Time Series Regressions in Python with Statsmodels
Estimating time series regressions with Python and statsmodels
In this video, we'll see how we can use the statsmodels library to estimate time series regressions in Python for statistical inference, and how to estimate the most commonly used covariance estimators.
Specifically, we'll see how to estimate time series OLS regressions with:
OLS standard errors,
White standard errors,
Newey-West (HAC) standard errors.
👍 Please like if you found this video helpful, and subscribe to stay updated with my latest tutorials. 🔔
❤️ You can support this channel by buying me a ☕: https://buymeacoffee.com/codesfinance
For written instructions and additional details, check out my blog post: https://vincent.codes.finance/posts/t...
For the code, check out my GitHub repository: https://github.com/Vincent-Codes-Fina...
Video links:
linearmodels: https://www.statsmodels.org/
Open Source Asset Pricing: https://www.openassetpricing.com/
Kenneth R. French - Data Library: https://mba.tuck.dartmouth.edu/pages/...
🐍 More Vincent Codes Finance:
✍🏻 Blog: https://vincent.codes.finance
🐦 X: / codesfinance
🧵 Threads: https://www.threads.net/@codesfinance
😺 GitHub: https://github.com/Vincent-Codes-Finance
📘 Facebook: / 61559283113665
👨💼 LinkedIn: / vincent-codes-finance
🎓 Academic website: https://www.vincentgregoire.com/
🔖 Chapters:
00:00 Intro
00:44 Statsmodels
01:16 Test data
02:22 Importing statsmodels and data
06:10 Estimating time series regressions
07:31 White standard errors
09:08 Newey-West standard errors
10:48 Outro
#python #statsmodels #ols #econometrics #panels #timeseries #finance