- 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
Sunday, August 28, 2011
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.
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Hey, thanks for posting these resources. I'm just getting started with EconPy.
ReplyDeleteThis blog has the potential to be something really valuable for a lot of people. Do you plan on maintaining it?
Thanks for the feedback. I do plan to maintain the blog by using it as a companion to www.econpy.org. If there are any specific types of examples you'd like to see, then please feel free to make a request.
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