Greeners 🦀

Greeners is a high-performance, native Rust library for rigorous econometric analysis.

It provides a comprehensive suite of estimators for linear, non-linear, and structural models, prioritizing numerical stability, type safety, and correctness. Unlike wrappers around R or Python, Greeners implements estimators from scratch using the ndarray ecosystem and LAPACK backends.

✨ Features

• Linear Models:
  • Ordinary Least Squares (OLS)
  • Instrumental Variables (IV / 2SLS)
  • Panel Data Fixed Effects (Within Estimator)
• Robust Inference:
  • Heteroskedasticity Consistent (HC1 / White)
  • Heteroskedasticity and Autocorrelation Consistent (HAC / Newey-West)
• Discrete Choice (MLE):
  • Logit (Logistic Regression via Newton-Raphson)
  • Probit (Normal CDF via Newton-Raphson)
• Structural Models:
  • Generalized Method of Moments (GMM) - Two-Step Efficient Estimator
  • Hansen's J-Test for Overidentification
• Causal Inference:
  • Difference-in-Differences (Canonical 2x2 Design)
• Time Series Diagnostics:
  • Augmented Dickey-Fuller (ADF) Unit Root Test
  • Durbin-Watson Statistic

📦 Installation

Add this to your Cargo.toml:

[dependencies]
greeners = "0.1.0"
ndarray = "0.15" # Greeners uses ndarray types for input