Announcement: econometrics notes, and another econometrics.jl


Another econometrics resource that uses Julia: I am adapting my graduate level teaching notes so that the examples use Julia. These notes are at the first year Ph.D. level, and cover basic topics such as linear regression, up to more advanced topics such as simulation-based estimation and nonparametric methods. The notes are prepared using LyX, and are available in editable form. Export to LaTeX is straightforward.

The notes are at The Julia conversion has been completed for Ch. 11 through 14, so far. I expect that the conversion will be completed around October of this year.

There is a support package, Econometrics.jl, which has the main routines, utilities, etc.


I am working in a panel data econometrics package which currently in beta test stage. Working on the documentation and unit tests these days. Might be something to check out for a few of those sections even if unobserved effects models is not included in the notes. UEM.jl


You have an interesting approach to programming, very structured. For my lecture notes, this is more in depth that what I present. However, I think I can learn some programming techniques from your code. Thanks!


Just a note that progress has been good on converting the examples to Julia. It’s almost completed, the only remaining chapters to convert are nonparametric estimation and simulation-based estimation. I have been adding some new material, too, including a MCMC method of estimating quantile instrumental variables models.

The support package includes fminunc and fmincon, which loosely emulate Matlab’s calling syntax, in an effort to appeal to people coming from that background. There’s also a pretty useful simulated annealing routine…


These notes now have the examples and support package updated to Julia 0.7/1.0.