gretl is an open-source statistical package, mainly for econometrics. The name is an acronym for GnuRegression, Econometrics and Time-seriesLibrary.
X-13ARIMA-SEATS, successor to X-12-ARIMA and X-11, is a set of statistical methods for seasonal adjustment and other descriptive analysis of time series data that are implemented in the U.S. Census Bureau's software package. These methods are or have been used by Statistics Canada, Australian Bureau of Statistics, and the statistical offices of many other countries.
In statistics, an augmented Dickey–Fuller test (ADF) tests the null hypothesis that a unit root is present in a time series sample. The alternative hypothesis is different depending on which version of the test is used, but is usually stationarity or trend-stationarity. It is an augmented version of the Dickey–Fuller test for a larger and more complicated set of time series models.
S-PLUS is a commercial implementation of the S programming language sold by TIBCO Software Inc.
EViews is a statistical package for Windows, used mainly for time-series oriented econometric analysis. It is developed by Quantitative Micro Software (QMS), now a part of IHS. Version 1.0 was released in March 1994, and replaced MicroTSP. The TSP software and programming language had been originally developed by Robert Hall in 1965. The current version of EViews is 13, released in August 2022.
RATS, an abbreviation of Regression Analysis of Time Series, is a statistical package for time series analysis and econometrics. RATS is developed and sold by Estima, Inc., located in Evanston, IL.
The following tables compare general and technical information for a number of statistical analysis packages.
The decomposition of time series is a statistical task that deconstructs a time series into several components, each representing one of the underlying categories of patterns. There are two principal types of decomposition, which are outlined below.
In econometrics and statistics, a structural break is an unexpected change over time in the parameters of regression models, which can lead to huge forecasting errors and unreliability of the model in general. This issue was popularised by David Hendry, who argued that lack of stability of coefficients frequently caused forecast failure, and therefore we must routinely test for structural stability. Structural stability − i.e., the time-invariance of regression coefficients − is a central issue in all applications of linear regression models.
OxMetrics is an econometric software including the Ox programming language for econometrics and statistics, developed by Jurgen Doornik and David Hendry. OxMetrics originates from PcGive, one of the first econometric software for personal computers, initiated by David Hendry in the 1980s at the London School of Economics.
A file format is a procedure to encode information for storage in a computer file. The databank format is an ASCII file format for time series econometric analysis. The format was popularized by MicroTSP.
Computer-assistedqualitative data analysis software (CAQDAS) offers tools that assist with qualitative research such as transcription analysis, coding and text interpretation, recursive abstraction, content analysis, discourse analysis, grounded theory methodology, etc.
A Newey–West estimator is used in statistics and econometrics to provide an estimate of the covariance matrix of the parameters of a regression-type model where the standard assumptions of regression analysis do not apply. It was devised by Whitney K. Newey and Kenneth D. West in 1987, although there are a number of later variants. The estimator is used to try to overcome autocorrelation, and heteroskedasticity in the error terms in the models, often for regressions applied to time series data. The abbreviation "HAC," sometimes used for the estimator, stands for "heteroskedasticity and autocorrelation consistent." There are a number of HAC estimators described in, and HAC estimator does not refer uniquely to Newey–West. One version of Newey–West Bartlett requires the user to specify the bandwidth and usage of the Bartlett kernel from Kernel density estimation
Shazam is a comprehensive econometrics and statistics package for estimating, testing, simulating and forecasting many types of econometrics and statistical models. SHAZAM was originally created in 1977 by Kenneth White.
LIMDEP is an econometric and statistical software package with a variety of estimation tools. In addition to the core econometric tools for analysis of cross sections and time series, LIMDEP supports methods for panel data analysis, frontier and efficiency estimation and discrete choice modeling. The package also provides a programming language to allow the user to specify, estimate and analyze models that are not contained in the built in menus of model forms.
NLOGIT is an extension of the econometric and statistical software package LIMDEP. In addition to the estimation tools in LIMDEP, NLOGIT provides programs for estimation, model simulation and analysis of multinomial choice data, such as brand choice, transportation mode and for survey and market data in which consumers choose among a set of competing alternatives.
