greeners 0.1.1

A high-performance native Rust library for econometrics (OLS, GMM, Logit/Probit, DiD, Time Series).
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Greeners: High-Performance Econometrics in Rust

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Greeners is a lightning-fast, type-safe econometrics library written in pure Rust. It provides a comprehensive suite of estimators for Cross-Sectional, Time-Series, and Panel Data analysis, leveraging linear algebra backends (LAPACK/BLAS) for maximum performance.

Designed for academic research, heavy simulations, and production-grade economic modeling.

🚀 Features

Cross-Sectional & General

  • OLS & GLS: Robust standard errors (White, Newey-West).
  • IV / 2SLS: Instrumental Variables for endogeneity correction.
  • Quantile Regression: Robust estimation via Iteratively Reweighted Least Squares (IRLS).
  • Discrete Choice: Logit and Probit models (Newton-Raphson MLE).
  • Diagnostics: R-squared, F-Test, T-Test, Confidence Intervals.

Time Series (Macroeconometrics)

  • Unit Root Tests: Augmented Dickey-Fuller (ADF).
  • VAR (Vector Autoregression): Multivariate modeling with Information Criteria (AIC/BIC).
  • VARMA: Hannan-Rissanen algorithm for ARMA structures.
  • VECM (Cointegration): Johansen Procedure (Eigenvalue decomposition) for I(1) systems.
  • Impulse Response Functions (IRF): Orthogonalized structural shocks.

Panel Data

  • Fixed Effects (Within): Absorbs individual heterogeneity.
  • Random Effects: Swamy-Arora GLS estimator.
  • Between Estimator: Long-run cross-sectional relationships.
  • Dynamic Panel: Arellano-Bond (Difference GMM) to solve Nickell Bias.
  • Panel Threshold: Hansen (1999) non-linear regime switching models.
  • Testing: Hausman Test for FE vs RE.

Systems of Equations

  • SUR: Seemingly Unrelated Regressions (Zellner).
  • 3SLS: Three-Stage Least Squares (System IV).

System Requirements (Pre-requisites)

Debian / Ubuntu / Pop!_OS:

sudo apt-get update sudo apt-get install gfortran libopenblas-dev liblapack-dev pkg-config build-essential

Fedora / RHEL / CentOS:

sudo dnf install gcc-gfortran openblas-devel lapack-devel pkg-config

Arch Linux / Manjaro:

sudo pacman -S gcc-fortran openblas lapack base-devel

macOS:

brew install openblas lapack

📦 Installation

Add this to your Cargo.toml:

[dependencies]
greeners = "0.1.0"
ndarray = "0.15"
# Note: You must have a BLAS/LAPACK provider installed on your system
ndarray-linalg = { version = "0.14", features = ["openblas"] }