Econometrics Python Packages

statsmodels

Statsmodels: statistical modeling and econometrics in Python

pmdarima

A statistical library designed to fill the void in Python's time series analysis capabilities, including the equivalent of R's auto.arima function.

statsforecast

Lightning ⚡️ fast forecasting with statistical and econometric models.

econml

ALICE (Automated Learning and Intelligence for Causation and Economics) is a Microsoft Research project aimed at applying Artificial Intelligence concepts to economic decision making. One of its goals is to build a toolkit that combines state-of-the-art machine learning techniques with econometrics in order to bring automation to complex causal inference problems. To date, the ALICE Python SDK (econml) implements orthogonal machine learning algorithms such as the double machine learning work of Chernozhukov et al. This toolkit is designed to measure the causal effect of some treatment variable(s) t on an outcome variable y, controlling for a set of features x.

hierarchicalforecast

Probabilistic Hierarchical forecasting 👑 with statistical and econometric methods.

pyfixest

Fast High-Dimensional Fixed Effects Regression in Python following fixest-syntax

doubleml

DoubleML - Double Machine Learning in Python

spreg

Spatial econometric regression in Python

mcp-stata

A lightweight Model Context Protocol (MCP) server for Stata. Execute commands, inspect data, retrieve stored results (r()/e()), and view graphs in your chat interface. Built for economists who want to integrate LLM assistance into their Stata workflow.

diff-diff

Difference-in-Differences causal inference in Python. Callaway-Sant'Anna, Synthetic DiD, Honest DiD, event studies. sklearn-like API, validated against R.

stata-mcp

Let LLM help you achieve your regression with Stata. Evolve from reg monkey to causal thinker.

fedfred

A feature-rich python package for interacting with the Federal Reserve Bank of St. Louis Economic Database: FRED

lightweight-mmm

LightweightMMM 🦇 is a lightweight Bayesian Marketing Mix Modeling (MMM) library that allows users to easily train MMMs and obtain channel attribution information.

ipeadatapy

ipeadatapy is a data and metadata extraction package made in Python using Ipeadata database official API. In it's essence it is an API wrapper.

wooldridge

A Python package containing 111 data sets of Introductory Econometrics: A Modern Approach (7th ed, J.M. Wooldridge)

nextstat

Universal differentiable statistical inference engine (Rust + GPU). High-performance Frequentist & Bayesian modeling, RL environments, and end-to-end optimization for Science, Pharma, and Finance

aigroup-econ-mcp

Econometrics MCP server with regression, causal inference, time series, panel data, and statistical analysis workflows.

syntheticcontrolmethods

A Python package for causal inference using Synthetic Controls

differences

difference-in-differences in Python

symbolicdsge

A linear DSGE engine with a fully symbolic and modifiable model backend. Includes symbolic regression-based equation augmentation capabilities.

fixedeffectmodel

Fixedeffectmodel: panel data modeling in Python

tedata

Scraper for Trading Economics

robynpy

Robyn is an experimental, AI/ML-powered and open sourced Marketing Mix Modeling (MMM) package from Meta Marketing Science. Our mission is to democratise modeling knowledge, inspire the industry through innovation, reduce human bias in the modeling process & build a strong open source marketing science community.

texiv

A machine learning–based method for transforming text into instrumental variables (IV).