Linear Model Estimation

Note

Stable documentation for the latest release is located at doc. Documentation for recent developments is located at devel.

Estimation and inference in some common linear models:

Panel Data Models

• Fixed Effects (PanelOLS)
• Random Effects (RandomEffects)
• First Difference (FirstDifferenceOLS)
• Between Estimation (BetweenOLS)
• Pooled OLS (PooledOLS)
• Fama-MacBeth Estimation (FamaMacBeth)

Single equation Instrumental Variables (IV) models

• Two-stage least squares (2SLS, IV2SLS)
• Limited Information ML (LIML, IVLIML)
• Generalized Method of Moments (GMM, IVGMM)
• Continuously Updating GMM (CUE-GMM, IVGMMCUE)

System Regression Estimators

• Seemingly Unrelated Regression (SUR, SUR)
• Three-stage Least Squares (3SLS, IV3SLS)
• Generalized Method of Moments System Estimator (GMM, IVSystemGMM)

Asset Pricing Model Estimation and Testing

• Linear Factor Model (2-step, for traded or non-traded factors) (LinearFactorModel)
• Linear Factor Model (GMM, for traded or non-traded factors) (LinearFactorModelGMM)
• Linear factor model (1-step SUR, only for traded factors) (TradedFactorModel)

Contents:

• Instrumental Variable Estimation
• Panel Data Model Estimation
• Linear Factor Models for Asset Pricing
• System Regression Models
• Utilities
• Module Plans
• Contributing
• Change Log
• References

Indices and tables

• Index
• Module Index
• Search Page