Module Reference

Models for Panel Data

PanelOLS(dependent, exog, *[, weights, ...])	One- and two-way fixed effects estimator for panel data
RandomEffects(dependent, exog, *[, weights, ...])	One-way Random Effects model for panel data
BetweenOLS(dependent, exog, *[, weights, ...])	Between estimator for panel data
FirstDifferenceOLS(dependent, exog, *[, ...])	First difference model for panel data
PooledOLS(dependent, exog, *[, weights, ...])	Pooled coefficient estimator for panel data
FamaMacBeth(dependent, exog, *[, weights, ...])	Pooled coefficient estimator for panel data

Estimation Results

FamaMacBethResults(res)	Results container for Fama MacBeth panel data models
PanelResults(res)	Results container for panel data models that do not include effects
PanelEffectsResults(res)	Results container for panel data models that include effects
RandomEffectsResults(res)	Results container for random effect panel data models
PanelModelComparison(results, *[, ...])	Comparison of multiple models
compare(results, *[, precision, stars])	Compare the results of multiple models

Panel Model Covariance Estimators

HomoskedasticCovariance(y, x, params, ...[, ...])	Homoskedastic covariance estimation
HeteroskedasticCovariance(y, x, params, ...)	Covariance estimation using White estimator
ClusteredCovariance(y, x, params, ...[, ...])	One-way (Rogers) or two-way clustered covariance estimation
DriscollKraay(y, x, params, entity_ids, ...)	Driscoll-Kraay heteroskedasticity-autocorrelation robust covariance estimation
ACCovariance(y, x, params, entity_ids, ...)	Autocorrelation robust covariance estimation
FamaMacBethCovariance(y, x, params, ...[, ...])	HAC estimator for Fama-MacBeth estimator

Panel Data Structures

PanelData(x[, var_name, convert_dummies, ...])	Abstraction to handle alternative formats for panel data
_Panel(df)	Convert a MI DataFrame to a 3-d structure where columns are items.

Test Data Generation

generate_panel_data([nentity, ntime, nexog, ...])	Parameters:
PanelModelData(data, weights, other_effects, ...)	Typed namedtuple to hold simulated panel data