Module Reference¶
Models for Panel Data¶
| One- and two-way fixed effects estimator for panel data |
| One-way Random Effects model for panel data |
| Between estimator for panel data |
| First difference model for panel data |
| Pooled coefficient estimator for panel data |
| Pooled coefficient estimator for panel data |
Estimation Results¶
| Results container for Fama MacBeth panel data models |
| Results container for panel data models that do not include effects |
| Results container for panel data models that include effects |
| Results container for random effect panel data models |
| Comparison of multiple models |
| Compare the results of multiple models |
Panel Model Covariance Estimators¶
| Homoskedastic covariance estimation |
| Covariance estimation using White estimator |
| One-way (Rogers) or two-way clustered covariance estimation |
| Driscoll-Kraay heteroskedasticity-autocorrelation robust covariance estimation |
| Autocorrelation robust covariance estimation |
| HAC estimator for Fama-MacBeth estimator |
Panel Data Structures¶
| Abstraction to handle alternative formats for panel data |
| Convert a MI DataFrame to a 3-d structure where columns are items. |
Test Data Generation¶
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| Typed namedtuple to hold simulated panel data |