Fundamentals of Python for Financial Econometrics

Chapter 21: Inference, Robust Standard Errors, and Diagnostics

How certain should we be about an estimated coefficient?

Loading notebook...sampling uncertaintystandard errorst tests and confidence intervalsjoint F tests

Notebook lab guide

Related dataset

Ceteris Lab teaching sample

Estimated time

35 to 55 min

Packages

pandas, numpy, 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 Inference, Robust Standard Errors, and Diagnostics.
Interpret the output using sampling uncertainty and standard errors.

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()

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