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
variance inflation factor
Calculate VIF (variance inflation factor), which tests for collinearity
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