econometrics

Commands

Bgod

Calculate test statistics for autocorrelation

Bols

The between estimator is an alternative, usually less efficient estimator, can can be used to

Bpag

Calculate test statistics for heteroscedasticity

Clean

Clean up NaNs from the dataset

Coint

Calculate cointegration tests between variable number of input series

Comparison

Compare regression results between Panel Data regressions.

Dwat

Calculate test statistics for Durbin Watson autocorrelation

Fdols

First differencing is an alternative to using fixed effects when there might be correlation.

Fe

When effects are correlated with the regressors the RE and BE estimators are not consistent.

Garch

Calculates volatility forecasts based on GARCH.

Get Regression Data

This function creates a DataFrame with the required regression data as

Granger

Calculate granger tests

Load

Load custom file into dataframe.

Norm

The distribution of returns and generate statistics on the relation to the normal curve.

Ols

Performs an OLS regression on timeseries data. [Source: Statsmodels]

Options

Obtain columns-dataset combinations from loaded in datasets that can be used in other commands

Panel

Based on the regression type, this function decides what regression to run.

Pols

PooledOLS is just plain OLS that understands that various panel data structures.

Re

The random effects model is virtually identical to the pooled OLS model except that is accounts for the

Root

Calculate test statistics for unit roots

Vif

Calculates VIF (variance inflation factor), which tests collinearity.