Introduction to Python for Econometrics, Statistics and Numerical Analysis: Fourth+ Edition
Python is a widely used general purpose programming language, which happens to be well suited to econometrics, data analysis and other more general numeric problems. These notes provide an introduction to Python for a beginning programmer. They may also be useful for an experienced Python programmer interested in using NumPy, SciPy, matplotlib and pandas for numerical and statistical analysis (if this is the case, much of the beginning can be skipped).
New material added to the fifth edition on September 2021.
Data and Notebooks¶
- Data and Code from the notes. These files are needed to run some of the code in the notes.
- The Fama-French data set is used in the asset-pricing examples.
- The FTSE 100 data from 1984 until 2012 is used in the GJR-GARCH example.
These notebooks contains the four extended examples from the Examples chapter.
- Estimation of a GJR-GARCH model (download)
- Estimation of risk premia using Fama-MacBeth (download)
- Estimation using the Generalized Method of Moments (GMM) (download)
- Outputting to LaTeX (download)