State Space Methods in gretl

Abstract

gretl is a general-purpose econometric package, whose most important characteristic is being free software. This ensures that its source code is freely available under the general public license (GPL) and, like most GPL software, that it can be used free of charge. As of version 1.8.1 (released in May 2009), it offers a mechanism for handling linear state space models in a reasonably general and efficient way. This article illustrates its main features with two examples.