linearmodels v6.2 (+19) (original) (raw)
Estimation and inference in some common linear models that are missing from statsmodels:
Panel Data Models
- Fixed Effects (PanelOLS)
- Random Effects (RandomEffects)
- First Difference (FirstDifferenceOLS)
- Between Estimation (BetweenOLS)
- Pooled OLS (PooledOLS)
- Fama-MacBeth Estimation (FamaMacBeth)
High-dimensional Regression
- Absorbing Least Squares (AbsorbingLS)
Single equation Instrumental Variables (IV) models
- Two-stage least squares (2SLS, IV2SLS)
- Limited Information ML (LIML, IVLIML)
- Generalized Method of Moments (GMM, IVGMM)
- Continuously Updating GMM (CUE-GMM, IVGMMCUE)
System Regression Estimators
- Seemingly Unrelated Regression (SUR, SUR)
- Three-stage Least Squares (3SLS, IV3SLS)
- Generalized Method of Moments System Estimator (GMM, IVSystemGMM)
Asset Pricing Model Estimation and Testing
Linear Factor Model (2-step, for traded or non-traded factors) (LinearFactorModel)
Linear Factor Model (GMM, for traded or non-traded factors) (LinearFactorModelGMM)
Linear factor model (1-step SUR, only for traded factors) (TradedFactorModel)