Using Python for Econometrics and Linear Algebra

The following links contain Python code for various tasks in econometrics and linear algebra. They come from the owner of the blog, Digital Explorations. As a PhD student in economics, and a Python enthusiast myself (see: econpy.org), I am more than happy to see Python code like this being created.

• Cholesky decomposition and inverse of positive definite matrices
• Solving an AR(p) time series model using least squares
• Solving Ax = b where A is symmetric positive definite
• White's test for heteroscedasticity
• Breusch-Godfrey test for serial correlation up to order p
• Nonlinear regression, fitting of linearizable nonlinear equations to data
• Performing one iteration of Cochrane-Orcutt procedure
• Iterated Cochrane-Orcutt procedure
• Ljung-Box test for autocorrelation
• Statistics: Computing quantiles
• Gramm Schmidt orthogonalization algorithm in Python
• QR decomposition with Gramm-Schmidt orthogonalization Python
• Gauss elimination in Python
• Computing determinants via diagonalization