linearmodels.panel.model.PanelOLS.from_formula

classmethod PanelOLS.from_formula(formula, data, *, weights=None, other_effects=None, singletons=True, drop_absorbed=False, check_rank=True)

Create a model from a formula

Parameters:

formulastr

Formula to transform into model. Conforms to formulaic formula rules with two special variable names, EntityEffects and TimeEffects which can be used to specify that the model should contain an entity effect or a time effect, respectively. See Examples.

dataarray_like

Data structure that can be coerced into a PanelData. In most cases, this should be a multi-index DataFrame where the level 0 index contains the entities and the level 1 contains the time.

weights: array_like

Weights to use in estimation. Assumes residual variance is proportional to inverse of weight to that the residual time the weight should be homoskedastic.

other_effectsarray_like

Category codes to use for any effects that are not entity or time effects. Each variable is treated as an effect.

singletonsbool

Flag indicating whether to drop singleton observation

drop_absorbedbool

Flag indicating whether to drop absorbed variables

check_rankbool

Flag indicating whether to perform a rank check on the exogenous variables to ensure that the model is identified. Skipping this check can reduce the time required to validate a model specification. Results may be numerically unstable if this check is skipped and the matrix is not full rank.

Returns:

PanelOLS

Model specified using the formula

Examples

>>> from linearmodels import PanelOLS
>>> from linearmodels.panel import generate_panel_data
>>> panel_data = generate_panel_data()
>>> mod = PanelOLS.from_formula("y ~ 1 + x1 + EntityEffects", panel_data.data)
>>> res = mod.fit(cov_type="clustered", cluster_entity=True)

Return type:

PanelOLS