Econometrics.jl
This package provides the functionality to estimate the following regression models:
- Continuous Response Models
- Ordinary Least Squares (Stata's
reg
/ivregress 2sls
) - Longitudinal estimators
- Random effects model à la Swamy Arora (Stata's
xtreg
/xtivreg
) - Between estimator (Stata's
xtreg, be
)
- Random effects model à la Swamy Arora (Stata's
- Ordinary Least Squares (Stata's
- Nominal Response Model
- Multinomial logistic (softmax) regression (Stata's
mlogit
)
- Multinomial logistic (softmax) regression (Stata's
- Ordinal Response Model
- Proportional Odds Logistic Regression (Stata's
ologit
)
- Proportional Odds Logistic Regression (Stata's
In addition, models incorporate the following features:
- Implements the StatsBase.jl
StatisticalModel
/RegressionModel
API - Support for frequency weights
- Robust Variance Covariance Estimators (e.g., heteroscedasticity consistent)
- Instrumental Variables Model through Two-Stage Least Squares (2SLS)
- Feature absorption for estimating a subset of parameters with high dimensional fixed effects as controls efficiently
Citation
Please use the following reference when citing this package:
@article{SantiagoCalderón2020,
author = {Santiago Calderón, José Bayoán},
title = {Econometrics.jl},
journal = {Proceedings of the JuliaCon Conferences},
publisher = {The Open Journal},
year = {2020},
volume = {1},
number = {1},
pages = {38},
doi = {10.21105/jcon.00038}
}