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)
• Nominal Response Model
  • Multinomial logistic (softmax) regression (Stata's mlogit)
• Ordinal Response Model
  • Proportional Odds Logistic Regression (Stata's ologit)

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