py311-linearmodels

Linear Panel, Instrumental Variable, Asset Pricing and other models

Linear (regression) models for Python. Extends statsmodels with Panel regression, instrumental variable estimators, system estimators and models for estimating asset prices: * Panel models: - Fixed effects (maximum two-way) - First difference regression - Between estimator for panel data - Pooled regression for panel data - Fama-MacBeth estimation of panel models * High-dimensional Regresssion: - Absorbing Least Squares * Instrumental Variable estimators - Two-stage Least Squares - Limited Information Maximum Likelihood - k-class Estimators - Generalized Method of Moments, also with continuously updating * Factor Asset Pricing Models: - 2- and 3-step estimation - Time-series estimation - GMM estimation * System Regression: - Seemingly Unrelated Regression (SUR/SURE) - Three-Stage Least Squares (3SLS) - Generalized Method of Moments (GMM) System Estimation