Data for gretl

Terminology

In gretl parlance, a database is a (usually large) collection of series that may be of mixed frequencies and observation ranges. The data are stored in binary format, as single-precision "floats". You access such files via gretl's File/Databases menu. From there you can import selected series into gretl's workspace. Gretl databases have a .bin filename suffix, and are accompanied by an index file (suffix .idx) containing information on the series.

A gretl datafile, on the other hand, is a collection of series that is homogeneous with respect to frequency and observation range (though there may be missing values for some variables at some observations). Such a file may be read directly into gretl's workspace. Gretl datafiles typically have a .gdt suffix; by default they are in XML format, conforming to the Document Type Definition (DTD) given in gretldata.dtd.

For further details, please see the gretl manual.

1. gretl databases

The gretl distribution contains one sample database, a collection of US macroeconomic time series from the Federal Reserve Bank of St Louis. Several more databases are available for free downloading, or online access. You can access these additional databases from within gretl, via the menu item File/Databases/On database server (provided you are connected to the internet).

2. Textbook datasets

Datasets (and in some cases replication scripts) are available for several popular econometrics textbooks, as shown in the table below. Please note that the .exe files are self-installers, for use on MS Windows only; the .tar.gz and .zip files are compressed archives that are usable on any operating system. Notes on installing the files can be found beneath the table.

Note that Lee Adkins offers additional material relating to Principles of Econometrics by Hill, Griffiths and Lim, including a free companion pdf book, Using gretl for Principles of Econometrics.

Author	Title	Files
Ramu Ramanathan	Introductory Econometrics with Applications	Data and scripts supplied with gretl
William Greene	Econometric Analysis	Selected data supplied with gretl
Jeffrey Wooldridge	Introductory Econometrics: A Modern Approach	wooldridge_data.exe wooldridge.tar.gz
Damodar Gujarati	Basic Econometrics	gujarati_data.exe gujarati.tar.gz
Stock and Watson	Introduction to Econometrics	stock_watson.exe stock_watson_2.exe stock_watson.tar.gz stock_watson_2.tar.gz stock_watson_scripts.zip
Christopher Dougherty	Introduction to Econometrics	dougherty_data.exe dougherty.tar.gz
Hill, Griffiths and Lim	Principles of Econometrics (4e)	POE4data.exe POE4data.tar.gz POE4_scripts.zip
Marno Verbeek	Guide to Modern Econometrics	verbeek_data.exe verbeek.tar.gz
Davidson and MacKinnon	Econometric Theory and Methods	ETM_data.exe ETM.tar.gz
Gary Koop	Analysis of Economic Data	koop_data.exe koop.tar.gz
Helmut Lütkepohl and others	Applied Time Series Econometrics New Introduction to Multiple Time Series Analysis	luetkepohl.tar.gz
Gareth James and others	An Introduction to Statistical Learning	isl.tar.gz
Gebhard Kirchgässner and others	Introduction to Modern Time Series Analysis	hassler.tar.gz

Installing the textbook data

The recommended method is to install these data collections from within gretl. Go to /File/Open data/Sample file in the menus of the main gretl window. In the browser that appears, click the button with tooltip “Look on server” to see what's available. Select a collection to download, right-click, and select Install.

On Windows you also have the option of downloading a self-installer from this page and double-clicking on the installer exe. Once it has done its job you can delete the exe file.

A third option is to download a tar.gz file from this page and decompress it yourself, if you know what you're doing.

In all cases you should restart gretl to access a newly installed file collection.

The scripts zipfiles for Stock and Watson (and Hill, Griffiths and Lim) should be unpacked in /usr/share/gretl/scripts (or the corresponding location if gretl is not installed under /usr).

3. Larger datafiles

Source	Description	File
University of Groningen	Penn World Table 10.01 (cross-country macro panel data)	pwt10.gdt
University of Groningen	Penn World Table 5.6 (cross-country macro panel data)	pwt56.tar.gz
NBER	Jones-Obstfeld Saving and Investment Data for 13 Countries (historical panel)	jones_obst.gdt
NBER	NBER-CES/Census Manufacturing Industry Productivity Data, June 2000 (covers over 400 industrial sectors)	nberprod87.gdt

You should follow up the links in the first column above to get full details on these data sets.

Penn World Tables

The version 10.01 data take the form of a single compressed gretl datafile. The version 5.6 package for gretl comprises three main data files as follows:

pwt56.gdt: the entire pwt56. This dataset has many missing observations.
pwt56_60_89.gdt: A panel data set of 120 countries for the 30 years 1960-89, containing 20 variables. This data set has no missing observations.
pwt56_1985.gdt: More data are available for 1985 than for any other year, and this is a purely cross-sectional data file for all 152 countries for this year. This file has some missing observations, but these will not be so difficult to deal with in a cross section as in a panel data set.

The package includes full documentation and sample scripts to analyse the data.

4. Custom data collections

If you use gretl in your teaching you may wish to set up a custom collection of data files (or scripts) for your students to access. Look here for details.

5. Data utilities

Besides offering pre-packaged databases, gretl comes with some programs that can be used to create databases using data available via the internet. These can be found in the utils subdirectory of the gretl source package (see the gretl main page).