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Stable documentation for the latest release is located at doc. Documentation for recent developments is located at devel.

Estimation and inference in some common linear models that are missing from statsmodels:

Panel Data Models

High-dimensional Regression

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