Introduction to Python for Econometrics ... - GitHub Pages

[Pages:380]Introduction to Python for Econometrics, Statistics and Data Analysis

4th Edition

Kevin Sheppard University of Oxford Thursday 31st December, 2020

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?2020 Kevin Sheppard

Solutions and Other Material

Solutions Solutions for exercises and some extended examples are available on GitHub.

Introductory Course A self-paced introductory course is available on GitHub in the course/introduction folder. Solutions are available in the solutions/introduction folder.

Video Demonstrations The introductory course is accompanied by video demonstrations of each lesson on YouTube.

Using Python for Financial Econometrics A self-paced course that shows how Python can be used in econometric analysis, with an emphasis on financial econometrics, is also available on GitHub in the course/autumn and course/winter folders.

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Changes

Changes since the Fourth Edition

? Added a discussion of context managers using the with statement. ? Switched examples to prefer the context manager syntax to reflect best practices.

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Notes to the Fourth Edition

Changes in the Fourth Edition

? Python 3.8 is the recommended version. The notes require Python 3.6 or later, and all references to Python 2.7 have been removed.

? Removed references to NumPy's matrix class and clarified that it should not be used. ? Verified that all code and examples work correctly against 2020 versions of modules. The notable pack-

ages and their versions are: ? Python 3.8 (Preferred version), 3.6 (Minimum version) ? NumPy: 1.19.1 ? SciPy: 1.5.3 ? pandas: 1.1 ? matplotlib: 3.3

? Expanded description of model classes and statistical tests in statsmodels that are most relevant for econometrics. TODO

? Expanded the list of packages of interest to researchers working in statistics, econometrics and machine learning. TODO

? Introduced f-Strings in Section 21.3.3 as the preferred way to format strings using modern Python. ? Added minimize as the preferred interface for non-linear function optimization in Chapter 20. TODO

Changes since the Third Edition

? Verified that all code and examples work correctly against 2019 versions of modules. The notable packages and their versions are: ? Python 3.7 (Preferred version) ? NumPy: 1.16 ? SciPy: 1.3 ? pandas: 0.25 ? matplotlib: 3.1

? Python 2.7 support has been officially dropped, although most examples continue to work with 2.7. Do not Python 2.7 in 2019 for numerical code.

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? Small typo fixes, thanks to Marton Huebler. ? Fixed direct download of FRED data due to API changes, thanks to Jesper Termansen. ? Thanks for Bill Tubbs for a detailed read and multiple typo reports. ? Updated to changes in line profiler (see Ch. 23) ? Updated deprecations in pandas. ? Removed hold from plotting chapter since this is no longer required. ? Thanks for Gen Li for multiple typo reports. ? Tested all code on Pyton 3.6. Code has been tested against the current set of modules installed by conda

as of February 2018. The notable packages and their versions are: ? NumPy: 1.13 ? Pandas: 0.22

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