(Painting by Marion Dubois: thanks Marion! for more pictures see Marion's web page )
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What is Grocer?
Grocer
is the econometric toolbox for Scilab,
a matrix-oriented software similar to Gauss and Matlab, that I have developed,
first alone and since 2005 with Emmnanuel Michaux. The current version works
with Scilab versions from the 5.5.0 (I do not maintain Grocer anymore for older Scilab versions).
Like Scilab, Grocer is free and open source.
most standard econometric capabilities:
- ordinary least squares and various single equation methods (autocorrelated models, instrumental variables, non linear least squares, robust methods, quantile regression...)
- basic estimation with limited dependent variables: ordered logit and probit (with 2 or more variables); tobit; multivariate logit
- specification tests (multicolinearity, autocorrelation, heteroskedasticity, normality, predictive failure,...)
- simultaneous equations methods (SUR, two and three stage least squares,...)
- VAR, VECM, VARMA and GARCH estimation
- the Generalized Method of Moments (GMM)
- the Kalman filter and time varying parameters estimation
- unit root tests (ADF, KPSS,...), panel unit roots and cointegration methods (CADF, Johansen,...)
- various business cycle tools: HP, Baxter-King and Christiano-Fitzgerald filters, the Bry-Boschan-Harding-Pagan procedure for the dating of turning points, spectral analysis
- various panel data estimation methods: fixed and random effects, between estimation and panel models with common correlated effects
- Static and Dynamic factor estimation
- numerous time series disaggregation methods: Chow-Lin, Litterman,...
- a syntactic analyzer and a symbolic derivative program
- an optimization program that mixes various optimization devices to gain robustness
- tools to build, estimate and simulate backward macroeconometric models
some more rare -but useful- ones:
- a pc-gets like device, that performs automatic general to specific estimations, including a block search algorithm to deal with the case when there are more variables than observations
- estimation of Markov-switching models
- Bayesian Model Averaging estimation and bayesian structural time-varying VAR estimation
- a contributions device, that provides contributions of exogenous variables to an endogenous one for any dynamic equation
an interface with Excel and it deals with true time series objects and matrices of time series.
an imperfect, partial, but nevertheless substantial Gauss to Scilab translator
Grocer distribution download
the installation guidelines, called readme_grocer.pdf download
the user manual, in the zip file Grocer_manual_v1.9.zip download
THE USER LICENSE that you must accept to use grocer download
:
e-mail: grocer.toolbox[at]free.fr (of course, replace [at] with @).
(2026/08/07): Grocer version 1.9 has been posted on the web.
This new version contains several new devices:
- factor estimation capabilities have been significantly extended: new function fac_ml provides static factor model estimation by maximising the log-likelihood; new function fac_density_lko provides factor density resampling using the leave k-out method;new function fac_pca_unbal porovides factor estimation with an unbalanced panel; new function fac_density_boot provides actor density estimation using the bootstrap resampling; last but not least, new function DFM_estimate provides the estimation of general dynamic factor models with data of potential different frequencies and potentially ragged;
- function boosted_HP performs the boosted Hodrick Prescott filter proposed by Peter C.B. Phillips and Zhentao Shi;
- several new functions handling data provided by National statistical institutes have beend added: function carryover calculates the carry-over of a time series; function chained_Laspeyres performs the aggregation of monthly series that are Laspeyres-type price indices and are computed as annual chain-indices with weights changing each year; functions ann_overlap_2_latsyvol, ann_overlap_2_baseprice, lastyvol_2_ann_overlap and lastyvol_2_baseprice switch from series expressed in volume at the chained prices of the previous year to prices or volumes at base price and vice versa; function add_an_overlap performs the aggregation of (weighted) chained volumes of QNA data built as chained volumes series with annual overlap.
- new function svar switches from a VAR estimated in reduced form to a structural VAR through short run identifcation constraints;
- new function bma_g_signed computes bayesian model averaging under g-prior with selection of g-prior as proposed by Fernadez et alii (2001) with sign restictions on predefined coefficients;
- new function create_model_eq creates the model associated to an equation of a model;
- new function gls performs a generalized least-squares regression;
- new function ts_extrap performs the extrapolation of a time series;
- functions ms_mean, ms_reg and ms_var performing Markov switching estimation now rest on an analytical derivation of the log-likelihood instead of a numerical one in previous Grocer versions;
Help files have been created accordingly and a few typos in previous ones have been corrected.
The user manual has been adpated accordingly. A new chapter 31, describing the functions dealing with data provided by National statistical institutes has been created. Chapters 3 (Time series), 5 (basic functions), 8 (Single equation regressions), 12 (Multiple equations regressions), 18 (Business cycles analysis), 24 (Bayesian model averaging), 26 (Factor Analysis) and 30 (Backward looking model tools analysis) have been updated.
:
To use all Grocer capabilities, you need to use Scilab from the
To
see older modifications, see here
Last updated: 2026/08/07