Econometrics





Grocer
Grocer is an econometrics module, particularly devoted to time series. Grocer contains most standard econometric tools: ordinary least squares; estimation of linear models with autocorrelated errors; instrumental variables; specification tests; simultaneous equation methods ; unit root and cointegration tests; qualitative estimation methods (logit, probit,…); VAR estimation; Generalized Method of moments; statistical filters; methods for dating business cycles…

Grocer also contains more rare tools: a device to perform automatically the general to specific approach associated to the “LSE”; estimation of Markov-switching models; the “Bayesian Model Averaging” method; calculation of dynamic contributions.