Econometrics.jl

Econometrics in Julia
Popularity
26 Stars
Updated Last
3 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

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