Migrating from Stata to Python

Question

Some coworkers who have been struggling with STATA 11 are asking for my help to try to automate their laborious work. they mainly use 3 commands in stata:

tsset (sets a time series analysis)

as in: tsset year_column, yeary

varsoc (Obtain lag-order selection statistics for VARs)

as in: varsoc column_a column_b

vec (vector error-correction model)

as in: vec column_a column_b, trend(con) lags(1) noetable

---

Does anyone knows any scientic library that I can use through python for this same functionality? Thanks

Answer 1

I have absolutely no clue what any of those do, but NumPy and SciPy. Maybe Sage or SymPy.

Answer 2

I believe both scikits.timeseries and econpy / pytrix implement vector autoregression methods, but I haven't put either through their paces.

Answer 3

scikits.timeseries is mainly for data handling and has only some statistical, econometric analysis and no vectorautoregression. pytrix has some econometrics functions but also no VAR. (At least last time I looked.)

scikits.statsmodels and pandas both have VAR, pandas also does the data handling for time series. I haven't seen any vector error correction models in python yet, but scikits.statsmodels is getting close.

http://groups.google.ca/group/pystatsmodels?hl=en&pli=1