Econometrics

Commands

ols regression summary
Perform Ordinary Least Squares (OLS) regression
panel pooled
Perform a Pooled coefficient estimator regression on panel data
unit root
Perform Augmented Dickey-Fuller (ADF) unit root test
panel first difference
Perform a first-difference estimate for panel data
residual autocorrelation
Perform Breusch-Godfrey Lagrange Multiplier tests for residual autocorrelation
panel random effects
Perform One-way Random Effects model for panel data
causality
Perform Granger causality test to determine if X 'causes' y
panel fmac
Fama-MacBeth estimator for panel data
panel fixed
One- and two-way fixed effects estimator for panel data
variance inflation factor
Calculate VIF (variance inflation factor), which tests for collinearity
correlation matrix
Get the correlation matrix of an input dataset
panel between
Perform a Between estimator regression on panel data
cointegration
Show co-integration between two timeseries using the two step Engle-Granger test
ols regression
Perform Ordinary Least Squares (OLS) regression
autocorrelation
Perform Durbin-Watson test for autocorrelation