Module Plans¶

The plan for this modules is to add some key missing linear models. This plan is intentionally limited since there is no intention to replicate estimators available in statsmodels.

Univariate¶

• OLS - statsmodels.regression.linear_model.OLS

• WLS - statsmodels.regression.linear_model.WLS

• GLS - statsmodels.regression.linear_model.GLS

• 2SLS - linearmodels.iv.model.IV2SLS

• LIML/k-class - linearmodels.iv.model.IVLIML

• GMM IV Estimation - linearmodels.iv.model.IVGMM

• GMM-CUE Estimation - linearmodels.iv.model.IVGMMCUE

Panel¶

Least Squares Estimators¶

• Fixed Effects - linearmodels.panel.model.PanelOLS

• Random Effects - linearmodels.panel.model.RandomEffects

• Pooled - linearmodels.panel.model.PooledOLS

• Between - linearmodels.panel.model.BetweenOLS

• First Difference - linearmodels.panel.model.FirstDifferenceOLS

• Fama-MacBeth - linearmodels.panel.model.FamaMacBeth

Asset Pricing¶

• 2-step Linear Asset Pricing Model Estimation - linearmodels.asset_pricing.model.LinearFactorModel

• GMM Linear Asset Pricing Model Estimation - linearmodels.asset_pricing.model.LinearFactorModelGMM

• Linear Asset Pricing Model Estimation for Traded Factors - linearmodels.asset_pricing.model.TradedFactorModel

Dynamic Panel Data Models¶

Planned but not implemented

Panel Instrumental Variable Estimators¶

Planned but not implemented

System Estimation¶

• Seemingly Unrelated Regression (SUR) Estimator - linearmodels.system.model.SUR

  • Multivariate OLS is supported as a special case of SUR. This method does not perform well on large datasets and should be improved by a special purpose implementation.

Instrumental Variable Estimators¶

• Three-stage Least Squares (3SLS) Estimator - linearmodels.system.model.IV3SLS

• Generalized Method of Moments (GMM) System Estimation - linearmodels.system.model.IVSystemGMM