mcreel/econometrics

Econometrics lecture notes with examples using the Julia language

econometrics's Issues

Having trouble with installation

I followed the installation instructions but then when I ran using Econometrics, it said it was precompiling the package and then it did not finish doing so for 5 minutes at which point I assumed it was not working.

Here is a screenshot that shows the output from the last step of the installation:

And here is a screenshot that shows the result of running the test you provide:

Any suggestions? Thanks!

econometrics.bib is a symlink that points to out-of-repo file

econometrics.bib was replaced with a symlink at 5591335 that points to the following file:

/home/michael/Dropbox/econometrics.bib

Precompiling of Econometrics fails

Trying to test this interesting new package.

using Econometrics

Info: Precompiling Econometrics [4d6a76a9-bfbc-5492-8924-cf6ed7875f06]
└ @ Base loading.jl:1242
┌ Warning: Package StatsModels does not have Compat in its dependencies:
│ - If you have StatsModels checked out for development and have
│ added Compat as a dependency but haven't updated your primary
│ environment's manifest file, try Pkg.resolve().
│ - Otherwise you may need to report an issue with StatsModels
└ Loading Compat into StatsModels from project dependency, future warnings for StatsModels are suppressed.
ERROR: LoadError: LoadError: UndefVarError: FormulaTerm not defined
Stacktrace:
[1] top-level scope at C:\Users\Denis\Documents\Finmod\econometrics-master\src\LinearRegression\ols.jl:34
[2] include at .\boot.jl:328 [inlined]
[3] include_relative(::Module, ::String) at .\loading.jl:1094
[4] include at .\Base.jl:31 [inlined]
[5] include(::String) at C:\Users\Denis\Documents\Finmod\econometrics-master\src\Econometrics.jl:1
[6] top-level scope at C:\Users\Denis\Documents\Finmod\econometrics-master\src\Econometrics.jl:25
[7] include at .\boot.jl:328 [inlined]
[8] include_relative(::Module, ::String) at .\loading.jl:1094
[9] include(::Module, ::String) at .\Base.jl:31
[10] top-level scope at none:2
[11] eval at .\boot.jl:330 [inlined]
[12] eval(::Expr) at .\client.jl:432
[13] top-level scope at .\none:3
in expression starting at C:\Users\Denis\Documents\Finmod\econometrics-master\src\LinearRegression\ols.jl:34
in expression starting at C:\Users\Denis\Documents\Finmod\econometrics-master\src\Econometrics.jl:25

Failed to precompile Econometrics [4d6a76a9-bfbc-5492-8924-cf6ed7875f06] to C:\Users\Denis.julia\compiled\v1.2\Econometrics\XQPLt.ji.

Stacktrace:
[1] error(::String) at .\error.jl:33
[2] compilecache(::Base.PkgId, ::String) at .\loading.jl:1253
[3] _require(::Base.PkgId) at .\loading.jl:1013
[4] require(::Base.PkgId) at .\loading.jl:911
[5] require(::Module, ::Symbol) at .\loading.jl:906
[6] top-level scope at In[2]:1

Also it should also be possible to check if Econometrics.jl is correctly installed by doing pkg> test Econometrics but this is also not possible.

DSGE example

Without going to MATLAB, the various estimation methods can be investigated directly with the current version of DSGE in Julia: https://github.com/FRBNY-DSGE/DSGE.jl .

The latest master does not test cleanly yet with Julia 1.+ but they say in the README that this is imminent!

Benchmarking between MATLAB and Julia can take place for some estimation methods.

Small mistake on page 10

The latest pdf has a small mistake on page 10.

Extend the optimisation methods to BlackBoxOptim

An important step forward with Julia in global optimisation is to consider BlackBoxOptim (https://github.com/robertfeldt/BlackBoxOptim.jl). It is very good at sorting out global versus local minima particularly when you have no idea what the starting values should be. See also https://docs.juliadiffeq.org/latest/analysis/parameter_estimation.html