Econometrics

Commands

unit root
Perform the Augmented Dickey-Fuller (ADF) unit root test
normality
Perform the Jarque-Bera normality test on regression residuals
panel pooled
Estimate a Pooled OLS regression on panel data
cointegration
Test pairs of time series for cointegration via the Engle-Granger two-step test
summary statistics
Compute descriptive summary statistics for each numeric column
residual autocorrelation
Perform the Breusch-Godfrey LM test for residual autocorrelation
panel fmac
Estimate a Fama-MacBeth regression on panel data
autocorrelation
Perform the Durbin-Watson test for autocorrelation in regression residuals
panel random effects
Estimate a one-way Random Effects model for panel data
cointegration johansen
Perform the Johansen cointegration test on multiple time series
kpss
Perform the KPSS test for stationarity
panel between
Estimate a Between regression on panel data
variance inflation factor
Calculate the variance inflation factor (VIF) to detect multicollinearity
correlation matrix
Get the correlation matrix of an input dataset
ols regression summary
Perform Ordinary Least Squares (OLS) regression and return the fit summary
causality
Perform the Granger causality test to assess whether X helps predict y
panel first difference
Estimate a First-Difference regression on panel data
heteroskedasticity
Perform the Breusch-Pagan and White tests for heteroskedasticity
panel fixed
Estimate a Fixed Effects regression on panel data
ols regression
Perform Ordinary Least Squares (OLS) regression
garch
Fit a configurable volatility model from the GARCH family to a series