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Random Number Generation in gretl

Author

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  • Yalta, A. Talha
  • Schreiber, Sven

Abstract

The increasing popularity and complexity of random number intensive methods such as simulation and bootstrapping in econometrics requires researchers to have a good grasp of random number generation in general, and the specific generators that they employ in particular. Here, we discuss the random number generation options, their specifications, and their implementations in gretl. We also assess the performance and the reliability of gretl in this department by conducting extensive empirical testing using the TestU01 library. Our results show that the available alternatives are soundly implemented and should be sufficient for most econometric applications.

Suggested Citation

  • Yalta, A. Talha & Schreiber, Sven, 2012. "Random Number Generation in gretl," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 50(c01).
  • Handle: RePEc:jss:jstsof:v:050:c01
    DOI: http://hdl.handle.net/10.18637/jss.v050.c01
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    References listed on IDEAS

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    1. A. Yalta & A. Yalta, 2010. "Should Economists Use Open Source Software for Doing Research?," Computational Economics, Springer;Society for Computational Economics, vol. 35(4), pages 371-394, April.
    2. Ryan J. Smith & J. Wilson Mixon Jr, 2006. "Teaching undergraduate econometrics with GRETL," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(7), pages 1103-1107.
    3. A. Talha Yalta & A. Yasemin Yalta, . "Wilkinson Tests and gretl," EHUCHAPS, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
    4. McCullough, B D, 1999. "Econometric Software Reliability: EViews, LIMDEP, SHAZAM and TSP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 191-202, March-Apr.
    5. Yalta, A. Talha & Jenal, Olaf, 2009. "On the importance of verifying forecasting results," International Journal of Forecasting, Elsevier, vol. 25(1), pages 62-73.
    6. H. D. Vinod, 2000. "Review of GAUSS for Windows, including its numerical accuracy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 211-220.
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    9. B. D. McCullough, 2006. "A review of TESTU01," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 677-682.
    10. Marsaglia, George & Tsang, Wai Wan, 2000. "The Ziggurat Method for Generating Random Variables," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 5(i08).
    11. Lee C. Adkins, 2011. "Using gretl for Monte Carlo experiments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(5), pages 880-885, August.
    12. Lucchetti, Riccardo, 2011. "State Space Methods in gretl," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i11).
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    Cited by:

    1. Błażejowski, Marcin & Kwiatkowski, Jacek, 2015. "Bayesian Model Averaging and Jointness Measures for gretl," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 68(i05).

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