58 Open Source Econometrics Software Projects
Free and open source econometrics code projects including engines, APIs, generators, and tools.
Financial Models Numerical Methods 2971 ⭐
Collection of notebooks about quantitative finance, with interactive python code.
Hyperlearn 1185 ⭐
50% faster, 50% less RAM Machine Learning. Numba rewritten Sklearn. SVD, NNMF, PCA, LinearReg, RidgeReg, Randomized, Truncated SVD/PCA, CSR Matrices all 50+% faster
Econml 971 ⭐
ALICE (Automated Learning and Intelligence for Causation and Economics) is a Microsoft Research project aimed at applying Artificial Intelligence concepts to economic decision making. One of its goals is to build a toolkit that combines state-of-the-art machine learning techniques with econometrics in order to bring automation to complex causal inference problems. To date, the ALICE Python SDK (econml) implements orthogonal machine learning algorithms such as the double machine learning work of Chernozhukov et al. This toolkit is designed to measure the causal effect of some treatment variable(s) t on an outcome variable y, controlling for a set of features x.
Pmdarima 732 ⭐
A statistical library designed to fill the void in Python's time series analysis capabilities, including the equivalent of R's auto.arima function.
Fecon235 677 ⭐
Notebooks for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency FX euro EUR USD JPY yen XAU gold Brent WTI oil Holt-Winters time-series forecasting statistics econometrics
Mostly Harmless Replication 303 ⭐
Replication of tables and figures from "Mostly Harmless Econometrics" in Stata, R, Python and Julia.
Python Causality Handbook 268 ⭐
Causal Inference for the Brave and True. A light-hearted yet rigorous approach to learning about impact estimation and sensitivity analysis.
Econometricswithr 231 ⭐
📖An interactive companion to the well-received textbook 'Introduction to Econometrics' by Stock & Watson (2015)
Wooldridge 95 ⭐
The official R data package for "Introductory Econometrics: A Modern Approach". A vignette contains example models from each chapter.
Fecon236 65 ⭐
Tools for financial economics. Curated wrapper over Python ecosystem. Source code for fecon235 Jupyter notebooks.
Temporal.jl 67 ⭐
Time series implementation for the Julia language focused on efficiency and flexibility
Econ Data Science 63 ⭐
Articles/ Journals and Videos related to Economics:chart_with_upwards_trend: and Data Science :bar_chart:
Diebold Mariano Test 39 ⭐
This Python function dm_test implements the Diebold-Mariano Test (1995) to statistically test forecast accuracy equivalence for 2 sets of predictions with modification suggested by Harvey et. al (1997).
Econ5121a 27 ⭐
Econ5121A: Econometric Theory and Applications at CUHK. This is an open-source writing project.
Ipeadatapy 25 ⭐
ipeadatapy is a data and metadata extraction package made in Python using Ipeadata database official API. In it's essence it is an API wrapper.
Computational Economics 23 ⭐
Algorithmic game theory, recursive macroeconomics, machine learning for econometrics
My_reading_list 12 ⭐
A list of various articles that I find helpful for reading about deep learning, forecasting, or macroeconomics
C Lasso 12 ⭐
The replication data and files for Liangjun Su, Zhentao Shi and Peter Phillips (2016, Econometrica): “Identifying Latent Structures in Panel Data”
Gunsandcrime 11 ⭐
A replication of Marvell and Moody's economics experiment measuring impact of gun ownership on crime rates, using percent suicides by gun, gun manufacturing, and survey data as proxies for gun ownership. Data set included.
Gmmindirectinferencebootstrap 10 ⭐
Course on GMM, Indirect Inference and Bootstrap for Economists (graduate level)
Blm Replicate 10 ⭐
Replication package for Bonhomme Lamadon and Manresa paper, A distributional framework for matched data
Commoneconomist Teaching 10 ⭐
Lectures and tutorials for number of courses in economics and statistics.
Null 16 ⭐
Bacon-Goodman decomposition for differences-in-differences with variation in treatment timing.