econometrust 0.2.2

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

Econometrust

A Python library for econometric regression analysis, implemented in Rust for computational efficiency.

Overview

EconoMetrust provides implementations of fundamental econometric estimators with comprehensive statistical inference capabilities. The library is designed for researchers, analysts, and practitioners who need reliable econometric tools with detailed diagnostic output.

Estimators

• OLS (Ordinary Least Squares): Standard linear regression with optional robust standard errors
• WLS (Weighted Least Squares): Regression with known heteroskedastic error structure
• GLS (Generalized Least Squares): Regression with known error covariance matrix
• IV (Instrumental Variables): Consistent estimation for exactly identified endogenous models
• TSLS (Two-Stage Least Squares): Consistent estimation for overidentified endogenous models
• FE (Fixed Effects): Panel data regression with entity-specific fixed effects

Installation

pip install econometrust

Basic Usage

Ordinary Least Squares

import numpy as np
from econometrust import OLS

# Prepare data
X = np.random.randn(100, 3)
y = X @ [1.5, -2.0, 0.5] + np.random.randn(100) * 0.1

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

# View results
print(model.summary())
print(f"R-squared: {model.r_squared:.4f}")

Weighted Least Squares

from econometrust import WLS

# Data with heteroskedastic errors
X = np.random.randn(100, 2)
weights = np.exp(X[:, 0])  # Known variance structure
y = X @ [1.0, -0.5] + np.random.randn(100) / np.sqrt(weights)

# Fit weighted model
model = WLS(fit_intercept=True)
model.fit(X, y, weights)
print(model.summary())

Instrumental Variables

from econometrust import IV

# Generate IV data
n = 200
Z = np.random.randn(n, 2)  # Instruments
u = np.random.randn(n)     # Unobserved confounder

# Endogenous regressors
X = Z @ [0.8, 0.6] + 0.5 * u + np.random.randn(n, 2) * 0.1
y = X @ [1.0, -0.5] + u + np.random.randn(n) * 0.1

# Fit IV model (exactly identified)
model = IV(fit_intercept=True)
model.fit(Z, X, y)
print(model.summary())

Two-Stage Least Squares

from econometrust import TSLS

# Overidentified case (more instruments than regressors)
n = 300
Z = np.random.randn(n, 4)  # 4 instruments
u = np.random.randn(n)

# 2 endogenous regressors
X = Z @ [0.7, 0.5, 0.4, 0.3] + 0.6 * u + np.random.randn(n, 2) * 0.1
y = X @ [1.2, -0.8] + u + np.random.randn(n) * 0.1

# Fit TSLS model
model = TSLS(fit_intercept=True)
model.fit(Z, X, y)
print(model.summary())

Fixed Effects

from econometrust import FE

# Generate panel data: 100 entities, 8 time periods each
N, T = 100, 8
n_obs = N * T

# Entity identifiers
entity_id = np.repeat(np.arange(N), T)

# Generate data with entity fixed effects
np.random.seed(42)
alpha = np.random.randn(N) * 2.0  # Entity fixed effects
X = np.random.randn(n_obs, 3)

# Outcome with entity effects and time-varying component
y = np.repeat(alpha, T) + X @ [1.5, -2.0, 0.8] + np.random.randn(n_obs) * 0.1

# Fit Fixed Effects model with clustered standard errors
model = FE(robust=True)
model.fit(X, y, entity_id)
print(model.summary())

API Reference

Common Methods

All estimators share the following interface:

# Initialization
model = Estimator(fit_intercept=True)

# Fitting
model.fit(...)  # Parameters vary by estimator

# Prediction
predictions = model.predict(X)

# Results
print(model.summary())
model.coefficients          # Coefficient estimates
model.intercept             # Intercept term (if fitted)
model.residuals             # Residuals
model.r_squared             # R-squared
model.mse                   # Mean squared error
model.n_samples             # Number of observations
model.n_features            # Number of features

Statistical Inference

# Standard errors and significance tests
model.standard_errors()     # Standard errors
model.t_statistics()        # t-statistics
model.p_values()           # p-values
model.confidence_intervals(alpha=0.05)  # Confidence intervals

# Covariance matrix
model.covariance_matrix()   # Parameter covariance matrix

Estimator-Specific Parameters

OLS

OLS(fit_intercept=True, robust=False)
# robust: Use heteroskedasticity-robust (HC0) standard errors

WLS

WLS(fit_intercept=True)
model.fit(X, y, weights)    # weights: positive sample weights

GLS

GLS(fit_intercept=True)
model.fit(X, y, sigma)      # sigma: error covariance matrix

IV

IV(fit_intercept=True)
model.fit(instruments, regressors, targets)
# Requires: n_instruments == n_regressors (exactly identified)

TSLS

TSLS(fit_intercept=True)
model.fit(instruments, regressors, targets)
# Requires: n_instruments >= n_regressors (identified)

FE

FE(robust=False)
model.fit(X, y, entity_id)
# robust: Use clustered standard errors (cluster by entity)
# entity_id: Array of entity identifiers for panel structure

Output Example

The summary() method provides comprehensive regression output:

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

Dependent Variable: y              No. Observations: 100
Model: OLS                         Degrees of Freedom: 96
Method: Least Squares              R-squared: 0.830
Covariance Type: classical         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

Requirements

• Python 3.8+
• NumPy
• Rust toolchain (for building from source)

License

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

Links

• Repository
• Issues