Econometrics

Commands

panel between

Perform a Between estimator regression on panel data

correlation matrix

Get the correlation matrix of an input dataset

cointegration

Show co-integration between two timeseries using the two step Engle-Granger test

panel fmac

Fama-MacBeth estimator for panel data

ols regression

Perform Ordinary Least Squares (OLS) regression

panel fixed

One- and two-way fixed effects estimator for panel data

autocorrelation

Perform Durbin-Watson test for autocorrelation

unit root

Perform Augmented Dickey-Fuller (ADF) unit root test

panel pooled

Perform a Pooled coefficient estimator regression on panel data

panel random effects

Perform One-way Random Effects model for panel data

panel first difference

Perform a first-difference estimate for panel data

ols regression summary

Perform Ordinary Least Squares (OLS) regression

residual autocorrelation

Perform Breusch-Godfrey Lagrange Multiplier tests for residual autocorrelation

causality

Perform Granger causality test to determine if X 'causes' y