linearmodels
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bashtage
Additional linear models including instrumental variable and panel data models that are missing from statsmodels.
Hi, we have implemented the Arellano Bond estimator based on this previous implementation: https://gist.github.com/toobaz/6d01be09bbd56de7038fe8ff26780138. We have two comments: - The AB estimator is a panel data model, but it builds...
This adds the Hausman specification test, commonly used to choose between a fixed effects model and a random effects model. The function includes the options `include_constant`, `sigmamore`, and `sigmaless` -...
Hi! I was trying to fit an IV2SLS model, but a LinAlgError: Eigenvalues did not converge was raised. The error happens when _estimate_kappa is called. More precisely, it happens because...
I do fixed effect regression (time effect+entity effect) with AbsorbingLS as well as PanelOLS, I get same coefficient while the standard errors seems to be quite different. I tried different...
Title. Nowadays, this test is even more important than the First Stage F. It'd be a great implementation.
I don't know if linearmodels accept the new GMM models - I reproduced the following paper (correction for finite error identification, and iterative updated GMM models dealing with cluster with...
Thanks for your attention. I got the error "ValueError: Model cannot be estimated. All blocks of time-series observations are rank deficient, and so it is not possible to estimate any...
Not sure if this falls in line with where you want this package to go, but given the recent slew of papers in the diff-in-diff literature, I was wondering if...
https://stackoverflow.com/questions/47645280/how-to-do-predict-for-linearmodels
