econometrust 0.1.11

High-performance econometrics library written in Rust with Python bindings.

Econometrust 🚀

High-performance econometric regression library written in Rust with Python bindings, delivering blazing-fast OLS, GLS, WLS and IV implementations with comprehensive diagnostic statistics.

✨ Features

• 🏎️ Blazing Fast: Rust-powered performance with zero-copy numpy integration
• 📊 Comprehensive Diagnostics: Full suite of econometric tests and statistics
• 🔧 Easy to Use: Familiar scikit-learn-style API
• 📈 Professional Output: Detailed regression summaries with interpretive notes
• 🛡️ Robust: Handles edge cases and memory-efficient operations

Supported Models

• OLS (Ordinary Least Squares): Classic linear regression with optional robust standard errors
• GLS (Generalized Least Squares): Handles heteroskedasticity and autocorrelation
• WLS (Weighted Least Squares): Handles heteroskedastic errors with known variance structure
• IV (Instrumental Variables): Addresses endogeneity using instrumental variables (exactly identified models only)

Diagnostic Statistics

• Durbin-Watson Test: Detect autocorrelation in residuals
• Jarque-Bera Test: Test for normality of residuals
• Omnibus Test: Alternative normality test
• Skewness & Kurtosis: Distribution shape measures
• Condition Number: Multicollinearity detection
• R-squared & Adjusted R-squared: Model fit measures
• F-statistic: Overall model significance

🚀 Quick Start

Installation

pip install econometrust

Basic Usage

import numpy as np
from econometrust import OLS, GLS, WLS, IV

# Generate sample data
X = np.random.randn(100, 3)
y = X @ [2.0, 1.5, -0.8] + np.random.normal(0, 0.5, 100)

# Fit OLS model
model = OLS(fit_intercept=True, robust=False)
model.fit(X, y)

# Get comprehensive summary
print(model.summary())

# Access individual results
print(f"Coefficients: {model.coefficients}")
print(f"R-squared: {model.r_squared}")
print(f"Durbin-Watson: {model.durbin_watson}")

Advanced Example with Diagnostics

import numpy as np
from econometrust import OLS

# Create data with potential issues
np.random.seed(42)
n = 100
X = np.random.randn(n, 3)

# Add some autocorrelation to demonstrate diagnostics
errors = np.zeros(n)
errors[0] = np.random.normal(0, 0.5)
for i in range(1, n):
    errors[i] = 0.6 * errors[i-1] + np.random.normal(0, 0.3)

y = X @ [1.5, -2.0, 0.8] + errors

# Fit model
model = OLS(fit_intercept=True, robust=True)
model.fit(X, y)

# Get detailed diagnostic summary
summary = model.summary()
print(summary)

# The summary includes:
# - Coefficient estimates with standard errors and t-statistics
# - Model fit statistics (R², Adjusted R², F-statistic)
# - Diagnostic tests (Durbin-Watson, Jarque-Bera, Omnibus)
# - Distribution measures (Skewness, Kurtosis)
# - Multicollinearity indicator (Condition Number)
# - Interpretive notes for significant diagnostic findings

📊 Sample Output

====================================
           OLS Regression Results
====================================

Dependent Variable: y              No. Observations: 100
Model: OLS                         Degrees of Freedom: 96
Method: Least Squares              F-statistic: 156.42
Date: 2024-01-15 10:30:00          Prob (F-statistic): 1.23e-45
                                   R-squared: 0.830
                                   Adj. R-squared: 0.825

====================================
             Coefficients
====================================
Variable    Coef      Std Err    t-stat    P>|t|    [0.025     0.975]
--------------------------------------------------------------------
const       0.0234    0.0891     0.262     0.794    -0.1536    0.2004
x1          1.4987    0.0934    16.046     0.000     1.3131    1.6843
x2         -1.9876    0.0912   -21.786     0.000    -2.1688   -1.8064
x3          0.7899    0.0888     8.896     0.000     0.6135    0.9663

====================================
         Diagnostic Statistics
====================================
Durbin-Watson:           1.234 (Positive autocorrelation detected)
Jarque-Bera:            5.678 (p=0.058)
Omnibus:                4.321 (p=0.115)
Skewness:               0.456
Kurtosis:               3.234
Condition Number:       12.34

====================================
              Notes
====================================
- Positive autocorrelation detected (DW = 1.234 < 1.5)
- Consider using robust standard errors or GLS

🔧 API Reference

OLS Class

class OLS:
    def __init__(self, fit_intercept=True, robust=False)
    def fit(self, X, y)
    def predict(self, X)
    def summary()
    
    # Properties
    .coefficients       # Coefficient estimates
    .intercept         # Intercept term
    .residuals         # Model residuals
    .fitted_values     # Predicted values
    .r_squared         # R-squared value
    .adjusted_r_squared # Adjusted R-squared
    .f_statistic       # F-statistic
    .durbin_watson     # Durbin-Watson statistic
    .jarque_bera       # Jarque-Bera test statistic
    .omnibus          # Omnibus test statistic
    .skewness         # Residual skewness
    .kurtosis         # Residual kurtosis
    .condition_number  # Design matrix condition number

GLS Class

class GLS:
    def __init__(self, fit_intercept=True)
    def fit(self, X, y, sigma)  # sigma: covariance matrix
    def predict(self, X)
    def summary()
    
    # Same properties as OLS

WLS Class

class WLS:
    def __init__(self, fit_intercept=True)
    def fit(self, X, y, weights)  # weights: sample weights
    def predict(self, X)
    def summary()
    
    # Same properties as OLS, plus:
    .weights          # Sample weights used for fitting

IV Class

class IV:
    def __init__(self, fit_intercept=True)
    def fit(self, instruments, regressors, targets)  # exactly identified only
    def predict(self, regressors)
    def summary()
    
    # Properties
    .coefficients       # Coefficient estimates
    .intercept         # Intercept term
    .residuals         # Model residuals
    .r_squared         # R-squared value (can be negative for IV)
    .mse              # Mean squared error
    .instruments      # Instrumental variables used
    .regressors       # Regressors used for fitting
    .covariance_matrix # Coefficient covariance matrix
    .standard_errors() # Standard errors of coefficients
    .t_statistics()   # T-statistics
    .p_values()       # P-values
    .confidence_intervals() # Confidence intervals

WLS Example

import numpy as np
from econometrust import WLS, OLS

# Generate data with heteroscedastic errors
np.random.seed(42)
n_samples = 100
X = np.random.randn(n_samples, 2)

# Error variance increases with X[:, 0]
error_variance = 0.5 + 2 * np.abs(X[:, 0])
errors = np.random.normal(0, np.sqrt(error_variance))
y = 2.0 + X @ [1.5, -0.8] + errors

# Create weights (inverse of variance for optimal efficiency)
weights = 1.0 / error_variance

# Compare OLS (inefficient) vs WLS (efficient)
ols = OLS(fit_intercept=True)
ols.fit(X, y)

wls = WLS(fit_intercept=True)
wls.fit(X, y, weights)

print(f"OLS R²: {ols.r_squared:.4f}")
print(f"WLS R²: {wls.r_squared:.4f}")  # Should be higher
print(f"OLS MSE: {ols.mse:.4f}")
print(f"WLS MSE: {wls.mse:.4f}")      # Should be lower

# WLS provides more accurate coefficient estimates 
# when heteroscedasticity is properly modeled

IV (Instrumental Variables) Example

import numpy as np
from econometrust import IV, OLS

# Generate data with endogeneity
np.random.seed(42)
n_samples = 200

# Create instruments (must be uncorrelated with error term)
z1 = np.random.randn(n_samples)  # First instrument
z2 = np.random.randn(n_samples)  # Second instrument
instruments = np.column_stack([z1, z2])

# Create error term
error = np.random.randn(n_samples) * 0.5

# Create endogenous regressors (correlated with error)
x1 = z1 + 0.3 * error + np.random.randn(n_samples) * 0.3  # Endogenous
x2 = z2 + 0.1 * np.random.randn(n_samples)  # Exogenous instrument-like
regressors = np.column_stack([x1, x2])

# True coefficients
true_beta = [1.5, -0.8]
y = 2.0 + regressors @ true_beta + error

# Compare OLS (biased due to endogeneity) vs IV (consistent)
ols = OLS(fit_intercept=True)
ols.fit(regressors, y)

# IV estimator (exactly identified: 2 instruments for 2 regressors)
iv = IV(fit_intercept=True)
iv.fit(instruments, regressors, y)

print("=== OLS Results (Biased due to endogeneity) ===")
print(f"Coefficients: {ols.coefficients}")
print(f"R-squared: {ols.r_squared:.4f}")

print("\n=== IV Results (Consistent estimates) ===")
print(f"Coefficients: {iv.coefficients}")
print(f"R-squared: {iv.r_squared:.4f}")
print(f"True coefficients: {true_beta}")

# IV handles endogeneity but requires:
# 1. Strong instruments (correlated with regressors)
# 2. Valid instruments (uncorrelated with error term)
# 3. Exact identification (# instruments = # regressors)

print(iv.summary())

Important Notes about IV Estimation:

• Exactly Identified Only: This IV implementation requires the number of instruments to equal the number of regressors
• Instrument Validity: Instruments must be correlated with the endogenous regressors but uncorrelated with the error term
• Higher Variance: IV estimates typically have higher variance than OLS, requiring larger sample sizes
• For Overidentified Models: Use Two-Stage Least Squares (TSLS) when you have more instruments than regressors (planned for future release)

🏆 Performance

Econometrust leverages Rust's performance while maintaining Python's ease of use:

• Memory Efficient: Zero-copy operations with numpy arrays
• Fast Computations: Optimized linear algebra operations
• Parallel Processing: Multi-threaded where beneficial
• Robust Numerics: Handles edge cases gracefully

🤝 Contributing

Contributions are welcome! Please feel free to submit a Pull Request.

📄 License

This project is licensed under both MIT and Apache-2.0 licenses.

🔗 Links

• Repository: https://github.com/wdeligt/econometrust
• Documentation: https://github.com/wdeligt/econometrust#readme
• Issues: https://github.com/wdeligt/econometrust/issues

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