Note
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
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)