Fundamentals of Python for Financial Econometrics

Chapter 15: Regression and Econometrics with Python

What does a regression coefficient mean, and which assumptions are needed before it can support an economic claim?

Loading notebook...Estimate simple and multiple linear regressionscoefficients, interactions, and uncertaintyDiagnose residual patterns and heteroskedasticityexplanatory inference from predictive evaluation

Notebook lab guide

Related dataset

Ceteris Lab teaching sample

Estimated time

35 to 55 min

Packages

pandas, numpy, matplotlib, statsmodels, patsy

Expected output

A regression or inference table with coefficients, uncertainty, and short interpretation notes.

Learning goals

Load and inspect Ceteris Lab teaching sample.
Run the Python cells connected to Regression and Econometrics with Python.
Interpret the output using Estimate simple and multiple linear regressions and coefficients, interactions, and uncertainty.

Common errors

File not found: check that wage_sample.csv is installed or use the course data folder.
Package import error: use the browser notebook first, then download for local Jupyter if your local packages differ.
Column name error: compare your variable names with the dataset variables listed for this notebook.

Dataset path helper

import pandas as pd

df = pd.read_csv("/data/wage_sample.csv")
df.head()

Loading notebook runner...