: adf 0 y
adf 2 y --nc --c --ct
Computes statistics for a set of Dickey–Fuller tests on the specified variable, the null hypothesis
being that the variable has a unit root.
By default, three variants of the test are shown: one based on a regression containing a constant,
one using a constant and linear trend, and one using a constant and a quadratic trend. You can
control the variants that are presented by specifying one or more of the option flags.
In all cases the dependent variable is the first difference of the specified variable, y, and the key
independent variable is the first lag of y. The model is constructed so that the coefficient on
lagged y equals 1 minus the root in question. For example, the model with a constant may be
written as
(1 − L)yt = β0 + (1 − α)yt−1 + t

If the lag order, k, is greater than 0, then k lags of the dependent variable are included on the
right-hand side of each test regression.
Chapter 1. Gretl commands 3

If the given lag order is prefaced with a minus sign, it is taken as the maximum lag and the
actual lag order used is obtained by testing down. Let the given order be −k: the testing-down
algorithm is then:

1. Estimate the Dickey–Fuller regression with k lags of the dependent variable.

2. Is the last lag significant? If so, execute the test with lag order k. Otherwise, let k = k − 1;
if k = 0, execute the test with lag order 0, else go to step 1.

In the context of step 2 above, “significant” means that the t-statistic for the last lag has an
asymptotic two-sided p-value, against the normal distribution, of 0.10 or less.
P-values for the Dickey–Fuller tests are based on MacKinnon (1996). The relevant code is in-
cluded by kind permission of the author.
Menu path: /Variable/Augmented Dickey-Fuller test

append
Argument: datafile
Opens a data file and appends the content to the current dataset, if the new data are compatible.
The program will try to detect the format of the data file (native, plain text, CSV, Gnumeric,
Excel, etc.).
Menu path: /File/Append data

ar
Arguments: lags ; depvar indepvars
Option: --vcv (print covariance matrix)
Example: ar 1 3 4 ; y 0 x1 x2 x3
Computes parameter estimates using the generalized Cochrane–Orcutt iterative procedure (see
Section 9.5 of Ramanathan). Iteration is terminated when successive error sums of squares do
not differ by more than 0.005 percent or after 20 iterations.
lags is a list of lags in the residuals, terminated by a semicolon. In the above example, the error
term is specified as
ut = ρ1 ut−1 + ρ3 ut−3 + ρ4 ut−4 + et

Menu path: /Model/Time series/Autoregressive estimation

arch
Arguments: order depvar indepvars
Example: arch 4 y 0 x1 x2 x3
Tests the model for ARCH (Autoregressive Conditional Heteroskedasticity) of the specified lag
order. If the LM test statistic has a p-value below 0.10, then ARCH estimation is also carried
out. If the predicted variance of any observation in the auxiliary regression is not positive, then
the corresponding squared residual is used instead. Weighted least squares estimation is then
performed on the original model.
See also garch.
Menu path: Model window, /Tests/ARCH
Chapter 1. Gretl commands 4

arma
Arguments: p q ; [ P Q ; ] depvar [ indepvars ]
Options: --native (Use native plugin (default))
--x-12-arima (use X-12-ARIMA for estimation)
--verbose (print details of iterations)
--vcv (print covariance matrix)
--nc (do not include a constant)
Examples: arma 1 2 ; y
arma 2 2 ; y 0 x1 x2 --verbose
arma 1 1 ; 1 0 ; y 0 x1 x2
If no indepvars list is given, estimates a univariate ARMA (Autoregressive, Moving Average)
model. The integer values p and q represent the AR and MA orders respectively. The optional
integer values P and Q represent seasonal AR and MA orders; these are relevant only if the data
have a frequency greater than 1 (for example, quarterly or monthly data).
In the univariate case the default is to include an intercept in the model but this can be sup-
pressed with the --nc flag. If indepvars are added, the model becomes ARMAX; in this case
the constant should be included explicitly if you want an intercept (as in the second example
above).
The default is to use the “native” gretl ARMA function; in the case of a univariate ARMA model
X-12-ARIMA may be used instead (if the X-12-ARIMA package for gretl is installed).
The options given above may be combined, except that the covariance matrix is not available
when estimation is by X-12-ARIMA.
The native gretl ARMA algorithm is largely due to Riccardo “Jack” Lucchetti. It uses a condi-
tional maximum likelihood procedure, implemented via iterated least squares estimation of the
outer product of the gradient (OPG) regression. See the Gretl User’s Guide for the logic of the
procedure. The AR coefficients (and those for any additional regressors) are initialized using an
OLS auto-regression, and the MA coefficients are initialized at zero.
The AIC value given in connection with ARMA models is calculated according to the definition
used in X-12-ARIMA, namely
AIC = −2` + 2k
where ` is the log-likelihood and k is the total number of parameters estimated. The “frequency”
figure printed in connection with AR and MA roots is the λ value that solves

z = r ei2π λ

where z is the root in question and r is its modulus.

Menu path: /Variable/ARMA model, /Model/Time series/ARMAX
Other access: Main window pop-up menu (single selection)

boxplot
Argument: varlist
Option: --notches (show 90 percent interval for median)
These plots (after Tukey and Chambers) display the distribution of a variable. The central box
encloses the middle 50 percent of the data, i.e. it is bounded by the first and third quartiles.
The “whiskers” extend to the minimum and maximum values. A line is drawn across the box at
the median.
In the case of notched boxes, the notch shows the limits of an approximate 90 percent confi-
dence interval for the median. This is obtained by the bootstrap method.
After each variable specified in the boxplot command, a parenthesized Boolean expression may
be added, to limit the sample for the variable in question. A space must be inserted between
the variable name or number and the expression. Suppose you have salary figures for men and
Chapter 1. Gretl commands 5

women, and you have a dummy variable GENDER with value 1 for men and 0 for women. In that
case you could draw comparative boxplots with the following varlist:

salary (GENDER=1) salary (GENDER=0)

Some details of gretl’s boxplots can be controlled via a (plain text) file named .boxplotrc. For
details on this see the Gretl User’s Guide.
Menu path: /Data/Graph specified vars/Boxplots

break
Break out of a loop. This command can be used only within a loop; it causes command execution
to break out of the current (innermost) loop. See also loop.

chow
Argument: obs
Examples: chow 25
chow 1988:1
Must follow an OLS regression. Creates a dummy variable which equals 1 from the split point
specified by obs to the end of the sample, 0 otherwise, and also creates interaction terms
between this dummy and the original independent variables. An augmented regression is run
including these terms and an F statistic is calculated, taking the augmented regression as the
unrestricted and the original as restricted. This statistic is appropriate for testing the null
hypothesis of no structural break at the given split point.
Menu path: Model window, /Tests/Chow test

coeffsum
Argument: varlist
Example: coeffsum xt xt_1 xr_2
Must follow a regression. Calculates the sum of the coefficients on the variables in varlist. Prints
this sum along with its standard error and the p-value for the null hypothesis that the sum is
zero.
Note the difference between this and omit, which tests the null hypothesis that the coefficients
on a specified subset of independent variables are all equal to zero.
Menu path: Model window, /Tests/sum of coefficients

coint
Arguments: order depvar indepvars
Option: --nc (do not include a constant)
Example: coint 4 y x1 x2
The Engle–Granger cointegration test. Carries out Augmented Dickey–Fuller tests on the null
hypothesis that each of the variables listed has a unit root, using the given lag order. The coin-
tegrating regression is estimated, and an ADF test is run on the residuals from this regression.
The Durbin–Watson statistic for the cointegrating regression is also given.
P-values for this test are based on MacKinnon (1996). The relevant code is included by kind
permission of the author.
By default, the cointegrating regression contains a constant. If you wish to suppress the con-
stant, add the --nc flag.
Menu path: /Model/Time series/Cointegration test/Engle-Granger
Chapter 1. Gretl commands 6

coint2
Arguments: order depvar indepvars
Options: --nc (no constant)
--rc (restricted constant)
--crt (constant and restricted trend)
--ct (constant and unrestricted trend)
--seasonals (include centered seasonal dummies)
--verbose (print details of auxiliary regressions)
Examples: coint2 2 y x
coint2 4 y x1 x2 --verbose
coint2 3 y x1 x2 --rc
Carries out the Johansen test for cointegration among the listed variables for the given lag
order. Critical values are computed via J. Doornik’s gamma approximation (Doornik, 1998). For
details of this test see Hamilton, Time Series Analysis (1994), Chapter 20.
The inclusion of deterministic terms in the model is controlled by the option flags. The default
if no option is specified is to include an “unrestricted constant”, which allows for the presence
of a non-zero intercept in the cointegrating relations as well as a trend in the levels of the
endogenous variables. In the literature stemming from the work of Johansen (see for example
his 1995 book) this is often referred to as “case 3”. The first four options given above, which
are mutually exclusive, produce cases 1, 2, 4 and 5 respectively. The meaning of these cases
and the criteria for selecting a case are explained in the Gretl User’s Guide.
The --seasonals option, which may be combined with any of the other options, specifies
the inclusion of a set of centered seasonal dummy variables. This option is available only for
quarterly or monthly data.
The following table is offered as a guide to the interpretation of the results shown for the test,
for the 3-variable case. H0 denotes the null hypothesis, H1 the alternative hypothesis, and c the
number of cointegrating relations.

Rank Trace test Lmax test

H0 H1 H0 H1
---------------------------------------
0 c = 0 c = 3 c = 0 c = 1
1 c = 1 c = 3 c = 1 c = 2
2 c = 2 c = 3 c = 2 c = 3
---------------------------------------

See also the vecm command.

Menu path: /Model/Time series/Cointegration test/Johansen

corc
Arguments: depvar indepvars
Option: --vcv (print covariance matrix)
Example: corc 1 0 2 4 6 7
Computes parameter estimates using the Cochrane–Orcutt iterative procedure (see Section 9.4
of Ramanathan). Iteration is terminated when successive estimates of the autocorrelation coef-
ficient do not differ by more than 0.001 or after 20 iterations.
Menu path: /Model/Time series/Cochrane-Orcutt

corr
Argument: [ varlist ]
Example: corr y x1 x2 x3
Chapter 1. Gretl commands 7

Prints the pairwise correlation coefficients for the variables in varlist, or for all variables in the
data set if varlist is not given.
Menu path: /Data/Correlation matrix
Other access: Main window pop-up menu (multiple selection)

corrgm

Arguments: variable [ maxlag ]

Example: corrgm x 12
Prints the values of the autocorrelation function for variable, which may be specified by name
or number. The values are defined as ρ̂(ut , ut−s ) where ut is the tth observation of the variable
u and s is the number of lags.
The partial autocorrelations (calculated using the Durbin–Levinson algorithm) are also shown:
these are net of the effects of intervening lags. The command also graphs the correlogram and
prints the Box–Pierce Q statistic for testing the null hypothesis that the series is “white noise”:
this is asymptotically distributed as chi-square with degrees of freedom equal to the number of
lags used.
If a maxlag value is specified the length of the correlogram is limited to at most that number
of lags, otherwise the length is determined automatically, as a function of the frequency of the
data and the number of observations.
Menu path: /Variable/Correlogram
Other access: Main window pop-up menu (single selection)

criteria
Arguments: ess T k
Example: criteria 23.45 45 8
Computes the Akaike Information Criterion (AIC) and Schwarz’s Bayesian Information Criterion
(BIC), given ess (error sum of squares), the number of observations (T ), and the number of
coefficients (k). T, k, and ess may be numerical values or names of previously defined variables.
The AIC is computed as in Akaike’s original (1974) formulation, namely

AIC = −2` + 2k

where ` denotes the maximized log-likelihood. The BIC is computed as

BIC = −2` + k log T

Please see the Gretl User’s Guide for further details.

critical
Arguments: dist param1 [ param2 ]
Examples: critical t 20
critical X 5
critical F 3 37
critical d 50
If dist is t, X or F, prints out the critical values for the student’s t, chi-square or F distribution
respectively, for the common significance levels and using the specified degrees of freedom,
given as param1 for t and chi-square, or param1 and param2 for F. If dist is d, prints the upper
and lower values of the Durbin–Watson statistic at 5 percent significance, for the given number
of observations, param1, and for the range of 1 to 5 explanatory variables.
Menu path: /Utilities/Statistical tables
Chapter 1. Gretl commands 8

cusum
Must follow the estimation of a model via OLS. Performs the CUSUM test for parameter stability.
A series of (scaled) one-step ahead forecast errors is obtained by running a series of regres-
sions: the first regression uses the first k observations and is used to generate a prediction of
the dependent variable at observation k + 1; the second uses the first k + 1 observations and
generates a prediction for observation k + 2, and so on (where k is the number of parameters in
the original model).
The cumulated sum of the scaled forecast errors is printed and graphed. The null hypothesis
of parameter stability is rejected at the 5 percent significance level if the cumulated sum strays
outside of the 95 percent confidence band.
The Harvey–Collier t-statistic for testing the null hypothesis of parameter stability is also printed.
See Chapter 7 of Greene’s Econometric Analysis for details.
Menu path: Model window, /Tests/CUSUM

data
Argument: varlist
Reads the variables in varlist from a database (gretl or RATS 4.0), which must have been opened
previously using the open command. In addition, a data frequency and sample range must be
established using the setobs and smpl commands prior to using this command. Here is a full
example:

open macrodat.rat
setobs 4 1959:1
smpl ; 1999:4
data GDP_JP GDP_UK

These commands open a database named macrodat.rat, establish a quarterly data set starting
in the first quarter of 1959 and ending in the fourth quarter of 1999, and then import the series
named GDP_JP and GDP_UK.
If the series to be read are of higher frequency than the working data set, you must specify a
compaction method as below:

data (compact=average) LHUR PUNEW

The four available compaction methods are “average” (takes the mean of the high frequency
observations), “last” (uses the last observation), “first” and “sum”.
Menu path: /File/Browse databases

delete
Argument: [ varlist ]
Removes the listed variables (given by name or number) from the dataset. Use with caution: no
confirmation is asked, and any variables with higher ID numbers will be re-numbered.
If no varlist is given with this command, it deletes the last (highest numbered) variable from
the dataset.
Menu path: Main window pop-up (single selection)

diff
Argument: varlist
The first difference of each variable in varlist is obtained and the result stored in a new variable
with the prefix d_. Thus diff x y creates the new variables

d_x = x(t) - x(t-1)

d_y = y(t) - y(t-1)

Menu path: /Data/Add variables/first differences

Chapter 1. Gretl commands 9

else
See if.

end
Ends a block of commands of some sort. For example, end system terminates an equation
system.

endif
See if.

endloop
Marks the end of a command loop. See loop.

eqnprint
Argument: [ -f filename ]
Option: --complete (Create a complete document)
Must follow the estimation of a model. Prints the estimated model in the form of a LATEX equa-
tion. If a filename is specified using the -f flag output goes to that file, otherwise it goes to a
file with a name of the form equation_N.tex, where N is the number of models estimated to
date in the current session. See also tabprint.
If the --complete flag is given, the LATEX file is a complete document, ready for processing;
otherwise it must be included in a document.
Menu path: Model window, /LaTeX

equation
Arguments: depvar indepvars
Example: equation y x1 x2 x3 const
Specifies an equation within a system of equations (see system). The syntax for specifying
an equation within an SUR system is the same as that for, e.g., ols. For an equation within a
Three-Stage Least Squares system you may either (a) give an OLS-type equation specification
and provide a common list of instruments using the instr keyword (again, see system), or (b)
use the same equation syntax as for tsls.

estimate
Arguments: systemname estimator
Options: --iterate (iterate to convergence)
--no-df-corr (no degrees of freedom correction)
--geomean (see below)
Examples: estimate "Klein Model 1" method=fiml
estimate Sys1 method=sur
estimate Sys1 method=sur --iterate
Calls for estimation of a system of equations, which must have been previously defined using
the system command. The name of the system should be given first, surrounded by double
quotes if the name contains spaces. The estimator, which must be one of ols, tsls, sur, 3sls,
fiml or liml, is preceded by the string method=.
If the system in question has had a set of restrictions applied (see the restrict command),
estimation will be subject to the specified restrictions.
If the estimation method is sur or 3sls and the --iterate flag is given, the estimator will be
iterated. In the case of SUR, if the procedure converges the results are maximum likelihood
Chapter 1. Gretl commands 10

estimates. Iteration of three-stage least squares, however, does not in general converge on the
full-information maximum likelihood results. The --iterate flag is ignored for other methods
of estimation.
If the equation-by-equation estimators ols or tsls are chosen, the default is to apply a degrees
of freedom correction when calculating standard errors. This can be suppressed using the
--no-df-corr flag. This flag has no effect with the other estimators; no degrees of freedom
correction is applied in any case.
By default, the formula used in calculating the elements of the cross-equation covariance matrix
is
û0 ûj
σ̂i,j = i
T
If the --geomean flag is given, a degrees of freedom correction is applied: the formula is

û0i ûj
σ̂i,j = q
(T − ki )(T − kj )

where the ks denote the number of independent parameters in each equation.

fcast
Arguments: [ startobs endobs ] fitvar
Options: --dynamic (create dynamic forecast)
--static (create static forecast)
Examples: fcast 1997:1 2001:4 f1
fcast fit2
Must follow an estimation command. Forecasts are generated for the specified range (or the
largest possible range if no startobs and endobs are given) and the values saved as fitvar, which
can be printed, graphed, or plotted. The right-hand side variables are those in the original
model. There is no provision to substitute other variables. If an autoregressive error process is
specified the forecast incorporates the predictable fraction of the error process.
The choice between a static and a dynamic forecast applies only in the case of dynamic models,
with an autoregressive error process or including one or more lagged values of the dependent
variable as regressors. See fcasterr for more details.
Menu path: Model window, /Model data/Forecasts

fcasterr
Arguments: startobs endobs
Options: --plot (display graph)
--dynamic (create dynamic forecast)
--static (create static forecast)
After estimating a model you can use this command to print out fitted values over the specified
observation range, along with (depending on the nature of the model and the available data)
estimated standard errors of those predictions and 95 percent confidence intervals.
The choice between a static and a dynamic forecast applies only in the case of dynamic models,
with an autoregressive error process or including one or more lagged values of the dependent
variable as regressors. Static forecasts are one step ahead, based on realized values from the
previous period, while dynamic forecasts employ the chain rule of forecasting. For example, if
a forecast for y in 2008 requires as input a value of y for 2007, a static forecast is impossible
without actual data for 2007. A dynamic forecast for 2008 is possible if a prior forecast can be
substituted for y in 2007.
The default is to give a static forecast for any portion of the forecast range that lies with the
sample range over which the model was estimated, and a dynamic forecast (if relevant) out of
sample. The dynamic option requests a dynamic forecast from the earliest possible date, and
the static option requests a static forecast even out of sample.
Chapter 1. Gretl commands 11

The nature of the forecast standard errors (if available) depends on the nature of the model and
the forecast. For static linear models standard errors are computed using the method outlined
by Davidson and MacKinnon (2004); they incorporate both uncertainty due to the error process
and parameter uncertainty (summarized in the covariance matrix of the parameter estimates).
For dynamic models, forecast standard errors are computed only in the case of a dynamic
forecast, and they do not incorporate parameter uncertainty. For nonlinear models, forecast
standard errors are not presently available.
Menu path: Model window, /Model data/Forecasts

fit
A shortcut to fcast. Must follow an estimation command. Generates fitted values, in a series
called autofit, for the current sample, based on the last regression. In the case of time-series
models, also pops up a graph of fitted and actual values of the dependent variable against time.

freq
Argument: var
Options: --quiet (suppress printing of histogram)
--gamma (test for gamma distribution)
With no options given, displays the frequency distribution for var (given by name or number)
and shows the results of the Doornik–Hansen chi-square test for normality.
If the --quiet option is given, the histogram is not shown. If the --gamma option is given, the
test for normality is replaced by Locke’s nonparametric test for the null hypothesis that the
variable follows the gamma distribution; see Locke (1976), Shapiro and Chen (2001).
In interactive mode a graph of the distribution is displayed.
Menu path: /Variable/Frequency distribution

function
Argument: fnname
Opens a block of statements in which a function is defined. This block must be closed with end
function. Please see the Gretl User’s Guide for details.

garch

Arguments: p q ; depvar [ indepvars ]

Options: --robust (robust standard errors)
--verbose (print details of iterations)
--vcv (print covariance matrix)
--arma-init (initial variance parameters from ARMA)
Examples: garch 1 1 ; y
garch 1 1 ; y 0 x1 x2 --robust
Estimates a GARCH model (GARCH = Generalized Autoregressive Conditional Heteroskedas-
ticity), either a univariate model or, if indepvars are specified, including the given exogenous
variables. The integer values p and q represent the lag orders in the conditional variance equa-
tion:
q p
X X
2
h t = α0 + αi εt−i + βi ht−j
i=1 j=1

The gretl GARCH algorithm is basically that of Fiorentini, Calzolari and Panattoni (1996), used
by kind permission of Professor Fiorentini.
Several variant estimates of the coefficient covariance matrix are available with this command.
By default, the Hessian is used unless the --robust option is given, in which case the QML
Chapter 1. Gretl commands 12

(White) covariance matrix is used. Other possibilities (e.g. the information matrix, or the
Bollerslev–Wooldridge estimator) can be specified using the set command.
By default, the estimates of the variance parameters are initialized using the unconditional error
variance from initial OLS estimation for the constant, and small positive values for the coeffi-
cients on the past values of the squared error and the error variance. The flag --arma-init
calls for the starting values of these parameters to be set using an initial ARMA model, exploit-
ing the relationship between GARCH and ARMA set out in Chapter 21 of Hamilton’s Time Series
Analysis. In some cases this may improve the chances of convergence.
Menu path: /Model/Time series/GARCH model

genr

Arguments: newvar = formula

Creates new variables, usually through transformations of existing variables. See also diff, logs,
lags, ldiff, multiply, sdiff and square for shortcuts. In the context of a genr formula, existing
variables must be referenced by name, not ID number. The formula should be a well-formed
combination of variable names, constants, operators and functions (described below). Note that
further details on some aspects of this command can be found in the Gretl User’s Guide.
This command may yield either a series or a scalar result. For example, the formula x2 = x *
2 naturally yields a series if the variable x is a series and a scalar if x is a scalar. The formulae
x = 0 and mx = mean(x) naturally return scalars. Under some circumstances you may want
to have a scalar result expanded into a series or vector. You can do this by using series as
an “alias” for the genr command. For example, series x = 0 produces a series all of whose
values are set to 0. You can also use scalar as an alias for genr. It is not possible to coerce a
vector result into a scalar, but use of this keyword indicates that the result should be a scalar:
if it is not, an error occurs.
When a formula yields a series or vector result, the range over which the result is written to
the target variable depends on the current sample setting. It is possible, therefore, to define a
series piecewise using the smpl command in conjunction with genr.
Supported arithmetical operators are, in order of precedence: ^ (exponentiation); *, / and %
(modulus or remainder); + and -.
The available Boolean operators are (again, in order of precedence): ! (negation), & (logical AND),
| (logical OR), >, <, =, >= (greater than or equal), <= (less than or equal) and != (not equal). The
Boolean operators can be used in constructing dummy variables: for instance (x > 10) returns
1 if x > 10, 0 otherwise.
Built-in constants are pi and NA. The latter is the missing value code: you can initialize a variable
to the missing value with scalar x = NA.
Supported functions fall into these groups:

• Standard mathematical functions: abs, cos, exp, int (integer part), ln (natural logarithm:
log is a synonym), sin, sqrt. All of these take a single argument, which may be either a
series or a scalar.
• Standard statistical functions taking a single argument and yielding a scalar result: max
(maximum value in a series), min (minimum value in series), mean (arithmetic mean),
median, var (variance), sd (standard deviation), sst (sum of squared deviations from the
mean), sum.
• Statistical functions taking one series as argument and yielding a series or vector result:
sort (sort a series is ascending order of magnitude), cum (cumulate, or running sum).
• Statistical functions taking two series as arguments and yielding a scalar result: cov (co-
variance), corr (correlation coefficient).
• Special statistical functions: pvalue and critical (see below), cnorm (standard normal
CDF), dnorm (standard normal PDF), resample (resample a series with replacement, for
bootstrap purposes), hpfilt (Hodrick–Prescott filter: this function returns the “cycle”
component of the series), bkfilt (Baxter–King bandpass filter).
Chapter 1. Gretl commands 13

• Time-series functions: diff (first difference), ldiff (log-difference, or first difference of

natural logs), sdiff (seasonal difference), fracdiff (fractional difference). To generate
lags of a variable x, use the syntax x(-N), where N represents the desired lag length; to
generate leads, use x(+N).

• Dataset functions yielding a series: misszero (replaces the missing observation code in
a given series with zeros); zeromiss (the inverse operation to misszero); missing (at
each observation, 1 if the argument has a missing value, 0 otherwise); ok (the opposite of
missing).

• Dataset functions yielding a scalar: nobs (gives the number of valid observations in a data
series), firstobs (gives the 1-based observation number of the first non-missing value in
a series), lastobs (observation number of the last non-missing observation in a series).

• Pseudo-random numbers: uniform and normal. These functions do not take an argu-
ment and should be written with empty parentheses: uniform(), normal(). They create
pseudo-random series drawn from the uniform (0–1) and standard normal distributions
respectively. See also the set command, seed option. Uniform series are generated using
the Mersenne Twister;1 for normal series the method of Box and Muller (1958) is used,
taking input from the Mersenne Twister.

All of the above functions with the exception of cov, corr, pvalue, critical, fracdiff,
uniform and normal take as their single argument either the name of a variable or an ex-
pression that evaluates to a variable (e.g. ln((x1+x2)/2)).
The pvalue function takes the same arguments as the pvalue command, but in this context
commas should be placed between the arguments. It returns a one-tailed p-value, and in the
case of the normal and t distributions, it is for the “short tail”. With the normal, for example,
both 1.96 and −1.96 will give a result of around 0.025.
The critical function returns the critical value for a specified probability distribution and a
specified proportion in the right-hand tail (with specified degrees of freedom where applicable).
The distribution parameter, which must come first, can be z or N (Normal distribution), t (Stu-
dent’s t), X (chi-square) or F. The last parameter is the right-hand tail proportion. If the first
parameter is t or X, a second parameter must give the degrees of freedom. For the F distrib-
ution, the second and third parameters must give the numerator and denominator degrees of
freedom.
Here are some examples of use of the pvalue and critical functions (spaces between the
arguments are optional):

genr p1 = pvalue(z, 2.2)

genr p2 = pvalue(X, 3, 5.67)
genr c1 = critical(t, 20, 0.025)
genr c2 = critical(F, 4, 48, 0.05)

The fracdiff function takes two arguments: the name of the series and a fraction, in the range
−1 to 1.
Besides the operators and functions noted above there are some special uses of genr:

• genr time creates a time trend variable (1,2,3,. . . ) called time. genr index does the
same thing except that the variable is called index.

• genr dummy creates dummy variables up to the periodicity of the data. For example, in
the case of quarterly data (periodicity 4), the program creates dummy_1 = 1 for first quarter
and 0 in other quarters, dummy_2 = 1 for the second quarter and 0 in other quarters, and
so on.
1 See Matsumoto and Nishimura (1998). The implementation is provided by glib, if available, or by the C code

written by Nishimura and Matsumoto.

Chapter 1. Gretl commands 14

• genr paneldum creates a set of special dummy variables for use with a panel data set —
see panel.

Various internal variables defined in the course of running a regression can be retrieved using
genr, as follows:

• $ess: error sum of squares

• $rsq: unadjusted R-squared

• $T: number of observations used

• $df: degrees of freedom

• $ncoeff: total number of estimated coefficients

• $trsq: TR-squared (sample size times R-squared)

• $sigma: standard error of residuals

• $aic: Akaike Information Criterion

• $bic: Schwarz’s Bayesian Information Criterion

• $lnl: log-likelihood (where applicable)

• coeff(var): estimated coefficient for variable var

• stderr(var): estimated standard error for variable var

• rho(i): ith order autoregressive coefficient for residuals

• vcv(x1,x2): estimated covariance between coefficients for the variables x1 and x2

Note: In the command-line program, genr commands that retrieve model-related data always
reference the model that was estimated most recently. This is also true in the GUI program, if
one uses genr in the “gretl console” or enters a formula using the “Define new variable” option
under the Variable menu in the main window. With the GUI, however, you have the option of
retrieving data from any model currently displayed in a window (whether or not it’s the most
recent model). You do this under the “Model data” menu in the model’s window.
The internal series $uhat and $yhat hold, respectively, the residuals and fitted values from the
last regression.
Three “internal” dataset variables are available: $nobs holds the number of observations in the
current sample range (which may or may not equal the value of $T, the number of observations
used in estimating the last model); $nvars holds the number of variables in the dataset (includ-
ing the constant); and $pd holds the frequency or periodicity of the data (e.g. 4 for quarterly
data).
Two special internal scalars, $test and $pvalue, hold respectively the value and the p-value of
the test statistic that was generated by the last explicit hypothesis-testing command, if any (e.g.
chow). Please see the Gretl User’s Guide for details on this.
The variable t serves as an index of the observations. For instance genr dum = (t=15) will
generate a dummy variable that has value 1 for observation 15, 0 otherwise. The variable obs is
similar but more flexible: you can use this to pick out particular observations by date or name.
For example, genr d = (obs>1986:4) or genr d = (obs="CA"). The last form presumes
that the observations are labeled; the label must be put in double quotes.
Scalar values can be pulled from a series in the context of a genr formula, using the syntax
varname[obs]. The obs value can be given by number or date. Examples: x[5], CPI[1996:01].
For daily data, the form YYYY/MM/DD should be used, e.g. ibm[1970/01/23].
An individual observation in a series can be modified via genr. To do this, a valid observation
number or date, in square brackets, must be appended to the name of the variable on the
left-hand side of the formula. For example, genr x[3] = 30 or genr x[1950:04] = 303.7.
Here are a couple of tips on dummy variables:
Chapter 1. Gretl commands 15

• Suppose x is coded with values 1, 2, or 3 and you want three dummy variables, d1 = 1 if x
= 1, 0 otherwise, d2 = 1 if x = 2, and so on. To create these, use the commands:

genr d1 = (x=1)
genr d2 = (x=2)
genr d3 = (x=3)

• To create z = max(x,y) do

genr d = x>y
genr z = (x*d)+(y*(1-d))

Table 1.1: Examples of use of genr command

Formula Comment
y = x1^3 x1 cubed
y = ln((x1+x2)/x3)
z = x>y z(t) = 1 if x(t) > y(t), otherwise 0
y = x(-2) x lagged 2 periods
y = x(+2) x led 2 periods
y = diff(x) y(t) = x(t) - x(t-1)
y = ldiff(x) y(t) = log x(t) - log x(t-1), the instantaneous rate of
growth of x
y = sort(x) sorts x in increasing order and stores in y
y = -sort(-x) sort x in decreasing order
y = int(x) truncate x and store its integer value as y
y = abs(x) store the absolute values of x
y = sum(x) sum x values excluding missing −999 entries
Pt
y = cum(x) cumulation: yt = τ=1 xτ
aa = $ess set aa equal to the Error Sum of Squares from last regression
x = coeff(sqft) grab the estimated coefficient on the variable sqft from the last
regression
rho4 = rho(4) grab the 4th-order autoregressive coefficient from the last model
(presumes an ar model)
cvx1x2 = vcv(x1, x2) grab the estimated coefficient covariance of vars x1 and x2 from
the last model
foo = uniform() uniform pseudo-random variable in range 0–1
bar = 3 * normal() normal pseudo-random variable, µ = 0, σ = 3
samp = ok(x) = 1 for observations where x is not missing.

Menu path: /Variable/Define new variable

Other access: Main window pop-up menu

gnuplot

Arguments: yvars xvar [ dumvar ]

Options: --with-lines (use lines, not points)
--with-impulses (use vertical lines)
--suppress-fitted (don’t show least squares fit)
--dummy (see below)
Examples: gnuplot y1 y2 x
gnuplot x time --with-lines
gnuplot wages educ gender --dummy
Chapter 1. Gretl commands 16

Without the --dummy option, the yvars are graphed against xvar. With --dummy, yvar is graphed
against xvar with the points shown in different colors depending on whether the value of dum-
var is 1 or 0.
The time variable behaves specially: if it does not already exist then it will be generated auto-
matically.
In interactive mode the result is displayed immediately. In batch mode a gnuplot command file
is written, with a name on the pattern gpttmpN.plt, starting with N = 01. The actual plots may
be generated later using gnuplot (under MS Windows, wgnuplot).
A further option to this command is available: following the specification of the variables to
be plotted and the option flag (if any), you may add literal gnuplot commands to control the
appearance of the plot (for example, setting the plot title and/or the axis ranges). These com-
mands should be enclosed in braces, and each gnuplot command must be terminated with a
semi-colon. A backslash may be used to continue a set of gnuplot commands over more than
one line. Here is an example of the syntax:
set title ’My Title’; set yrange [0:1000];
Menu path: /Data/Graph specified vars
Other access: Main window pop-up menu, graph button on toolbar

graph

Arguments: yvars xvar

Option: --tall (use 40 rows)
ASCII graphics. The yvars (which may be given by name or number) are graphed against xvar
using ASCII symbols. The --tall flag will produce a graph with 40 rows and 60 columns.
Without it, the graph will be 20 by 60 (for screen output). See also gnuplot.

hausman
This test is available only after estimating a model using the pooled command (see also panel
and setobs). It tests the simple pooled model against the principal alternatives, the fixed effects
and random effects models.
The fixed effects model adds a dummy variable for all but one of the cross-sectional units,
allowing the intercept of the regression to vary across the units. An F -test for the joint sig-
nificance of these dummies is presented. The random effects model decomposes the residual
variance into two parts, one part specific to the cross-sectional unit and the other specific to the
particular observation. (This estimator can be computed only if the number of cross-sectional
units in the data set exceeds the number of parameters to be estimated.) The Breusch–Pagan
LM statistic tests the null hypothesis (that the pooled OLS estimator is adequate) against the
random effects alternative.
The pooled OLS model may be rejected against both of the alternatives, fixed effects and ran-
dom effects. Provided the unit- or group-specific error is uncorrelated with the independent
variables, the random effects estimator is more efficient than the fixed effects estimator; oth-
erwise the random effects estimator is inconsistent and the fixed effects estimator is to be
preferred. The null hypothesis for the Hausman test is that the group-specific error is not so
correlated (and therefore the random effects model is preferable). A low p-value for this test
counts against the random effects model and in favor of fixed effects.
Menu path: Model window, /Tests/panel diagnostics

hccm
Arguments: depvar indepvars
Option: --vcv (print covariance matrix)
Heteroskedasticity-Consistent Covariance Matrix: this command runs a regression where the
coefficients are estimated via the standard OLS procedure, but the standard errors of the co-
Chapter 1. Gretl commands 17

efficient estimates are computed in a manner that is robust in the face of heteroskedasticity,
namely using the MacKinnon–White “jackknife” procedure.
Menu path: /Model/HCCM

help
Gives a list of available commands. help command describes command (e.g. help smpl). You
can type man instead of help if you like.
Menu path: /Help

hilu
Arguments: depvar indepvars
Options: --vcv (print covariance matrix)
--no-corc (do not fine-tune results with Cochrane-Orcutt)
Computes parameter estimates for the specified model using the Hildreth–Lu search procedure.
The results are fine-tuned using the Cochrane–Orcutt iterative method, unless the --no-corc
flag is specified.
This procedure is designed to correct for serial correlation of the error term. The error sum of
squares of the transformed model is graphed against the value of rho from −0.99 to 0.99.
Menu path: /Model/Time Series/Hildreth-Lu

hsk
Arguments: depvar indepvars
Option: --vcv (print covariance matrix)
An OLS regression is run and the residuals are saved. The logs of the squares of these residuals
then become the dependent variable in an auxiliary regression, on the right-hand side of which
are the original independent variables plus their squares. The fitted values from the auxiliary
regression are then used to construct a weight series, and the original model is re-estimated
using weighted least squares. This final result is reported.
√ ∗
The weight series is formed as 1/ ey , where y∗ denotes the fitted values from the auxiliary
regression.
Menu path: /Model/Heteroskedasticity corrected

hurst
Argument: varname
Calculates the Hurst exponent (a measure of persistence or long memory) for a time-series
variable having at least 128 observations.
The Hurst exponent is discussed by Mandelbrot. In theoretical terms it is the exponent, H, in
the relationship
RS(x) = anH
where RS is the “rescaled range” of the variable x in samples of size n and a is a constant.
The rescaled range is the range (maximum minus minimum) of the cumulated value or partial
sum of x over the sample period (after subtraction of the sample mean), divided by the sample
standard deviation.
As a reference point, if x is white noise (zero mean, zero persistence) then the range of its
cumulated “wandering” (which forms a random walk), scaled by the standard deviation, grows
as the square root of the sample size, giving an expected Hurst exponent of 0.5. Values of the
exponent significantly in excess of 0.5 indicate persistence, and values less than 0.5 indicate
anti-persistence (negative autocorrelation). In principle the exponent is bounded by 0 and 1,
although in finite samples it is possible to get an estimated exponent greater than 1.
Chapter 1. Gretl commands 18

In gretl, the exponent is estimated using binary sub-sampling: we start with the entire data
range, then the two halves of the range, then the four quarters, and so on. For sample sizes
smaller than the data range, the RS value is the mean across the available samples. The exponent
is then estimated as the slope coefficient in a regression of the log of RS on the log of sample
size.
Menu path: /Variable/Hurst exponent

if
Flow control for command execution. The syntax is:
if condition
commands1
else
commands2
endif
condition must be a Boolean expression, for the syntax of which see genr. The else block is
optional; if . . . endif blocks may be nested.

import
Argument: filename
Option: --box1 (BOX1 data)
Brings in data from a comma-separated values (CSV) format file, such as can easily be written
from a spreadsheet program. The file should have variable names on the first line and a rectan-
gular data matrix on the remaining lines. Variables should be arranged “by observation” (one
column per variable; each row represents an observation). See the Gretl User’s Guide for details.
With the --box1 flag, reads a data file in BOX1 format, which could at one time be obtained via
the Data Extraction Service of the US Bureau of the Census.
Menu path: /File/Open data/import

include
Argument: inputfile
Intended for use in a command script, primarily for including definitions of functions. Executes
the commands in inputfile then returns control to the main script.
See also run.

info
Prints out any supplementary information stored with the current datafile.
Menu path: /Data/Read info
Other access: Data browser windows

label
Arguments: varname -d description -n displayname
Example: label x1 -d "Description of x1" -n "Graph name"
Sets the descriptive label for the given variable (if the -d flag is given, followed by a string in
double quotes) and/or the “display name” for the variable (if the -n flag is given, followed by a
quoted string). If a variable has a display name, this is used when generating graphs.
If neither flag is given, this command prints the current descriptive label for the specified
variable, if any.
Menu path: /Variable/Edit attributes
Other access: Main window pop-up menu
Chapter 1. Gretl commands 19

kpss
Arguments: order varname
Options: --trend (include a trend)
--verbose (print regression results)
Examples: kpss 8 y
kpss 4 x1 --trend
Computes the KPSS test (Kwiatkowski, Phillips, Schmidt and Shin, 1992) for stationarity of a
variable. The null hypothesis is that the variable in question is stationary, either around a level
or, if the --trend option is given, around a deterministic linear trend.
The order argument determines the size of the window used for Bartlett smoothing. If the
--verbose option is chosen the results of the auxiliary regression are printed, along with the
estimated variance of the random walk component of the variable.
Menu path: /Variable/KPSS test

labels
Prints out the informative labels for any variables that have been generated using genr, and any
labels added to the data set via the GUI.

lad
Arguments: depvar indepvars
Option: --vcv (print covariance matrix)
Calculates a regression that minimizes the sum of the absolute deviations of the observed
from the fitted values of the dependent variable. Coefficient estimates are derived using the
Barrodale–Roberts simplex algorithm; a warning is printed if the solution is not unique.
Standard errors are derived using the bootstrap procedure with 500 drawings. The covariance
matrix for the parameter estimates, printed when the --vcv flag is given, is based on the same
bootstrap.
Menu path: /Model/Least Absolute Deviation

lags

Variants: lags varlist

lags order ; varlist
Examples: lags x y
lags 12 ; x y
Creates new variables which are lagged values of each of the variables in varlist. By default the
number of lagged variables equals the periodicity of the data. For example, if the periodicity is
4 (quarterly), the command lags x creates

x_1 = x(t-1)
x_2 = x(t-2)
x_3 = x(t-3)
x_4 = x(t-4)

The number of lags created can be controlled by the optional first parameter.
Menu path: /Data/Add variables/lags of selected variables

ldiff
Argument: varlist
The first difference of the natural log of each variable in varlist is obtained and the result stored
in a new variable with the prefix ld_. Thus ldiff x y creates the new variables
Chapter 1. Gretl commands 20

ld_x = log(x) - log(x(-1))

ld_y = log(y) - log(y(-1))

Menu path: /Data/Add variables/log differences

leverage

Option: --save (save variables)

Must immediately follow an ols command. Calculates the leverage (h, which must lie in the
range 0 to 1) for each data point in the sample on which the previous model was estimated.
Displays the residual (u) for each observation along with its leverage and a measure of its
influence on the estimates, uh/(1 − h). “Leverage points” for which the value of h exceeds 2k/n
(where k is the number of parameters being estimated and n is the sample size) are flagged with
an asterisk. For details on the concepts of leverage and influence see Davidson and MacKinnon
(1993, Chapter 2).
DFFITS values are also shown: these arep “studentized residuals” (predicted residuals divided
by their standard errors) multiplied by h/(1 − h). For a discussion of studentized residuals
and DFFITS see G. S. Maddala, Introduction to Econometrics, chapter 12; also Belsley, Kuh and
Welsch (1980).
Briefly, a “predicted residual” is the difference between the observed value of the dependent
variable at observation t, and the fitted value for observation t obtained from a regression in
which that observation is omitted (or a dummy variable with value 1 for observation t alone
has been added); the studentized residual is obtained by dividing the predicted residual by its
standard error.
If the --save flag is given with this command, then the leverage, influence and DFFITS values
are added to the current data set.
Menu path: Model window, /Tests/influential observations

lmtest
Options: --logs (non-linearity, logs)
--autocorr (serial correlation)
--squares (non-linearity, squares)
--white (heteroskedasticity (White’s test))
Must immediately follow an ols command. Depending on the options given, this command
carries out some combination of the following: Lagrange Multiplier tests for nonlinearity (logs
and squares); White’s test for heteroskedasticity; and the LMF test for serial correlation up to
the periodicity (see Kiviet, 1986). The corresponding auxiliary regression coefficients are also
printed out. See Ramanathan, Chapters 7, 8, and 9 for details.
Menu path: Model window, /Tests

logistic

Arguments: depvar indepvars [ ymax=value ]

Option: --vcv (print covariance matrix)
Examples: logistic y const x
logistic y const x ymax=50
Logistic regression: carries out an OLS regression using the logistic transformation of the de-
pendent variable, !
y
log
y∗ − y

The dependent variable must be strictly positive. If it is a decimal fraction, between 0 and 1,
the default is to use a y∗ value (the asymptotic maximum of the dependent variable) of 1. If the
dependent variable is a percentage, between 0 and 100, the default y∗ is 100.
Chapter 1. Gretl commands 21

If you wish to set a different maximum, use the optional ymax=value syntax following the list of
regressors. The supplied value must be greater than all of the observed values of the dependent
variable.
The fitted values and residuals from the regression are automatically transformed using

y∗
y=
1 + e−x
where x represents either a fitted value or a residual from the OLS regression using the trans-
formed dependent variable. The reported values are therefore comparable with the original
dependent variable.
Note that if the dependent variable is binary, you should use the logit command instead.
Menu path: /Model/Logistic

logit

Arguments: depvar indepvars

Options: --robust (robust standard errors)
--vcv (print covariance matrix)
Binomial logit regression. The dependent variable should be a binary variable. Maximum like-
lihood estimates of the coefficients on indepvars are obtained via the “binary response model
regression” (BRMR) method outlined by Davidson and MacKinnon (2004). As the model is non-
linear the slopes depend on the values of the independent variables: the reported slopes are
evaluated at the means of those variables. The chi-square statistic tests the null hypothesis that
all coefficients are zero apart from the constant.
By default, standard errors are computed using the negative inverse of the Hessian. If the
--robust flag is given, then QML or Huber–White standard errors are calculated instead. In this
case the estimated covariance matrix is a “sandwich” of the inverse of the estimated Hessian
and the outer product of the gradient. See Davidson and MacKinnon (2004, Chapter 10) for
details.
If you want to use logit for analysis of proportions (where the dependent variable is the propor-
tion of cases having a certain characteristic, at each observation, rather than a 1 or 0 variable
indicating whether the characteristic is present or not) you should not use the logit command,
but rather construct the logit variable, as in

genr lgt_p = log(p/(1 - p))

and use this as the dependent variable in an OLS regression. See Ramanathan, Chapter 12.
Menu path: /Model/Logit

logs

Argument: varlist
The natural log of each of the variables in varlist is obtained and the result stored in a new
variable with the prefix l_ which is “el” underscore. logs x y creates the new variables l_x =
ln(x) and l_y = ln(y).
Menu path: /Data/Add variables/logs of selected variables
Chapter 1. Gretl commands 22

loop
Argument: control
Options: --progressive (enable special forms of certain commands)
--verbose (report details of genr commands)
Examples: loop 1000
loop 1000 --progressive
loop while essdiff > .00001
loop for i=1991..2000
loop for (r=-.99; r<=.99; r+=.01)
The parameter control must take one of four forms, as shown in the examples: an integer
number of times to repeat the commands within the loop; “while” plus a numerical condition;
“for” plus a range of values for the internal index variable i; or “for” plus three expressions
in parentheses, separated by semicolons. In the last form the left-hand expression initializes a
variable, the middle expression sets a condition for iteration to continue, and the right-hand ex-
pression sets an increment or decrement to be applied at the start of the second and subsequent
iterations. (This is a restricted form of the for statement in the C programming language.)
This command opens a special mode in which the program accepts commands to be executed
repeatedly. Within a loop, only certain commands can be used: genr, ols, print, printf,
pvalue, sim, smpl, store, summary, if, else and endif. You exit the mode of entering loop
commands with endloop: at this point the stacked commands are executed.
See the Gretl User’s Guide for further details and examples. The effect of the --progressive
option (which is designed for use in Monte Carlo simulations) is explained there.

mahal
Argument: varlist
Options: --save (add distances to the dataset)
--vcv (print covariance matrix)
The Mahalanobis distance is the distance between two points in an k-dimensional space, scaled
by the statistical variation in each dimension of the space. For example, if p and q are two
observations on a set of k variables with covariance matrix C, then the Mahalanobis distance
between the observations is given by
q
(p − q)0 C −1 (p − q)

where (p − q) is a k-vector. This reduces to Euclidean distance if the covariance matrix is the
identity matrix.
The space for which distances are computed is defined by the selected variables. For each
observation in the current sample range, the distance is computed between the observation and
the centroid of the selected variables. This distance is the multidimensional counterpart of a
standard z-score, and can be used to judge whether a given observation “belongs” with a group
of other observations.
If the --vcv option is given, the covariance matrix and its inverse are printed. If the --save
option is given, the distances are saved to the dataset under the name mdist (or mdist1, mdist2
and so on if there is already a variable of that name).
Menu path: /Data/Mahalanobis distances

meantest
Arguments: var1 var2
Option: --unequal-vars (assume variances are unequal)
Calculates the t statistic for the null hypothesis that the population means are equal for the
variables var1 and var2, and shows its p-value.
Chapter 1. Gretl commands 23

By default the test statistic is calculated on the assumption that the variances are equal for the
two variables; with the --unequal-vars option the variances are assumed to be different. This
will make a difference to the test statistic only if there are different numbers of non-missing
observations for the two variables.
Menu path: /Data/Difference of means

mle
Arguments: log-likelihood function derivatives
Options: --vcv (print covariance matrix)
--verbose (print details of iterations)
Performs Maximum Likelihood (ML) estimation using the BFGS (Broyden, Fletcher, Goldfarb,
Shanno) algorithm. The user must specify the log-likelihood function. The parameters of this
function must be declared and given starting values (using the genr command) prior to estima-
tion. Optionally, the user may specify the derivatives of the log-likelihood function with respect
to each of the parameters; if analytical derivatives are not supplied, a numerical approximation
is computed.
Simple example: Suppose we have a series X with values 0 or 1 and we wish to obtain the
maximum likelihood estimate of the probability, p, that X = 1. (In this simple case we can guess
in advance that the ML estimate of p will simply equal the proportion of Xs equal to 1 in the
sample.)
The parameter p must first be added to the dataset and given an initial value. This can be done
using the genr command. For example, genr p = 0.5.
We then construct the MLE command block:

mle loglik = X*log(p) + (1-X)*log(1-p)

deriv p = X/p - (1-X)/(1-p)
end mle

The first line above specifies the log-likelihood function. It starts with the keyword mle, then
a dependent variable is specified and an expression for the log-likelihood is given (using the
same syntax as in the genr command). The next line (which is optional) starts with the keyword
deriv and supplies the derivative of the log-likelihood function with respect to the parameter
p. If no derivatives are given, you should include a statement using the keyword params which
identifies the free parameters: these are listed on one line, separated by spaces. For example,
the above could be changed to:

mle loglik = X*log(p) + (1-X)*log(1-p)

params p
end mle

in which case numerical derivatives would be used.

The option flags, --vcv or --verbose, should be appended to the ending line of the MLE block.
Menu path: /Model/Maximum likelihood

modeltab
Arguments: add or show or free
Manipulates the gretl “model table”. See the Gretl User’s Guide for details. The sub-commands
have the following effects: add adds the last model estimated to the model table, if possible;
show displays the model table in a window; and free clears the table.
Menu path: Session window, Model table icon
Chapter 1. Gretl commands 24

mpols
Arguments: depvar indepvars
Computes OLS estimates for the specified model using multiple precision floating-point arith-
metic. This command is available only if gretl is compiled with support for the Gnu Multiple
Precision library (GMP).
To estimate a polynomial fit, using multiple precision arithmetic to generate the required pow-
ers of the independent variable, use the form, e.g. mpols y 0 x ; 2 3 4 This does a regres-
sion of y on x, x squared, x cubed and x to the fourth power. That is, the numbers (which must
be positive integers) to the right of the semicolon specify the powers of x to be used. If more
than one independent variable is specified, the last variable before the semicolon is taken to be
the one that should be raised to various powers.
Menu path: /Model/High precision OLS

multiply
Arguments: x suffix varlist
Examples: multiply invpop pc 3 4 5 6
multiply 1000 big x1 x2 x3
The variables in varlist (referenced by name or number) are multiplied by x, which may be either
a numerical value or the name of a variable already defined. The products are named with the
specified suffix (maximum 3 characters). The original variable names are truncated first if need
be. For instance, suppose you want to create per capita versions of certain variables, and you
have the variable pop (population). A suitable set of commands is then:

genr invpop = 1/pop

multiply invpop pc income

which will create incomepc as the product of income and invpop, and expendpc as expend
times invpop.

nls
Arguments: function derivatives
Option: --vcv (print covariance matrix)
Performs Nonlinear Least Squares (NLS) estimation using a modified version of the Levenberg–
Marquandt algorithm. The user must supply a function specification. The parameters of this
function must be declared and given starting values (using the genr command) prior to estima-
tion. Optionally, the user may specify the derivatives of the regression function with respect to
each of the parameters; if analytical derivatives are not supplied, a numerical approximation to
the Jacobian is computed.
It is easiest to show what is required by example. The following is a complete script to estimate
the nonlinear consumption function set out in William Greene’s Econometric Analysis (Chapter
11 of the 4th edition, or Chapter 9 of the 5th). The numbers to the left of the lines are for
reference and are not part of the commands. Note that the --vcv option, for printing the
covariance matrix of the parameter estimates, attaches to the final command, end nls.

1 open greene11_3.gdt
2 ols C 0 Y
3 genr alpha = coeff(0)
4 genr beta = coeff(Y)
5 genr gamma = 1.0
6 nls C = alpha + beta * Y^gamma
7 deriv alpha = 1
8 deriv beta = Y^gamma
9 deriv gamma = beta * Y^gamma * log(Y)
10 end nls --vcv
Chapter 1. Gretl commands 25

It is often convenient to initialize the parameters by reference to a related linear model; that is
accomplished here on lines 2 to 5. The parameters alpha, beta and gamma could be set to any
initial values (not necessarily based on a model estimated with OLS), although convergence of
the NLS procedure is not guaranteed for an arbitrary starting point.
The actual NLS commands occupy lines 6 to 10. On line 6 the nls command is given: a depen-
dent variable is specified, followed by an equals sign, followed by a function specification. The
syntax for the expression on the right is the same as that for the genr command. The next three
lines specify the derivatives of the regression function with respect to each of the parameters
in turn. Each line begins with the keyword deriv, gives the name of a parameter, an equals
sign, and an expression whereby the derivative can be calculated (again, the syntax here is the
same as for genr). These deriv lines are optional, but it is recommended that you supply them
if possible. Line 10, end nls, completes the command and calls for estimation.
For further details on NLS estimation please see the Gretl User’s Guide.
Menu path: /Model/Nonlinear Least Squares

noecho
Obsolete command. See set.

nulldata
Argument: series-length
Example: nulldata 500
Establishes a “blank” data set, containing only a constant and an index variable, with periodicity
1 and the specified number of observations. This may be used for simulation purposes: some
of the genr commands (e.g. genr uniform(), genr normal()) will generate dummy data from
scratch to fill out the data set. This command may be useful in conjunction with loop. See also
the “seed” option to the set command.
Menu path: /File/Create data set

ols
Arguments: depvar indepvars
Options: --vcv (print covariance matrix)
--robust (robust standard errors)
--quiet (suppress printing of results)
--no-df-corr (suppress degrees of freedom correction)
--print-final (see below)
Examples: ols 1 0 2 4 6 7
ols y 0 x1 x2 x3 --vcv
ols y 0 x1 x2 x3 --quiet
Computes ordinary least squares (OLS) estimates with depvar as the dependent variable and
indepvars as the list of independent variables. Variables may be specified by name or number;
use the number zero for a constant term.
Besides coefficient estimates and standard errors, the program also prints p-values for t (two-
tailed) and F -statistics. A p-value below 0.01 indicates statistical significance at the 1 percent
level and is marked with ***. ** indicates significance between 1 and 5 percent and * indicates
significance between the 5 and 10 percent levels. Model selection statistics (the Akaike In-
formation Criterion or AIC and Schwarz’s Bayesian Information Criterion) are also printed. The
formula used for the AIC is that given by Akaike (1974), namely minus two times the maximized
log-likelihood plus two times the number of parameters estimated.
If the option --no-df-corr is given, the usual degrees of freedom correction is not applied
when calculating the estimated error variance (and hence also the standard errors of the para-
meter estimates).
Chapter 1. Gretl commands 26

The option --print-final is applicable only in the context of a loop. It arranges for the
regression to be run silently on all but the final iteration of the loop. See the Gretl User’s Guide
for details.
Various internal variables may be retrieved using the genr command, provided genr is invoked
immediately after this command.
The specific formula used for generating robust standard errors (when the --robust option is
given) can be adjusted via the set command.
Menu path: /Model/Ordinary Least Squares
Other access: Beta-hat button on toolbar

omit
Argument: varlist
Options: --vcv (print covariance matrix)
--quiet (don’t print estimates for reduced model)
--silent (don’t print anything)
--inst (omit as instrument, TSLS only)
--both (omit as both regressor and instrument, TSLS only)
Examples: omit 5 7 9
omit seasonals --quiet
This command must follow an estimation command. The selected variables are omitted from
the previous model and the new model estimated. A test statistic for the joint significance of
the omitted variables is printed, along with its p-value. The test statistic is F in the case of OLS
estimation, an asymptotic Wald chi-square value otherwise. A p-value below 0.05 means that
the coefficients are jointly significant at the 5 percent level.
If the --quiet option is given the printed results are confined to the test for the joint signifi-
cance of the omitted variables, otherwise the estimates for the reduced model are also printed.
In the latter case, the --vcv flag causes the covariance matrix for the coefficients to be printed
also. If the --silent option is given, nothing is printed; nonetheless, the results of the test can
be retrieved using the special variables $test and $pvalue.
If the original model was estimated using two-stage least squares, an ambiguity arises: should
the selected variables be omitted as regressors, as instruments, or as both? This is resolved as
follows: by default the variables are dropped from the list of regressors, but if the --inst flag
is given they are dropped as instruments, or if the --both flag is given they are dropped from
the model altogether.
Menu path: Model window, /Tests/omit variables

omitfrom
Arguments: modelID varlist
Option: --quiet (don’t print estimates for reduced model)
Example: omitfrom 2 5 7 9
Works like omit, except that you specify a previous model (using its ID number, which is printed
at the start of the model output) to take as the base for omitting variables. The example above
omits variables number 5, 7 and 9 from Model 2.
Menu path: Model window, /Tests/omit variables

open
Argument: datafile
Opens a data file. If a data file is already open, it is replaced by the newly opened one. The
program will try to detect the format of the data file (native, plain text, CSV or BOX1).
Chapter 1. Gretl commands 27

This command can also be used to open a database (gretl or RATS 4.0) for reading. In that case
it should be followed by the data command to extract particular series from the database.
Menu path: /File/Open data
Other access: Drag a data file into gretl (MS Windows or Gnome)

outfile
Arguments: filename option
Options: --append (append to file)
--close (close file)
--write (overwrite file)
Examples: outfile --write regress.txt
outfile --close
Diverts output to filename, until further notice. Use the flag --append to append output to an
existing file or --write to start a new file (or overwrite an existing one). Only one file can be
opened in this way at any given time.
The --close flag is used to close an output file that was previously opened as above. Output
will then revert to the default stream.
In the first example command above, the file regress.txt is opened for writing, and in the
second it is closed. This would make sense as a sequence only if some commands were is-
sued before the --close. For example if an ols command intervened, its output would go to
regress.txt rather than the screen.

panel
Options: --cross-section (stacked cross sections)
--time-series (stacked time series)
Request that the current data set be interpreted as a panel (pooled cross section and time
series). By default, or with the --time-series flag, the data set is taken to be in the form
of stacked time series (successive blocks of data contain time series for each cross-sectional
unit). With the --cross-section flag, the data set is read as stacked cross-sections (successive
blocks contain cross sections for each time period). See also setobs.

pca
Argument: varlist
Options: --save (Save major components)
--save-all (Save all components)
Principal Components Analysis. Prints the eigenvalues of the correlation matrix for the variables
in varlist along with the proportion of the joint variance accounted for by each component. Also
prints the corresponding eigenvectors (or “component loadings”).
If the --save flag is given, components with eigenvalues greater than 1.0 are saved to the
dataset as variables, with names PC1, PC2 and so on. These artificial variables are formed as
the sum of (component loading) times (standardized Xi), where Xi denotes the ith variable in
varlist.
If the --save-all flag is given, all of the components are saved as described above.
Menu path: Main window pop-up (multiple selection)

pergm

Argument: varname
Option: --bartlett (use Bartlett lag window)
Chapter 1. Gretl commands 28

Computes and displays (and if not in batch mode, graphs) the spectrum of the specified vari-
able. Without the --bartlett flag the sample periodogram is given; with the flag a Bartlett
lag window of length two times the square root of the sample size is used in estimating the
spectrum (see Chapter 18 of Greene’s Econometric Analysis).
When the sample periodogram is printed, a t-test for fractional integration of the series (“long
memory”) is also given: the null hypothesis is that the integration order is zero.
Menu path: /Variable/spectrum
Other access: Main window pop-up menu (single selection)

poisson
Arguments: depvar indepvars [ ; offset ]
Options: --vcv (print covariance matrix)
--verbose (print details of iterations)
Examples: poisson y 0 x1 x2
poisson y 0 x1 x2 ; S
Estimates a poisson regression. The dependent variable is taken to represent the occurrence of
events of some sort, and must take on only non-negative integer values.
If a discrete random variable Y follows the Poisson distribution, then

e−v v y
Pr(Y = y) =
y!

for y = 0, 1, 2,. . . . The mean and variance of the distribution are both equal to v. In the Poisson
regression model, the parameter v is represented as a function of one or more independent
variables. The most common version (and the only one supported by gretl) has

v = exp(β0 + β1 x1 + β2 x2 + · · ·)

or in other words the log of v is a linear function of the independent variables.

Optionally, you may add an “offset” variable to the specification. This is a scale variable, the log
of which is added to the linear regression function (implicitly, with a coefficient of 1.0). This
makes sense if you expect the number of occurrences of the event in question to be propor-
tional, other things equal, to some known factor. For example, the number of traffic accidents
might be supposed to be proportional to traffic volume, other things equal, and in that case
traffic volume could be specified as an “offset” in a Poisson model of the accident rate. The
offset variable must be strictly positive.
Menu path: /Model/Poisson

plot
Argument: varlist
Option: --one-scale (force a single scale)
Plots the values for specified variables, for the range of observations currently in effect, using
ASCII symbols. Each line stands for an observation and the values are plotted horizontally. By
default the variables are scaled appropriately. See also gnuplot.

pooled
Arguments: depvar indepvars
Options: --unit-weights (feasible GLS)
--iterate (iterate to Maximum Likelihood solution)
--vcv (print covariance matrix)
By default, estimates a model via OLS (see ols for details on syntax), and flags it as a pooled or
panel model, so that the hausman test item becomes available.
Chapter 1. Gretl commands 29

If the --unit-weights flag is given, estimation is by feasible GLS, using weights constructed
from the specific error variances per cross-sectional unit. This offers a gain in efficiency over
OLS if the error variance differs across units.
If, in addition, the --iterate flag is given, the GLS estimator is iterated: if this procedure
converges it yields Maximum Likelihood estimates.
Menu path: /Model/Pooled OLS

print
Arguments: varlist or string-literal
Options: --byobs (by observations)
--ten (use 10 significant digits)
--no-dates (use simple observation numbers)
Examples: print x1 x2 --byobs
print "This is a string"
If varlist is given, prints the values of the specified variables; if no list is given, prints the
values of all variables in the current data file. If the --byobs flag is given the data are printed
by observation, otherwise they are printed by variable. If the --ten flag is given the data are
printed by variable to 10 significant digits.
If the --byobs flag is given and the data are printed by observation, the default is to show
the date (with time-series data) or the observation marker string (if any) at the start of each
line. The --no-dates option suppresses the printing of dates or markers; a simple observation
number is shown instead.
If the argument to print is a literal string (which must start with a double-quote, "), the string
is printed as is. See also printf.
Menu path: /Data/Display values

printf
Arguments: format args
Prints scalar values under the control of a format string (providing a small subset of the
printf() statement in the C programming language). Recognized formats are %g and %f, in
each case with the various modifiers available in C. Examples: the format %.10g prints a value to
10 significant figures; %12.6f prints a value to 6 decimal places, with a width of 12 characters.
The format string itself must be enclosed in double quotes. The values to be printed must
follow the format string, separated by commas. These values should take the form of either (a)
the names of variables in the dataset, (b) expressions that are valid for the genr command, or
(c) the special functions varname() or date(). The following example prints the values of two
variables plus that of a calculated expression:

ols 1 0 2 3
genr b = coeff(2)
genr se_b = stderr(2)
printf "b = %.8g, standard error %.8g, t = %.4f\n", b, se_b, b/se_b

The next lines illustrate the use of the varname and date functions, which respectively print the
name of a variable, given its ID number, and a date string, given a 1-based observation number.

printf "The name of variable %d is %s\n", i, varname(i)

printf "The date of observation %d is %s\n", j, date(j)

The maximum length of a format string is 127 characters. The escape sequences \n (newline),
\t (tab), \v (vertical tab) and \\ (literal backslash) are recognized. To print a literal percent
sign, use %%.
Chapter 1. Gretl commands 30

probit
Arguments: depvar indepvars
Options: --robust (robust standard errors)
--vcv (print covariance matrix)
The dependent variable should be a binary variable. Maximum likelihood estimates of the coef-
ficients on indepvars are obtained via the “binary response model regression” (BRMR) method
outlined by Davidson and MacKinnon (2004). As the model is nonlinear the slopes depend on
the values of the independent variables: the reported slopes are evaluated at the means of those
variables. The chi-square statistic tests the null hypothesis that all coefficients are zero apart
from the constant.
By default, standard errors are computed using the negative inverse of the Hessian. If the
--robust flag is given, then QML or Huber–White standard errors are calculated instead. In this
case the estimated covariance matrix is a “sandwich” of the inverse of the estimated Hessian
and the outer product of the gradient. See Davidson and MacKinnon (2004, Chapter 10) for
details.
Probit for analysis of proportions is not implemented in gretl at this point.
Menu path: /Model/Probit

pvalue
Arguments: dist [ params ] xval
Examples: pvalue z zscore
pvalue t 25 3.0
pvalue X 3 5.6
pvalue F 4 58 fval
pvalue G xbar varx x
pvalue B bprob 10 6
Computes the area to the right of xval in the specified distribution (z for Gaussian, t for Stu-
dent’s t, X for chi-square, F for F, G for gamma, or B for binomial).
For the t and chi-square distributions the degrees of freedom must be given; for F numera-
tor and denominator degrees of freedom are required; for gamma the mean and variance are
needed; and for the binomial distribution the “success” probability and the number of trials
must be given. In each case, these extra values are provided before the xval.
As shown in the examples above, the numerical parameters may be given in numeric form or as
the names of variables.
Menu path: /Utilities/p-value finder

pwe
Arguments: depvar indepvars
Option: --vcv (print covariance matrix)
Example: pwe 1 0 2 4 6 7
Computes parameter estimates using the Prais–Winsten procedure, an implementation of feasi-
ble GLS which is designed to handle first-order autocorrelation of the error term. The procedure
is iterated, as with corc; the difference is that while Cochrane–Orcutt discards the first obser-
vation, Prais–Winsten makes use of it. See, for example, Chapter 13 of Greene’s Econometric
Analysis (2000) for details.
Menu path: /Model/Time series/Prais-Winsten

quit
Exits from the program, giving you the option of saving the output from the session on the way
out.
Chapter 1. Gretl commands 31

Menu path: /File/Exit

rename
Arguments: varnumber newname
Changes the name of the variable with identification number varnumber to newname. The
varnumber must be between 1 and the number of variables in the dataset. The new name must
be of 8 characters maximum, must start with a letter, and must be composed of only letters,
digits, and the underscore character.
Menu path: /Variable/Edit attributes
Other access: Main window pop-up menu (single selection)

reset
Must follow the estimation of a model via OLS. Carries out Ramsey’s RESET test for model spec-
ification (non-linearity) by adding the square and the cube of the fitted values to the regression
and calculating the F statistic for the null hypothesis that the parameters on the two added
terms are zero.
Menu path: Model window, /Tests/Ramsey’s RESET

restrict
Imposes a set of linear restrictions on either (a) the model last estimated or (b) a system of
equations previously defined and named. The syntax and effects of the command differ slightly
in the two cases.
In both cases the set of restrictions should be started with the keyword “restrict” and termi-
nated with “end restrict”. In the single equation case the restrictions are implicitly to be applied
to the last model, and they are evaluated as soon as the restrict command is terminated. In
the system case the initial “restrict” must be followed by the name of a previously defined sys-
tem of equations (see system). The restrictions are evaluated when the system is next estimated,
using the estimate command.
Each restriction in the set should be expressed as an equation, with a linear combination of
parameters on the left and a numeric value to the right of the equals sign. In the single-equation
case, parameters are referenced in the form bN, where N represents the position in the list of
regressors, starting at zero. For example, b1 denotes the second regression parameter. In the
system case, parameters are referenced using b plus two numbers in square brackets. The
leading number represents the position of the equation within the system, starting from 1, and
the second number indicates position in the list of regressors, starting at zero. For example
b[2,0] denotes the first parameter in the second equation, and b[3,1] the second parameter
in the third equation.
The b terms in the equation representing a restriction equation may be prefixed with a numeric
multiplier, using * to represent multiplication, for example 3.5*b4.
Here is an example of a set of restrictions for a previously estimated model:

restrict
b1 = 0
b2 - b3 = 0
b4 + 2*b5 = 1
end restrict

And here is an example of a set of restrictions to be applied to a named system. (If the name of
the system does not contain spaces, the surrounding quotes are not required.)

restrict "System 1"

b[1,1] = 0
b[1,2] - b[2,2] = 0
b[3,4] + 2*b[3,5] = 1
end restrict
Chapter 1. Gretl commands 32

In the single-equation case the restrictions are evaluated via a Wald F -test, using the coefficient
covariance matrix of the model in question. In the system case, the full results of estimating the
system subject to the restrictions are shown; the test statistic depends on the estimator chosen
(a Likelihood Ratio test if the system is estimated using a Maximum Likelihood method, or an
asymptotic F -test otherwise.)
Menu path: Model window, /Tests/linear restrictions

rhodiff
Arguments: rholist ; varlist
Examples: rhodiff .65 ; 2 3 4
rhodiff r1 r2 ; x1 x2 x3
Creates rho-differenced counterparts of the variables (given by number or by name) in varlist
and adds them to the data set, using the suffix # for the new variables. Given variable v1 in
varlist, and entries r1 and r2 in rholist, the new variable

v1# = v1 - r1*v1(-1) - r2*v1(-2)

is created. The rholist entries can be given as numerical values or as the names of variables
previously defined.

rmplot
Argument: varname
Range–mean plot: this command creates a simple graph to help in deciding whether a time
series, y(t), has constant variance or not. We take the full sample t=1,...,T and divide it into
small subsamples of arbitrary size k. The first subsample is formed by y(1),...,y(k), the second
is y(k+1), ..., y(2k), and so on. For each subsample we calculate the sample mean and range (=
maximum minus minimum), and we construct a graph with the means on the horizontal axis
and the ranges on the vertical. So each subsample is represented by a point in this plane. If
the variance of the series is constant we would expect the subsample range to be independent
of the subsample mean; if we see the points approximate an upward-sloping line this suggests
the variance of the series is increasing in its mean; and if the points approximate a downward
sloping line this suggests the variance is decreasing in the mean.
Besides the graph, gretl displays the means and ranges for each subsample, along with the slope
coefficient for an OLS regression of the range on the mean and the p-value for the null hypoth-
esis that this slope is zero. If the slope coefficient is significant at the 10 percent significance
level then the fitted line from the regression of range on mean is shown on the graph.
Menu path: /Variable/Range-mean graph

run
Argument: inputfile
Execute the commands in inputfile then return control to the interactive prompt. This command
is intended for use with the command-line program gretlcli, or at the “gretl console” in the GUI
program.
See also include.
Menu path: Run icon in script window

runs
Argument: varname
Carries out the nonparametric “runs” test for randomness of the specified variable. If you want
to test for randomness of deviations from the median, for a variable named x1 with a non-zero
median, you can do the following:
Chapter 1. Gretl commands 33

genr signx1 = x1 - median(x1)

runs signx1

Menu path: /Variable/Runs test

scatters
Arguments: yvar ; xvarlist or yvarlist ; xvar
Examples: scatters 1 ; 2 3 4 5
scatters 1 2 3 4 5 6 ; 7
Plots pairwise scatters of yvar against all the variables in xvarlist, or of all the variables in
yvarlist against xvar. The first example above puts variable 1 on the y-axis and draws four
graphs, the first having variable 2 on the x-axis, the second variable 3 on the x-axis, and so
on. The second example plots each of variables 1 through 6 against variable 7 on the x-axis.
Scanning a set of such plots can be a useful step in exploratory data analysis. The maximum
number of plots is six; any extra variable in the list will be ignored.
Menu path: /Data/Multiple scatterplots

sdiff
Argument: varlist
The seasonal difference of each variable in varlist is obtained and the result stored in a new
variable with the prefix sd_. This command is available only for seasonal time series.
Menu path: /Data/Add variables/seasonal differences

seed
Obsolete command. See set.

set
Arguments: variable value
Examples: set qr on
set csv_delim tab
set horizon 10
Set the values of various program parameters. The given value remains in force for the duration
of the gretl session unless it is changed by a further call to set. The parameters that can be set
in this way are enumerated below. Note that the settings of hac_lag and hc_version are used
when the --robust option is given to the ols command.

• echo: off or on (the default). Suppress or resume the echoing of commands in gretl’s
output.

• qr: on or off (the default). Use QR rather than Cholesky decomposition in calculating OLS
estimates.

• seed: an unsigned integer. Sets the seed for the pseudo-random number generator. By
default this is set from the system time; if you want to generate repeatable sequences of
random numbers you must set the seed manually.

• hac_lag: nw1 (the default) or nw2, or an integer. Sets the maximum lag value, p, used
when calculating HAC (Heteroskedasticity and Autocorrelation Consistent) standard er-
rors using the Newey-West approach, for time series data. nw1 and nw2 represent two
variant automatic calculations based on the sample size, T : for nw1, p = 0.75 × T 1/3 , and
for nw2, p = 4 × (T /100)2/9 .
Chapter 1. Gretl commands 34

• hc_version: 0 (the default), 1, 2 or 3. Sets the variant used when calculating Het-
eroskedasticity Consistent standard errors with cross-sectional data. The options cor-
respond to the HC0, HC1, HC2 and HC3 discussed by Davidson and MacKinnon in Econo-
metric Theory and Methods, chapter 5. HC0 produces what are usually called “White’s
standard errors”.

• force_hc: off (the default) or on. By default, with time-series data and when the --robust
option is given with ols, the HAC estimator is used. If you set force_hc to “on”, this
forces calculation of the regular Heteroskedasticity Consistent Covariance Matrix (which
does not take autocorrelation into account).

• garch_vcv: unset, hessian, im (information matrix) , op (outer product matrix), qml

(QML estimator), bw (Bollerslev–Wooldridge). Specifies the variant that will be used for
estimating the coefficient covariance matrix, for GARCH models. If unset is given (the de-
fault) then the Hessian is used unless the “robust” option is given for the garch command,
in which case QML is used.

• hp_lambda: auto (the default), or a numerical value. Sets the smoothing parameter for the
Hodrick–Prescott filter (see the hpfilt function under the genr command). The default is
to use 100 times the square of the periodicity, which gives 100 for annual data, 1600 for
quarterly data, and so on.

• bkbp_limits: two integers, the second greater than the first (the defaults are 8 and 32).
Sets the frequency bounds for the Baxter–King bandpass filter (see the bkfilt function
under the genr command).

• bkbp_k: one integer (the default is 8). Sets the approximation order for the Baxter–King
bandpass filter.

• horizon: one integer (the default is based on the frequency of the data). Sets the hori-
zon for impulse responses and forecast variance decompositions in the context of vector
autoregressions.

• csv_delim: either comma (the default), space or tab. Sets the column delimiter used when
saving data to file in CSV format.

setobs
Arguments: periodicity startobs
Options: --cross-section (interpret as cross section)
--time-series (interpret as time series)
--stacked-cross-section (interpret as panel data)
--stacked-time-series (interpret as panel data)
Examples: setobs 4 1990:1 --time-series
setobs 12 1978:03
setobs 1 1 --cross-section
setobs 20 1:1 --stacked-time-series
Force the program to interpret the current data set as having a specified structure.
The periodicity, which must be an integer, represents frequency in the case of time-series data
(1 = annual; 4 = quarterly; 12 = monthly; 52 = weekly; 5, 6, or 7 = daily; 24 = hourly). In the
case of panel data the periodicity means the number of lines per data block: this corresponds
to the number of cross-sectional units in the case of stacked cross-sections, or the number of
time periods in the case of stacked time series. In the case of simple cross-sectional data the
periodicity should be set to 1.
The starting observation represents the starting date in the case of time series data. Years
may be given with two or four digits; subperiods (for example, quarters or months) should be
separated from the year with a colon. In the case of panel data the starting observation should
be given as 1:1; and in the case of cross-sectional data, as 1. Starting observations for daily
or weekly data should be given in the form YY/MM/DD or YYYY/MM/DD (or simply as 1 for
undated data).
Chapter 1. Gretl commands 35

If no explicit option flag is given to indicate the structure of the data the program will attempt
to guess the structure from the information given.
Menu path: /Sample/Dataset structure

setmiss
Arguments: value [ varlist ]
Examples: setmiss -1
setmiss 100 x2
Get the program to interpret some specific numerical data value (the first parameter to the com-
mand) as a code for “missing”, in the case of imported data. If this value is the only parameter,
as in the first example above, the interpretation will be applied to all series in the data set. If
value is followed by a list of variables, by name or number, the interpretation is confined to the
specified variable(s). Thus in the second example the data value 100 is interpreted as a code for
“missing”, but only for the variable x2.
Menu path: /Sample/Set missing value code

shell
Argument: shellcommand
Examples: ! ls -al
! notepad
A ! at the beginning of a command line is interpreted as an escape to the user’s shell. Thus
arbitrary shell commands can be executed from within gretl.

sim
Arguments: [ startobs endobs ] varname a0 a1 a2 . . .
Examples: sim 1979.2 1983.1 y 0 0.9
sim 15 25 y 10 0.8 x
Simulates values for varname for the current sample range, or for the range startobs through
endobs if these optional arguments are given. The variable y must have been defined earlier
with appropriate initial values. The formula used is
yt = a0t + a1t yt−1 + a2t yt−2 + . . .
The ai(t) terms may be either numerical constants or variable names previously defined; these
terms may be prefixed with a minus sign.
This command is deprecated. You should use genr instead.

smpl
Variants: smpl startobs endobs
smpl +i -j
smpl dumvar --dummy
smpl condition --restrict
smpl --no-missing [ varlist ]
smpl n --random
smpl full
Examples: smpl 3 10
smpl 1960:2 1982:4
smpl +1 -1
smpl x > 3000 --restrict
smpl y > 3000 --restrict --replace
smpl 100 --random
Chapter 1. Gretl commands 36

Resets the sample range. The new range can be defined in several ways. In the first alternate
form (and the first two examples) above, startobs and endobs must be consistent with the
periodicity of the data. Either one may be replaced by a semicolon to leave the value unchanged.
In the second form, the integers i and j (which may be positive or negative, and should be
signed) are taken as offsets relative to the existing sample range. In the third form dummyvar
must be an indicator variable with values 0 or 1 at each observation; the sample will be restricted
to observations where the value is 1. The fourth form, using --restrict, restricts the sample
to observations that satisfy the given Boolean condition (which is specified according to the
syntax of the genr command).
With the --no-missing form, if varlist is specified observations are selected on condition that
all variables in varlist have valid values at that observation; otherwise, if no varlist is given,
observations are selected on condition that all variables have valid (non-missing) values.
With the --random flag, the specified number of cases are selected from the full dataset at
random. If you wish to be able to replicate this selection you should set the seed for the
random number generator first (see the set command).
The final form, smpl full, restores the full data range.
Note that sample restrictions are, by default, cumulative: the baseline for any smpl command
is the current sample. If you wish the command to act so as to replace any existing restriction
you can add the option flag --replace to the end of the command.
The internal variable obs may be used with the --restrict form of smpl to exclude particular
observations from the sample. For example

smpl obs!=4 --restrict

will drop just the fourth observation. If the data points are identified by labels,

smpl obs!="USA" --restrict

will drop the observation with label “USA”.

One point should be noted about the --dummy, --restrict and --no-missing forms of smpl:
Any “structural” information in the data file (regarding the time series or panel nature of the
data) is lost when this command is issued. You may reimpose structure with the setobs com-
mand.
Please see the Gretl User’s Guide for further details.
Menu path: /Sample

spearman
Arguments: xy
Option: --verbose (print ranked data)
Prints Spearman’s rank correlation coefficient for the two variables x and y. The variables do
not have to be ranked manually in advance; the function takes care of this.
The automatic ranking is from largest to smallest (i.e. the largest data value gets rank 1). If you
need to invert this ranking, create a new variable which is the negative of the original first. For
example:

genr altx = -x
spearman altx y

Menu path: /Model/Rank correlation

square
Argument: varlist
Option: --cross (generate cross-products as well as squares)
Chapter 1. Gretl commands 37

Generates new variables which are squares of the variables in varlist (plus cross-products if the
--cross option is given). For example, square x y will generate sq_x = x squared, sq_y = y
squared and (optionally) x_y = x times y. If a particular variable is a dummy variable it is not
squared because we will get the same variable.
Menu path: /Data/Add variables/squares of variables

store
Arguments: datafile [ varlist ]
Options: --csv (use CSV format)
--omit-obs (see below, on CSV format)
--gnu-octave (use GNU Octave format)
--gnu-R (use GNU R format)
--traditional (use traditional ESL format)
--gzipped (apply gzip compression)
--dat (use PcGive ASCII format)
--database (use gretl database format)
--overwrite (see below, on database format)
Saves either the entire dataset or, if a varlist is supplied, a specified subset of the variables in
the current dataset, to the file given by datafile.
By default the data are saved in “native” gretl format, but the option flags permit saving in
several alternative formats. CSV (Comma-Separated Values) data may be read into spreadsheet
programs, and can also be manipulated using a text editor. The formats of Octave, R and PcGive
are designed for use with the respective programs. Gzip compression may be useful for large
datasets. See the Gretl User’s Guide for details on the various formats.
The option flag --omit-obs is applicable only when saving data in CSV format. By default, if
the data are time series or panel or if the dataset includes specific observation markers, the CSV
file includes a first column identifying the observations (e.g. by date). If the --omit-obs flag is
given this column is omitted; only the actual data are printed.
Note that any scalar variables will not be saved automatically: if you wish to save scalars you
must explicitly list them in varlist.
The option of saving in gretl database format is intended to help with the construction of large
sets of series, possibly having mixed frequencies and ranges of observations. At present this
option is available only for annual, quarterly or monthly time-series data. If you save to a file
that already exists, the default action is to append the newly saved series to the existing content
of the database. In this context it is an error if one or more of the variables to be saved has
the same name as a variable that is already present in the database. The --overwrite flag has
the effect that, if there are variable names in common, the newly saved variable replaces the
variable of the same name in the original dataset.
Menu path: /File/Save data; /File/Export data

summary
Argument: [ varlist ]
Print summary statistics for the variables in varlist, or for all the variables in the data set if
varlist is omitted. Output consists of the mean, standard deviation (sd), coefficient of variation
(= sd/mean), median, minimum, maximum, skewness coefficient, and excess kurtosis.
Menu path: /Data/Summary statistics
Other access: Main window pop-up menu
Chapter 1. Gretl commands 38

system
Variants: system method=estimator
system name=sysname
Argument: savevars
Examples: system name="Klein Model 1"
system method=sur
system method=sur save=resids
system method=3sls save=resids,fitted
Starts a system of equations. Either of two forms of the command may be given, depending on
whether you wish to save the system for estimation in more than one way or just estimate the
system once.
To save the system you should give it a name, as in the first example (if the name contains
spaces it must be surrounded by double quotes). In this case you estimate the system using
the estimate command. With a saved system of equations, you are able to impose restrictions
(including cross-equation restrictions) using the restrict command.
Alternatively you can specify an estimator for the system using method= followed by a string
identifying one of the supported estimators: ols (Ordinary Least Squares), tsls (Two-Stage
Least Squares) sur (Seemingly Unrelated Regressions), 3sls (Three-Stage Least Squares), fiml
(Full Information Maximum Likelihood) or liml (Limited Information Maximum Likelihood). In
this case the system is estimated once its definition is complete.
An equation system is terminated by the line end system. Within the system four sorts of
statement may be given, as follows.

• equation: specify an equation within the system. At least two such statements must be
provided.

• instr: for a system to be estimated via Three-Stage Least Squares, a list of instruments (by
variable name or number). Alternatively, you can put this information into the equation
line using the same syntax as in the tsls command.

• endog: for a system of simultaneous equations, a list of endogenous variables. This is

primarily intended for use with FIML estimation, but with Three-Stage Least Squares this
approach may be used instead of giving an instr list; then all the variables not identified
as endogenous will be used as instruments.

• identity: for use with FIML, an identity linking two or more of the variables in the system.
This sort of statement is ignored when an estimator other than FIML is used.

In the optional save= field of the command you can specify whether to save the residuals
(resids) and/or the fitted values (fitted).
For full examples of the specification and estimation of systems of equations, please see the
scripts klein.inp and greene14_2.inp (supplied with the gretl distribution).
Menu path: /Model/Simultaneous equations

tabprint
Argument: [ -f filename ]
Option: --complete (Create a complete document)
Must follow the estimation of a model. Prints the estimated model in the form of a LATEX table.
If a filename is specified using the -f flag output goes to that file, otherwise it goes to a file
with a name of the form model_N.tex, where N is the number of models estimated to date in
the current session. See also eqnprint.
If the --complete flag is given the LATEX file is a complete document, ready for processing;
otherwise it must be included in a document.
Menu path: Model window, /LaTeX
Chapter 1. Gretl commands 39

testuhat
Must follow a model estimation command. Gives the frequency distribution for the residual
from the model along with a chi-square test for normality, based on the procedure suggested
by Doornik and Hansen (1984).
Menu path: Model window, /Tests/normality of residual

tobit
Arguments: depvar indepvars
Options: --vcv (print covariance matrix)
--verbose (print details of iterations)
Estimates a Tobit model. This model may be appropriate when the dependent variable is “trun-
cated”. For example, positive and zero values of purchases of durable goods on the part of
individual households are observed, and no negative values, yet decisions on such purchases
may be thought of as outcomes of an underlying, unobserved disposition to purchase that may
be negative in some cases. For details see Greene’s Econometric Analysis, Chapter 20.
Menu path: /Model/Tobit

transpos
Transposes the current data set. That is, each observation (row) in the current data set will
be treated as a variable (column), and each variable as an observation. This command may be
useful if data have been read from some external source in which the rows of the data table
represent variables.
Menu path: /Sample/Transpose data

tsls
Arguments: depvar indepvars ; instruments
Options: --vcv (print covariance matrix)
--robust (robust standard errors)
Example: tsls y1 0 y2 y3 x1 x2 ; 0 x1 x2 x3 x4 x5 x6
Computes two-stage least squares (TSLS or IV) estimates: depvar is the dependent variable, in-
depvars is the list of independent variables (including right-hand side endogenous variables) in
the structural equation for which TSLS estimates are needed; and instruments is the combined
list of exogenous and predetermined variables in all the equations. If the instruments list is not
at least as long as indepvars, the model is not identified.
In the above example, the ys are the endogenous variables and the xs are the exogenous and
predetermined variables.
Output includes the Hausman test and, if the model is over-identified, the Sargan over-identification
test. In the Hausman test, the null hypothesis is that OLS estimates are consistent, or in other
words estimation by means of instrumental variables is not required. A model of this sort is
over-identified if there are more instruments than are strictly required. The Sargan test is based
on an auxiliary regression of the residuals from the two-stage least squares model on the full
list of instruments. The null hypothesis is that all the instruments are valid, and suspicion is
thrown on this hypothesis if the auxiliary regression has a significant degree of explanatory
power. Davidson and MacKinnon (2004, chapter 8) give a good explanation of both tests.
Menu path: /Model/Two-Stage least Squares
Chapter 1. Gretl commands 40

var
Arguments: order varlist ; detlist
Options: --nc (do not include a constant)
--seasonals (include seasonal dummy variables)
--robust (robust standard errors)
--impulse-responses (print impulse responses)
--variance-decomp (print forecast variance decompositions)
Examples: var 4 x1 x2 x3 ; time mydum
var 4 x1 x2 x3 --seasonals
Sets up and estimates (using OLS) a vector autoregression (VAR). The first argument speci-
fies the lag order, then follows the setup for the first equation. Don’t include lags among the
elements of varlist — they will be added automatically. The semi-colon separates the stochas-
tic variables, for which order lags will be included, from deterministic or exogenous terms in
detlist.
In fact, gretl is able to recognize the more common deterministic variables (time trend, dummy
variables with no values other than 0 and 1) as such, so these do not have to placed after the
semi-colon. More complex deterministic variables (e.g. a time trend interacted with a dummy
variable) must be put after the semi-colon. Note that a constant is included automatically unless
you give the --nc flag, and seaonal dummy variables may be added using the --seasonals flag.
A separate regression is run for each variable in varlist. Output for each equation includes F -
tests for zero restrictions on all lags of each of the variables, an F -test for the significance of the
maximum lag, and, if the --impulse-responses flag is given, forecast variance decompositions
and impulse responses.
Forecast variance decompositions and impulse responses are based on the Cholesky decompo-
sition of the contemporaneous covariance matrix, and in this context the order in which the
(stochastic) variables are given matters. The first variable in the list is assumed to be “most ex-
ogenous” within-period. The horizon for variance decompositions and impulse responses can
be set using the set command.
Menu path: /Model/Time series/Vector autoregression

varlist
Prints a listing of variables currently available. list and ls are synonyms.

vartest
Arguments: var1 var2
Calculates the F statistic for the null hypothesis that the population variances for the variables
var1 and var2 are equal, and shows its p-value.
Menu path: /Data/Difference of variances

vecm
Arguments: order rank varlist
Options: --nc (no constant)
--rc (restricted constant)
--crt (constant and restricted trend)
--ct (constant and unrestricted trend)
--seasonals (include centered seasonal dummies)
--impulse-responses (print impulse responses)
--variance-decomp (print forecast variance decompositions)
Examples: vecm 4 1 Y1 Y2 Y3
vecm 3 2 Y1 Y2 Y3 --rc
Chapter 1. Gretl commands 41

A VECM is a form of vector autoregression or VAR (see var), applicable where the variables in the
model are individually integrated of order 1 (that is, are random walks, with or without drift),
but exhibit cointegration. This command is closely related to the Johansen test for cointegration
(see coint2).
The order parameter to this command represents the lag order of the VAR system. The number
of lags in the VECM itself (where the dependent variable is given as a first difference) is one less
than order.
The rank parameter represents the cointegration rank, or in other words the number of cointe-
grating vectors. This must be greater than zero and less than or equal to (generally, less than)
the number of endogenous variables given in varlist.
varlist supplies the list of endogenous variables, in levels. The inclusion of deterministic terms
in the model is controlled by the option flags. The default if no option is specified is to include
an “unrestricted constant”, which allows for the presence of a non-zero intercept in the cointe-
grating relations as well as a trend in the levels of the endogenous variables. In the literature
stemming from the work of Johensen (see for example his 1995 book) this is often referred to
as “case 3”. The first four options given above, which are mutually exclusive, produce cases
1, 2, 4 and 5 respectively. The meaning of these cases and the criteria for selecting a case are
explained in the Gretl User’s Guide.
The --seasonals option, which may be combined with any of the other options, specifies
the inclusion of a set of centered seasonal dummy variables. This option is available only for
quarterly or monthly data.
The first example above specifies a VECM with lag order 4 and a single cointegrating vector.
The endogenous variables are Y1, Y2 and Y3. The second example uses the same variables
but specifies a lag order of 3 and two cointegrating vectors; it also specifies a “restricted con-
stant”, which is appropriate if the cointegrating vectors may have a non-zero intercept but the
Y variables have no trend.
Menu path: /Model/Time series/VECM

vif
Must follow the estimation of a model which includes at least two independent variables. Calcu-
lates and displays the Variance Inflation Factors (VIFs) for the regressors. The VIF for regressor
j is defined as
1
1 − Rj2
where Rj is the coefficient of multiple correlation between regressor j and the other regressors.
The factor has a minimum value of 1.0 when the variable in question is orthogonal to the other
independent variables. Neter, Wasserman, and Kutner (1990) suggest inspecting the largest
VIF as a diagnostic for collinearity; a value greater than 10 is sometimes taken as indicating a
problematic degree of collinearity.
Menu path: Model window, /Tests/collinearity

wls
Arguments: wtvar depvar indepvars
Options: --vcv (print covariance matrix)
--robust (robust standard errors)
Computes weighted least squares estimates using wtvar as the weight, depvar as the dependent
variable, and indepvars as the list of independent variables. Specifically, an OLS regression is
run on wtvar * depvar against wtvar * indepvars. If the wtvar is a dummy variable, this is
equivalent to eliminating all observations with value zero for wtvar.
Menu path: /Model/Weighted Least Squares
Chapter 1. Gretl commands 42

1.3 Estimators and tests: summary

Table 1.2 shows the estimators available under the Model menu in gretl’s main window. The
corresponding script command (if there is one available) is shown in parentheses. For details
consult the command’s entry in chapter 1.

Table 1.2: Estimators

Estimator Comment
Ordinary Least Squares (ols) The workhorse estimator
Weighted Least Squares (wls) Heteroskedasticity, exclusion of selected observations
HCCM (hccm) Heteroskedasticity corrected covariance matrix
Heteroskedasticity corrected (hsk) Weighted Least Squares based on predicted error variance
Cochrane–Orcutt (corc) First-order autocorrelation
Hildreth–Lu (hilu) First-order autocorrelation
Prais–Winsten (pwe) First-order autocorrelation
Autoregressive Estimation (ar) Higher-order autocorrelation (generalized
Cochrane–Orcutt)
ARMAX (arma) Time-series model with ARMA error
GARCH (garch) Generalized Autoregressive Conditional Heteroskedasticity
Vector Autoregression (var) Systems of time-series equations
Cointegration test (coint) Long-run relationships between series
Two-Stage Least Squares (tsls) Simultaneous equations
Nonlinear Least Squares (nls) Nonlinear models
Logit (logit) Binary dependent variable (logistic distribution)
Probit (probit) Binary dependent variable (normal distribution)
Tobit (tobit) Truncated dependent variable
Logistic (logistic) OLS, with logistic transformation of dependent variable
Least Absolute Deviation (lad) Alternative to Least Squares
Rank Correlation (spearman) Correlation with ordinal data
Pooled OLS (pooled) OLS estimation for pooled cross-section, time series data
Multiple precision OLS (mpols) OLS estimation using multiple precision arithmetic

Table 1.3 shows the tests that are available under the Tests menu in a model window, after
estimation.
Chapter 1. Gretl commands 43

Table 1.3: Tests for models

Test Corresponding command

Omit variables (F -test if OLS) omit
Add variables (F -test if OLS) add
Sum of coefficients (t-test if OLS) coeffsum
Nonlinearity (squares) lmtest --squares
Nonlinearity (logs) lmtest --logs
Nonlinearity (Ramsey’s RESET) reset
Heteroskedasticity (White’s test) lmtest --white
Influential observations leverage
Autocorrelation up to the data frequency lmtest --autocorr
Chow (structural break) chow
CUSUM (parameter stability) cusum
ARCH (conditional heteroskedasticity) arch
Normality of residual testuhat
Panel diagnostics hausman
 Chapter 2

Options, arguments and path-searching

2.1 gretl
gretl (under MS Windows, gretlw32.exe)1
— Opens the program and waits for user input.
gretl datafile
— Starts the program with the specified datafile in its workspace. The data file may be in
native gretl format, CSV format, or BOX1 format (see the Gretl User’s Guide). The program will
try to detect the format of the file and treat it appropriately. See also Section 2.3 below for
path-searching behavior.
gretl --help (or gretl -h)
— Print a brief summary of usage and exit.
gretl --version (or gretl -v)
— Print version identification for the program and exit.
gretl --english (or gretl -e)
— Force use of English instead of translation.
gretl --run scriptfile (or gretl -r scriptfile)
— Start the program and open a window displaying the specified script file, ready to run. See
Section 2.3 below for path-searching behavior.
gretl --db database (or gretl -d database)
— Start the program and open a window displaying the specified database. If the database files
(the .bin file and its accompanying .idx file) are not in the default system database directory,
you must specify the full path. See also the Gretl User’s Guide for details on databases.
gretl --dump (or gretl -c)
— Dump the program’s configuration information to a plain text file (the name of the file is
printed on standard output). May be useful for trouble-shooting.
Various things in gretl are configurable under the “File, Preferences” menu.

• The base directory for gretl’s shared files.

• The user’s base directory for gretl-related files.

• The command to launch gnuplot.

• The command to launch GNU R.

• The command with which to view TEX DVI files.

• The directory in which to start looking for native gretl databases.

• The directory in which to start looking for RATS 4 databases.

• The host name of the gretl database server to access.

1 On Linux, a “wrapper” script named gretl is installed. This script checks whether the DISPLAY environment

variable is set; if so, it launches the GUI program, gretl_x11, and if not it launches the command-line program,
gretlcli.

44
Chapter 2. Options, arguments and path-searching 45

• The IP number and port number of the HTTP proxy server to use when contacting the
database server, if applicable (if you’re behind a firewall).

• The calculator and editor programs to launch from the toolbar.

• The monospaced font to be used in gretl screen output.

• The font to be used for menus and other messages. (Note: this item is not present when
gretl is compiled for the gnome desktop, since the choice of fonts is handled centrally by
gnome.)

There are also some check boxes. Checking the “expert” box quells some warnings that are
otherwise issued. Checking “Tell me about gretl updates” makes gretl attempt to query the
update server at start-up. Unchecking “Show gretl toolbar” turns the icon toolbar off. If your
native language setting is not English and the local decimal point character is not the period
(“.”), unchecking “Use locale setting for decimal point” will make gretl use the period regardless.
Finally, there are some binary choices: Under the “Open/Save path” tab you can set where gretl
looks by default when you go to open or save a file — either the gretl user directory or the
current working directory. Under the “Data files” tab you can set the default filename suffix
for data files. The standard suffix is .gdt but if you wish you can set this to .dat, which was
standard in earlier versions of the program. If you set the default to .dat then data files will be
saved in the “traditional” format (see the Gretl User’s Guide). Also under the “Data files” tab you
can select the action for the little folder icon on the toolbar: whether it should open a listing
of the data files associated with Ramanathan’s textbook, or those associated with Wooldridge’s
text.
Under the “General” tab you may select the algorithm used by gretl for calculating least squares
estimates. The default is Cholesky decomposition, which is fast, relatively economical in terms
of memory requirements, and accurate enough for most purposes. The alternative is QR decom-
position, which is computationally more expensive and requires more temporary storage, but
which is more accurate. You are unlikely to need the extra accuracy of QR decomposition unless
you are dealing with very ill-conditioned data and are concerned with coefficient or standard
error values to more than 7 digits of precision.2
Settings chosen in this way are handled differently depending on the context. Under MS Win-
dows they are stored in the Windows registry. Under the gnome desktop they are stored in
.gnome/gretl in the user’s home directory. Otherwise they are stored in a file named .gretlrc
in the user’s home directory.

2.2 gretlcli
gretlcli
— Opens the program and waits for user input.
gretlcli datafile
— Starts the program with the specified datafile in its workspace. The data file may be in any
format supported by gretl (see the Gretl User’s Guide for details). The program will try to detect
the format of the file and treat it appropriately. See also Section 2.3 for path-searching behavior.
gretlcli --help (or gretlcli -h)
— Prints a brief summary of usage.
gretlcli --version (or gretlcli -v)
— Prints version identification for the program.
gretlcli --pvalue (or gretlcli -p)
— Starts the program in a mode in which you can interactively determine p-values for various
common statistics.
2 The option of using QR decomposition can also be activated by setting the environment variable GRETL_USE_QR

to any non-NULL value.

Chapter 2. Options, arguments and path-searching 46

gretlcli --english (or gretlcli -e)

— Force use of English instead of translation.
gretlcli --run scriptfile (or gretlcli -r scriptfile)
— Execute the commands in scriptfile then hand over input to the command line. See Section
2.3 for path-searching behavior.
gretlcli --batch scriptfile (or gretlcli -b scriptfile)
— Execute the commands in scriptfile then exit. When using this option you will probably want
to redirect output to a file. See Section 2.3 for path-searching behavior.
When using the --run and --batch options, the script file in question must call for a data file
to be opened. This can be done using the open command within the script.

2.3 Path searching

When the name of a data file or script file is supplied to gretl or gretlcli on the command line,
the file is looked for as follows:

1. “As is”. That is, in the current working directory or, if a full path is specified, at the
specified location.

2. In the user’s gretl directory (see Table 2.1 for the default values).

3. In any immediate sub-directory of the user’s gretl directory.

4. In the case of a data file, search continues with the main gretl data directory. In the case
of a script file, the search proceeds to the system script directory. See Table 2.1 for the
default settings. (PREFIX denotes the base directory chosen at the time gretl is installed.)

5. In the case of data files the search then proceeds to all immediate sub-directories of the
main data directory.

Table 2.1: Default path settings

Linux MS Windows
User directory $HOME/gretl PREFIX\gretl\user
System data directory PREFIX/share/gretl/data PREFIX\gretl\data
System script directory PREFIX/share/gretl/scripts PREFIX\gretl\scripts

Thus it is not necessary to specify the full path for a data or script file unless you wish to
override the automatic searching mechanism. (This also applies within gretlcli, when you supply
a filename as an argument to the open or run commands.)
When a command script contains an instruction to open a data file, the search order for the
data file is as stated above, except that the directory containing the script is also searched,
immediately after trying to find the data file “as is”.

MS Windows
Under MS Windows configuration information for gretl and gretlcli is stored in the Windows
registry. A suitable set of registry entries is created when gretl is first installed, and the settings
can be changed under gretl’s “File, Preferences” menu. In case anyone needs to make manual
adjustments to this information, the entries can be found (using the standard Windows program
regedit.exe) under Software\gretl in HKEY_CLASSES_ROOT (the main gretl directory and the
command to invoke gnuplot) and HKEY_CURRENT_USER (all other configurable variables).