Python Econometrics toolbox, requires NumPy
Install:
sudo python setup.py install
This is a collection of Python Econometrics functions.
least squares cointegration testing difference operator detrending A number of utility functions as well.
This project is a loose port of the Spatial Econometrics for Matlab by James P. LeSage's spatial-econometrics but for Python not Matlab. The port is based on the matrix and vector datatypes in NumPy, so you will need NumPy to use these tools. Extensive documentation on NumPy can be found here: http://numpy.scipy.org/ . Also if you are new to NumPy? but famaliar with Matlab, this page may be helpful. http://www.scipy.org/NumPy_for_Matlab_Users
The code currently has tested with Python 2.6, and 2.7 with Numpy 1.6.0.
The performance of this code is slower than Matlab, but it's free.
example:
>>> from pyconometrics import *
>>> from numpy import *
>>> x = matrix(random.random(9))
>>> y = matrix(random.random(9))
>>> cadf(x.H, y.H, 0, 1)
{'adf': -4.7107624192958664, 'alpha': -0.84577780823522175, 'nlag': 1, 'crit': matrix([[-4.02456, -3.40397, -3.08903, -0.99877, -0.63826, 0.09294]]), 'nvar': 1}