Open Source Libs
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Open Source Libraries
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Econometrics
58 Open Source Econometrics Software Projects
Free and open source econometrics code projects including engines, APIs, generators, and tools.
Statsmodels
5610 ⭐
Statsmodels: statistical modeling and econometrics in Python
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)
Data Science Toolkit
160 ⭐
Collection of stats, modeling, and data science tools in Python and R.
Appelpy
134 ⭐
Applied Econometrics Library for Python
Pyfts
136 ⭐
An open source library for Fuzzy Time Series in Python
Causallift
135 ⭐
CausalLift: Causality-based Uplift Modeling in real-world business
Wooldridge
95 ⭐
The official R data package for "Introductory Econometrics: A Modern Approach". A vignette contains example models from each chapter.
Econ5170
95 ⭐
[email protected]
: Computational Methods in Economics (2020 Spring).
Scpoeconometrics
80 ⭐
Undergraduate textbook for Econometrics with R
Cgoes
77 ⭐
Research by Carlos Góes
Econtools
69 ⭐
Econometrics and data manipulation functions.
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:
Ose Course Data Science
49 ⭐
course on data science for economists
Msgarch
46 ⭐
MSGARCH R Package
Masteringmetrics
47 ⭐
R code for Angrist & Pischke Mastering Metrics
Collapse
81 ⭐
Advanced and Fast Data Transformation in R
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).
Smc.jl
34 ⭐
Sequential Monte Carlo algorithm for approximation of posterior distributions.
Archmodels.jl
32 ⭐
A Julia package for estimating ARMA-GARCH models.
Econometrics.jl
32 ⭐
Econometrics in Julia
Marketanalysis
26 ⭐
Market Analysis Course with Interactive RTutor Problemsets, Videos and Quizzes
Microeconometrics.jl
26 ⭐
Microeconometric estimation in Julia
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.
Rdd
24 ⭐
Python tools for regression discontinuity designs
Computational Economics
23 ⭐
Algorithmic game theory, recursive macroeconomics, machine learning for econometrics
Armagarch
21 ⭐
ARMA-GARCH
Psid.jl
21 ⭐
Quickly assemble data from the Panel Study of Income Dynamics (PSID)
Nns
20 ⭐
Nonlinear Nonparametric Statistics
Python Option Calculator
22 ⭐
Python Option Visualisation and Pricing using Black-Scholes Model
Fixedeffectjlr
18 ⭐
R interface for Fixed Effect Models
Econowcast
17 ⭐
Experimental tools (R) for Big Data econometrics nowcasting and early estimates
Macroeconometrics
20 ⭐
Course on Macroeconometrics (graduate level)
Hayashir
16 ⭐
R Companion to the textbook "Econometrics" by Fumio Hayashi
Hdfe
15 ⭐
Spreg
17 ⭐
Spatial econometric regression in Python
Beadata.jl
14 ⭐
A Julia interface for retrieving data from the Bureau of Economic Analysis (BEA).
Alistair.jl
12 ⭐
A minimal regression library for Julia
My_reading_list
12 ⭐
A list of various articles that I find helpful for reading about deep learning, forecasting, or macroeconomics
Grmpy
11 ⭐
Python package for the simulation and estimation of generalized Roy model
C Lasso
12 ⭐
The replication data and files for Liangjun Su, Zhentao Shi and Peter Phillips (2016, Econometrica): “Identifying Latent Structures in Panel Data”
Causeinfer
14 ⭐
Machine learning based causal inference/uplift in Python
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.
Varsignr
10 ⭐
Estimating VARs using sign restrictions in R
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.
Null
11 ⭐
Implements the Causal Forest algorithm formulated in Athey and Wager (2018).