Journal of Statistical Software

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Title State Space Methods in gretl
Author Lucchetti Riccardo
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 o ers a mechanism for handling linear state space models in a reasonably general and ecient way. This article illustrates its main features with two examples.
Citation
Keywords Kalman lter, state space methods, unobserved components, free software.
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