Version 3.0¶

• Added Fama-MacBeth estimator for panels

• Added linear factor models for asset pricing applications

  • Time-series estimation using traded factors

  • 2- and 3-step estimation using OLS

  • GMM Estimation

Version 2.0¶

• Added panel models – fixed effects, random effects, between, first difference and pooled OLS.

• Addition of two-way clustering to some of the IV models (2SLS, LIML)

Version 1.0¶

• Added Instrumental Variable estimators – 2SLS, LIML and k-class, GMM and continuously updating GMM.