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Hello there. This is such a great package - thank you for the work in creating it. I am curious about best practices for calculating average marginal effects for interaction terms while using errorsar…
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Right now, the tolerance is hard-coded as `1e-9`, in the following two places:
https://github.com/Nosferican/Econometrics.jl/blob/b7e20d8fdfc928d38ebcbb8e2953935ecbb5ce88/src/solvers.jl#L195
https…
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Something like "Python for Econometrics" should be an inspiration. It's a bit messy (order of chapters seems weird to me), but it covers a lot of stuff.
https://www.kevinsheppard.com/images/0/09/Pyth…
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Looking at the common generalized linear models, the binomial distribution is implemented, but the multinomial (its general form) is not. It also seems that `GLM.LinPred` is constrained to be a vector…
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I was wondering if there was a way to put in sample weights for biglasso. In cv.glmnet there is a "weights" option and it would be very useful for econometrics work.
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I don't see an open issue for this, and just found a statistics article for it for QIF-GEE
To get started: using principal components
Cho and Qu use principal components on a subset of moment co…
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Reduce the size and scope of the vignette to a handful of interesting examples, with better workflows
Considering eliminating it altogether, and reducing package size and suggested packages in the …
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From ML: "What are some good tutorials or resources (besides the documentation) to learn statistics and econometrics through the Python statistics model (statsmodels)?"
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This example sets a column in the object `db` to `1` so that the variable can vary. However it is not used in the subsequent regression. Is this done on purpose? If so, it is not clear how that column…
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All PRs and attempts to add general nonlinear model (not with link, single index) have stalled so far.
(I was looking again at outlier robust estimation of nonlinear mean functions `y = f(x, theta) +…