Google Summer of Code Proposal: Econometrics.jl

Sure. You can also look at the JuliaCon proceedings submission in the repo (paper/paper.pdf).

The scope of Econometrics.jl would be to provide most of the common routines. The focus at the initial release was on panel data and discrete choice models for the main reason that those are the most evident gaps in the current ecosystem (i.e., very common and not currently provided by any tool). For example, I did not include the count/rate models since negative binomial is currently provided through GLM. Survival.jl has the Cox hazard model which is one of the most used for duration/survival. There were a few time series packages, but last I checked most seems to be unmaintained for a while (e.g., ARIMA/GARCH). I am more than happy to host relevant estimator/models as long as those are under the umbrella. I had to start with something so I did with some of my specialties and things the ecosystem was lacking. For the next steps, I plan to include more advanced estimators for probability models (generalized conditional logistic regression for example). The count/rate model would be easy to port from GLM if it makes sense to have it in the package. For other things, contributions are welcomed.

Another point I wanted to make on the time series field, I am currently working with adding panel / time context to StatsModels so that table-like objects can support more operations which would allow things like first-difference and lagged features in a robust way.

2 Likes