Module Plans ------------ The plan for this modules is to add some key missing linear models. This plan is intentionally limited since there is no intention to replicate estimators available in statsmodels. Univariate ========== * OLS - :class:`statsmodels.regression.linear_model.OLS` * WLS - :class:`statsmodels.regression.linear_model.WLS` * GLS - :class:`statsmodels.regression.linear_model.GLS` * 2SLS - :class:`linearmodels.iv.model.IV2SLS` * LIML/k-class - :class:`linearmodels.iv.model.IVLIML` * GMM IV Estimation - :class:`linearmodels.iv.model.IVGMM` * GMM-CUE Estimation - :class:`linearmodels.iv.model.IVGMMCUE` Panel ===== Least Squares Estimators ************************ * Fixed Effects - :class:`linearmodels.panel.model.PanelOLS` * Random Effects - :class:`linearmodels.panel.model.RandomEffects` * Pooled - :class:`linearmodels.panel.model.PooledOLS` * Between - :class:`linearmodels.panel.model.BetweenOLS` * First Difference - :class:`linearmodels.panel.model.FirstDifferenceOLS` * Fama-MacBeth - :class:`linearmodels.panel.model.FamaMacBeth` Asset Pricing ************* * 2-step Linear Asset Pricing Model Estimation - :class:`linearmodels.asset_pricing.model.LinearFactorModel` * GMM Linear Asset Pricing Model Estimation - :class:`linearmodels.asset_pricing.model.LinearFactorModelGMM` * Linear Asset Pricing Model Estimation for Traded Factors - :class:`linearmodels.asset_pricing.model.TradedFactorModel` Dynamic Panel Data Models ************************* Planned but not implemented Panel Instrumental Variable Estimators ************************************** Planned but not implemented System Estimation ================= * Seemingly Unrelated Regression (SUR) Estimator - :class:`linearmodels.system.model.SUR` - Multivariate OLS is supported as a special case of SUR. This method does not perform well on large datasets and should be improved by a special purpose implementation. Instrumental Variable Estimators ******************************** * Three-stage Least Squares (3SLS) Estimator - :class:`linearmodels.system.model.IV3SLS` * Generalized Method of Moments (GMM) System Estimation - :class:`linearmodels.system.model.IVSystemGMM`