:hero: Models for panel data, system regression, instrumental variables and asset pricing.
.. image:: images/logo-text.svg
:width: 50%
:align: left
:alt: linearmodels logo
.. 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 (:class:`~linearmodels.panel.model.PanelOLS`)
* Random Effects (:class:`~linearmodels.panel.model.RandomEffects`)
* First Difference (:class:`~linearmodels.panel.model.FirstDifferenceOLS`)
* Between Estimation (:class:`~linearmodels.panel.model.BetweenOLS`)
* Pooled OLS (:class:`~linearmodels.panel.model.PooledOLS`)
* Fama-MacBeth Estimation (:class:`~linearmodels.panel.model.FamaMacBeth`)
**High-dimensional Regression**
* Absorbing Least Squares (:class:`~linearmodels.iv.absorbing.AbsorbingLS`)
**Single equation Instrumental Variables (IV) models**
* Two-stage least squares (2SLS, :class:`~linearmodels.iv.model.IV2SLS`)
* Limited Information ML (LIML, :class:`~linearmodels.iv.model.IVLIML`)
* Generalized Method of Moments (GMM, :class:`~linearmodels.iv.model.IVGMM`)
* Continuously Updating GMM (CUE-GMM, :class:`~linearmodels.iv.model.IVGMMCUE`)
**System Regression Estimators**
* Seemingly Unrelated Regression (SUR, :class:`~linearmodels.system.model.SUR`)
* Three-stage Least Squares (3SLS, :class:`~linearmodels.system.model.IV3SLS`)
* Generalized Method of Moments System Estimator (GMM, :class:`~linearmodels.system.model.IVSystemGMM`)
**Asset Pricing Model Estimation and Testing**
* Linear Factor Model (2-step, for traded or non-traded factors)
(:class:`~linearmodels.asset_pricing.model.LinearFactorModel`)
* Linear Factor Model (GMM, for traded or non-traded factors)
(:class:`~linearmodels.asset_pricing.model.LinearFactorModelGMM`)
* Linear factor model (1-step SUR, only for traded factors)
(:class:`~linearmodels.asset_pricing.model.TradedFactorModel`)
linearmodels
============
.. toctree::
:maxdepth: 1
:glob:
iv/index
panel/index
asset-pricing/index
system/index
utility
compatibility
plan
contributing
changes
references
Indices
=======
* :ref:`genindex`
* :ref:`modindex`