Economics is becoming more and more a data-driven discipline and the necessity to be able to perform advanced econometric analysis is a must if one is to produce quality research. However, the most common econometric packages taught at the university level (such as Eviews, Stata, or Matlab) while easy to use, are too expensive for a researcher at the beginning of his/her career. Furthermore, many young economics graduates have not yet developed sufficient coding skills to fluently use free data programming languages such as R or Python (they should do so ASAP, however).
To that end, I will show you some alternative econometric packages, with user interfaces (some of them even have an interface similar to the mainstream packages). Mastering them will allow anyone who cannot afford to buy econometric packages to still be able to produce quality research using advanced econometric methods.
**Note: I am only presenting the options available out there, none of the following links is an affiliate of some sort. Any copyrights belong to their respective owners**
This name should ring a bell as this package is actually a clone of the famous SPSS. If you know how to use SPSS you should have no problem using PSPP. You can find out more about PSPP here.
SHAZAM is not entirely free, all its features are free but there is a memory limitation in the unlimited trial version that in some cases may cause the program to be slow in calculations. SHAZAM’s interface reminds that of STATA. You can use this program to mainly perform time-series analysis, from simple regression to dynamic programming and Monte-Carlo simulations, thus it is a must if you can’t afford to spend money to buy STATA or Eviews. You can find Shazam here.
Perhaps the most famous of the free econometric software. You can perform almost any kind of analysis with it, and it also has coding options. It also has MIDAS models which are not yet widely available in other software. Furthermore, it is compatible with scripts from Python, STATA, R, and others, should you want to use them together, and also can be used for machine learning! You can find Gretl here.
ECB economists did have a sense of humor when they decided the name of their Bayesian Estimation Analysis and Regression toolbox. This tool is used exclusively for advanced econometric analysis, namely Bayesian VARs, Structural VARs, VARs with time-varying parameters. It is a powerful tool to have, especially if you are into macro-econometric analysis and forecasting. You can either use it through Matlab or by downloading a standalone executable. Setting up the excel file from which the toolbox reads the data will take some time to get used to, but it is worth the time. You can find BEAR through ECB’s website here.
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