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The Top 18 Econometrics Open Source Projects
TopicΒ >Β
Econometrics
Statsmodels
β
5,527
Statsmodels: statistical modeling and econometrics in Python
Become A Software Engineer At Top Companies
β
Sponsored
Identify your strengths with a free online coding quiz, and skip resume and recruiter screens at multiple companies at once. It's free, confidential, includes a free flight and hotel, along with help to study to pass interviews and negotiate a high salary!
Financial Models Numerical Methods
β
2,940
Collection of notebooks about quantitative finance, with interactive python code.
Hyperlearn
β
1,182
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
β
930
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
β
717
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
β
669
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
β
291
Replication of tables and figures from "Mostly Harmless Econometrics" in Stata, R, Python and Julia.
Python Causality Handbook
β
231
Causal Inference for the Brave and True. A light-hearted yet rigorous approach to learning about impact estimation and sensitivity analysis.
Econometricswithr
β
226
πAn interactive companion to the well-received textbook 'Introduction to Econometrics' by Stock & Watson (2015)
Data Science Toolkit
β
159
Collection of stats, modeling, and data science tools in Python and R.
Appelpy
β
134
Applied Econometrics Library for Python
Pyfts
β
132
An open source library for Fuzzy Time Series in Python
Causallift
β
128
CausalLift: Causality-based Uplift Modeling in real-world business
Wooldridge
β
90
The official R data package for "Introductory Econometrics: A Modern Approach". A vignette contains example models from each chapter.
Cgoes
β
74
Research by Carlos GΓ³es
Fecon236
β
64
Tools for financial economics. Curated wrapper over Python ecosystem. Source code for fecon235 Jupyter notebooks.
Msgarch
β
45
MSGARCH R Package
Psid.jl
β
19
Quickly assemble data from the Panel Study of Income Dynamics (PSID)
1-18 of 18 projects
