Top 33 econometrics open source projects

Statsmodels: statistical modeling and econometrics in Python

Collection of notebooks about quantitative finance, with interactive python code.

Nonlinear Nonparametric Statistics

A quick introduction to all most important concepts of Probability Theory, only freshman level of mathematics needed as prerequisite.

This repository hosts my reading notes for academic papers.

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 m…

No description or website provided.

Undergraduate textbook for Econometrics with R

Sequential Monte Carlo algorithm for approximation of posterior distributions.

A Julia package for estimating ARMA-GARCH models.

Econ5170@CUHK: Computational Methods in Economics (2020 Spring).

DoubleML - Double Machine Learning in R

Articles/ Journals and Videos related to Economics📈 and Data Science 📊

DoubleML - Double Machine Learning in Python

Econ5121A@CUHK. This is an open-source writing project.

Experimental tools (R) for Big Data econometrics nowcasting and early estimates

R package that provides estimation methods for Gravity Models

Bacon-Goodman decomposition for differences-in-differences with variation in treatment timing.

Algorithmic game theory, recursive macroeconomics, machine learning for econometrics

Python package for the simulation and estimation of generalized Roy model

Fixedeffectmodel: panel data modeling in Python

Economics and Pricing in R

course on data science for economists

A Python package for causal inference using Synthetic Controls

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).

Machine learning based causal inference/uplift in Python

Causal Inference for the Brave and True的中文翻译版。全部代码基于Python，适用于计量经济学、量化社会学、策略评估等领域。英文版原作者：Matheus Facure

Econometrics and data manipulation functions.

A Julia interface for retrieving data from the Bureau of Economic Analysis (BEA).

R Companion to the textbook "Econometrics" by Fumio Hayashi

ARMA-GARCH

R interface for Fixed Effect Models

Microeconometric estimation in Julia