GROCER provides many standard econometric methods: ols, instrumental variables,
VAR, specification and unit root tests, limited dependent variables methods,
Johansen cointegration tests and VECM, GMM, statistical filters, basic methods
on panel data, ARMA and VARMA estimations, GARCH ...
GROCER provides also less standard ones: a pc-gets like function implementing in
an automatic manner the "general-to-specific" methodology, various
Markov-switching estimations, Bayesian Model Averaging estimation, dynamic
GROCER allows to build, estimate and simulate backward macroeconomic models
GROCER comes with 2 new types of data useful to an econometrician: time series
and matrices of time series.
You will also find at http://dubois.ensae.net/grocer.html
a user manual and information on recent modifications made to Grocer.