86 Open Source Econometrics Software Projects
Free and open source econometrics code projects including engines, APIs, generators, and tools.
Financial Models Numerical Methods 3507 ⭐
Collection of notebooks about quantitative finance, with interactive python code.
Hyperlearn 1226 ⭐
Waiting hours for a future prediction is unacceptable. Hyperlearn makes AI and ML algorithms 50% faster, use 90% less memory and doesn't require you to use new hardware! ML Algorithms like PCA, Linear Regression, NMF are all faster!
Econml 1774 ⭐
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 1050 ⭐
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 748 ⭐
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 376 ⭐
Replication of tables and figures from "Mostly Harmless Econometrics" in Stata, R, Python and Julia.
Python Causality Handbook 879 ⭐
Causal Inference for the Brave and True. A light-hearted yet rigorous approach to learning about impact estimation and sensitivity analysis.
Econometricswithr 296 ⭐
📖An interactive companion to the well-received textbook 'Introduction to Econometrics' by Stock & Watson (2015)
Causallift 225 ⭐
CausalLift: Python package for causality-based Uplift Modeling in real-world business
Wooldridge 122 ⭐
The official R data package for "Introductory Econometrics: A Modern Approach". A vignette contains example models from each chapter.
Fecon236 84 ⭐
Tools for financial economics. Curated wrapper over Python ecosystem. Source code for fecon235 Jupyter notebooks.
Temporal.jl 83 ⭐
Time series implementation for the Julia language focused on efficiency and flexibility
Econ Data Science 87 ⭐
Articles/ Journals and Videos related to Economics:chart_with_upwards_trend: and Data Science :bar_chart:
Diebold Mariano Test 56 ⭐
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).
Ipeadatapy 38 ⭐
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 32 ⭐
Algorithmic game theory, recursive macroeconomics, machine learning for econometrics
My_reading_list 14 ⭐
A list of various articles that I find helpful for reading about deep learning, forecasting, or macroeconomics
C Lasso 14 ⭐
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 16 ⭐
Replication package for Bonhomme Lamadon and Manresa paper, A distributional framework for matched data
Commoneconomist Teaching 11 ⭐
Lectures and tutorials for number of courses in economics and statistics.
Bacondecomp 29 ⭐
Bacon-Goodman decomposition for differences-in-differences with variation in treatment timing.
Robyn 281 ⭐
Robyn is an experimental, automated and open-sourced Marketing Mix Modeling (MMM) package from Facebook Marketing Science. It uses various machine learning techniques (Ridge regression with cross validation, multi-objective evolutionary algorithm for hyperparameter optimisation, gradient-based optimisation for budget allocation etc.) to define media channel efficiency and effectivity, explore adstock rates and saturation curves. It's built for granular datasets with many independent variables and therefore especially suitable for digital and direct response advertisers with rich dataset.
Statespacemodels.jl 171 ⭐
StateSpaceModels.jl is a Julia package for time-series analysis using state-space models.
Coding For Economists 92 ⭐
This repository hosts the code behind the online book, Coding for Economists.
Dame Flame Python Package 31 ⭐
A Python Package providing two algorithms, DAME and FLAME, for fast and interpretable treatment-control matches of categorical data
Machine Learning For Economic Analysis 21 ⭐
Material for the exercise sessions of master course Machine Learning for Economic Analysis @UZH
Free Resources Books Papers 19 ⭐
Books and Papers in Mathematics, Econometrics, Machine Learning, Finance etc for different levels that can be useful for Data Scientists, Developers and everyone whoo is interesting in STEM.
Glfixedeffectmodels.jl 19 ⭐
Fast estimation of generalized linear models with high dimensional categorical variables in Julia
Econometric Algorithms 16 ⭐
Popular Econometrics content with code; Simple Linear Regression, Multiple Linear Regression, OLS, Event Study including Time Series Analysis, Fixed Effects and Random Effects Regressions for Panel Data, Heckman_2_Step for selection bias, Hausman Wu test for Endogeneity in Python, R, and STATA.
Spring Haru Wooldridge 16 ⭐
A Python package containing 111 data sets of Introductory Econometrics: A Modern Approach (7th ed, J.M. Wooldridge)
Tatevkaren Data Science Portfolio 16 ⭐
Data Science Portfolio of Tatev Karen Aslanyan including Case Studies and Research Projects that I have completed that solve business problems or introduce new products. Case Study papers, codes, and additional resources are all included.
Boosted_hp_filter 12 ⭐
Functions and replication files for Peter Phillips and Zhentao Shi (2020): "Boosting: Why You Can Use the HP Filter"
Mmintro 10 ⭐
User-written MATLAB code/solutions for the chapter exercises in Microeconometrics and MATLAB: An Introduction by Adams, Clarke and Quinn (2015). Solutions are unverified and sometimes incomplete. Authors' code is necessary in some files (http://www.microeconometrics-code.com/code/). Comments welcome at [email protected]
Wqu Projects 11 ⭐
Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement of clearing the courses.
Interactionweighteddids.jl 11 ⭐
Regression-based multi-period difference-in-differences with heterogenous treatment effects