econometrics

Commands

Autocorrelation

Perform Durbin-Watson test for autocorrelation

Causality

Perform Granger causality test to determine if X 'causes' y

Cointegration

Show co-integration between two timeseries using the two step Engle-Granger test

Correlation Matrix

Get the correlation matrix of an input dataset

Ols Regression

Perform OLS regression

Ols Regression Summary

Perform OLS regression

Panel Between

Perform a Between estimator regression on panel data

Panel First Difference

Perform a first-difference estimate for panel data

Panel Fixed

One- and two-way fixed effects estimator for panel data

Panel Fmac

Fama-MacBeth estimator for panel data

Panel Pooled

Perform a Pooled coefficient estimator regression on panel data

Panel Random Effects

Perform One-way Random Effects model for panel data

Residual Autocorrelation

Perform Breusch-Godfrey Lagrange Multiplier tests for residual autocorrelation

Unit Root

Perform Augmented Dickey-Fuller unit root test