Econometrics.jl

Econometrics in Julia
Popularity
26 Stars
Updated Last
10 Months Ago
Started In
April 2019

Econometrics.jl

Documentation Continous Integration Metadata Reference
csi

This package provides the functionality to estimate the following regression models:

  • Continuous Response Models
    • Ordinary Least Squares (Stata's reg/ivregress 2sls)
    • Longitudinal estimators
      • Random effects model à la Swamy Arora (Stata's xtreg/xtivreg)
      • Between estimator (Stata's xtreg, be)
  • Nominal Response Model
    • Multinomial logistic (softmax) regression (Stata's mlogit)
  • Ordinal Response Model
    • Proportional Odds Logistic Regression (Stata's ologit)

In addition, models incorporate the following features:

  • Implements the StatsBase.jl StatisticalModel/RegressionModel API
  • Support for frequency weights
  • Robust Variance Covariance Estimators (e.g., heteroscedasticity consistent)
  • Instrumental Variables Model through Two-Stage Least Squares (2SLS)
  • Feature absorption for estimating a subset of parameters with high dimensional fixed effects as controls efficiently

Used By Packages

No packages found.