linearmodels.panel.model.FamaMacBeth.reformat_clusters¶

FamaMacBeth.reformat_clusters(clusters: ndarray[tuple[int, ...], dtype[int64]] | PanelData | ndarray | DataArray | DataFrame | Series) → PanelData¶

Reformat cluster variables

Parameters:¶

clusters: ndarray[tuple[int, ...], dtype[int64]] | PanelData | ndarray | DataArray | DataFrame | Series¶

Values to use for variance clustering

Returns:¶

Original data with matching axis and observation dropped where missing in the model data.

Return type:¶

linearmodels.panel.data.PanelData

Notes

This is exposed for testing and is not normally needed for estimation