Index

A

absorbed_dependent (AbsorbingLS property) absorbed_effects (AbsorbingLSResults property) absorbed_exog (AbsorbingLS property) absorbed_rsquared (AbsorbingLSResults property) AbsorbingLS (class in linearmodels.iv.absorbing) AbsorbingLSResults (class in linearmodels.iv.absorbing) ACCovariance (class in linearmodels.panel.covariance) add_constraints() (IV3SLS method) (IVSystemGMM method) (SUR method)

all_params (FamaMacBethCovariance property) (FamaMacBethResults property) ALLOWED_KWARGS (ACCovariance attribute) (ClusteredCovariance attribute) (DriscollKraay attribute) (FamaMacBethCovariance attribute) (HeteroskedasticCovariance attribute) (HomoskedasticCovariance attribute) alphas (LinearFactorModelResults property) anderson_rubin (IVResults property) AttrDict (class in linearmodels.shared.utility)

B

bandwidth (FamaMacBethCovariance property) (GMMKernelCovariance property) (KernelCovariance property), [1] (KernelWeightMatrix property), [1] basmann (IVResults property)

basmann_f (IVResults property) betas (LinearFactorModelResults property) BetweenOLS (class in linearmodels.panel.model) breusch_pagan() (GMMSystemResults method) (SystemResults method)

C

c_stat() (IVGMMResults method) cat (Interaction property) clear() (AttrDict method) ClusteredCovariance (class in linearmodels.iv.covariance) (class in linearmodels.panel.covariance) (class in linearmodels.system.covariance) cols (IVData property) compare() (in module linearmodels.iv.results) conf_int() (AbsorbingLSResults method) (FamaMacBethResults method) (GMMSystemResults method) (IVGMMResults method) (IVResults method) (OLSResults method) (PanelEffectsResults method) (PanelResults method) (RandomEffectsResults method) (SystemResults method) config (ClusteredCovariance property) (HeteroskedasticCovariance property), [1] (HeteroskedasticWeightMatrix property), [1] (HomoskedasticCovariance property) (HomoskedasticWeightMatrix property), [1] (IVGMMCovariance property) (KernelCovariance property), [1] (KernelWeightMatrix property), [1] (OneWayClusteredWeightMatrix property) constraints (IV3SLS property) (IVSystemGMM property) (SUR property) cont (Interaction property) copy() (AttrDict method) (PanelData method) corr_squared_between (FamaMacBethResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) corr_squared_overall (FamaMacBethResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) corr_squared_within (FamaMacBethResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) count() (PanelData method) cov (AbsorbingLSResults property) (ACCovariance property) (ClusteredCovariance property), [1], [2] (DriscollKraay property) (FamaMacBethCovariance property) (FamaMacBethResults property) (GMMHeteroskedasticCovariance property) (GMMHomoskedasticCovariance property) (GMMKernelCovariance property) (GMMSystemResults property) (HeteroskedasticCovariance property), [1], [2], [3] (HomoskedasticCovariance property), [1], [2] (IVGMMCovariance property) (IVGMMResults property) (IVResults property) (KernelCovariance property), [1], [2] (LinearFactorModelResults property) (OLSResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) (SystemResults property)

cov_cluster() (in module linearmodels.shared.covariance) cov_config (AbsorbingLSResults property) (ClusteredCovariance property) (GMMHeteroskedasticCovariance property) (GMMHomoskedasticCovariance property) (GMMKernelCovariance property) (GMMSystemResults property) (HeteroskedasticCovariance property) (HomoskedasticCovariance property) (IVGMMResults property) (IVResults property) (KernelCovariance property) (OLSResults property) (SystemResults property) cov_estimator (AbsorbingLSResults property) (GMMSystemResults property) (IVGMMResults property) (IVModelComparison property) (IVResults property) (LinearFactorModelResults property) (OLSResults property) (PanelModelComparison property) (SystemResults property) cov_kernel() (in module linearmodels.shared.covariance) cov_type (AbsorbingLSResults property) (IVGMMResults property) (IVResults property) (OLSResults property) critical_values (InvalidTestStatistic property) (WaldTestStatistic property)

D

dataframe (PanelData property) debiased (AbsorbingLSResults property) (ClusteredCovariance property) (GMMSystemResults property) (HeteroskedasticCovariance property) (HomoskedasticCovariance property) (IVGMMCovariance property) (IVGMMResults property) (IVResults property) (KernelCovariance property) (OLSResults property) (SystemResults property) DEFAULT_KERNEL (ACCovariance attribute) (ClusteredCovariance attribute) (DriscollKraay attribute) (FamaMacBethCovariance attribute) (HeteroskedasticCovariance attribute) (HomoskedasticCovariance attribute) deferred_cov() (ACCovariance method) (ClusteredCovariance method) (DriscollKraay method) (FamaMacBethCovariance method) (HeteroskedasticCovariance method) (HomoskedasticCovariance method) demean() (PanelData method) dependent (AbsorbingLS property) df_absorbed (AbsorbingLSResults property)

df_model (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVResults property) (OLSResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) (SystemResults property) df_resid (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVResults property) (OLSResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) (SystemResults property) diagnostics (FirstStageResults property) DriscollKraay (class in linearmodels.panel.covariance) drop() (Interaction method) (IVData method) (PanelData method) dummies() (PanelData method) durbin() (IVResults method)

E

entities (PanelData property) entity_effects (PanelOLS property) entity_ids (PanelData property) entity_info (FamaMacBethResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) eps (ACCovariance property) (ClusteredCovariance property) (DriscollKraay property) (FamaMacBethCovariance property) (HeteroskedasticCovariance property) (HomoskedasticCovariance property) equation_labels (GMMSystemResults property) (SystemResults property)

equations (GMMSystemResults property) (SystemResults property) estimate_parameters() (IV2SLS static method) (IVGMM static method) (IVGMMCUE method) (IVLIML static method) estimated_effects (FamaMacBethResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) estimator_method (IVModelComparison property) (PanelModelComparison property) exog (AbsorbingLS property)

F

f_pooled (PanelEffectsResults property) f_statistic (AbsorbingLSResults property) (FamaMacBethResults property) (IVGMMResults property) (IVModelComparison property) (IVResults property) (OLSResults property) (PanelEffectsResults property) (PanelModelComparison property) (PanelResults property) (RandomEffectsResults property) f_statistic_robust (FamaMacBethResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) FamaMacBeth (class in linearmodels.panel.model) FamaMacBethCovariance (class in linearmodels.panel.covariance) FamaMacBethResults (class in linearmodels.panel.results) first_difference() (PanelData method) first_stage (IVGMMResults property) (IVResults property) FirstDifferenceOLS (class in linearmodels.panel.model) FirstStageResults (class in linearmodels.iv.results) fit() (AbsorbingLS method) (BetweenOLS method) (FamaMacBeth method) (FirstDifferenceOLS method) (IV2SLS method) (IV3SLS method) (IVGMM method) (IVGMMCUE method) (IVLIML method) (IVSystemGMM method) (LinearFactorModel method) (LinearFactorModelGMM method) (PanelOLS method) (PooledOLS method) (RandomEffects method) (SUR method) (TradedFactorModel method) fitted_values (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVResults property) (OLSResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) (SystemResults property)

formula (BetweenOLS property) (FamaMacBeth property) (FirstDifferenceOLS property) (IV2SLS property) (IV3SLS property) (IVGMM property) (IVGMMCUE property) (IVLIML property) (IVSystemGMM property) (LinearFactorModel property) (LinearFactorModelGMM property) (PanelOLS property) (PooledOLS property) (RandomEffects property) (SUR property) (TradedFactorModel property) from_formula() (BetweenOLS class method) (FamaMacBeth class method) (FirstDifferenceOLS class method) (IV2SLS static method) (IV3SLS class method) (IVGMM static method) (IVGMMCUE static method) (IVLIML static method) (IVSystemGMM class method) (LinearFactorModel class method) (LinearFactorModelGMM class method) (PanelOLS class method) (PooledOLS class method) (RandomEffects class method) (SUR class method) (TradedFactorModel class method) from_frame() (Interaction static method) full_summary (LinearFactorModelResults property)

G

general_demean() (PanelData method) generate_panel_data() (in module linearmodels.panel.utility) get() (AttrDict method) GMMHeteroskedasticCovariance (class in linearmodels.system.covariance)

GMMHomoskedasticCovariance (class in linearmodels.system.covariance) GMMKernelCovariance (class in linearmodels.system.covariance) GMMSystemResults (class in linearmodels.system.results) group_debias_coefficient() (in module linearmodels.shared.covariance)

H

has_constant (AbsorbingLS property) (AbsorbingLSResults property) (BetweenOLS property) (FamaMacBeth property) (FirstDifferenceOLS property) (IV2SLS property) (IV3SLS property) (IVGMM property) (IVGMMCUE property) (IVGMMResults property) (IVLIML property) (IVResults property) (IVSystemGMM property) (OLSResults property) (PanelOLS property) (PooledOLS property) (RandomEffects property) (SUR property)

hash (Interaction property) HeteroskedasticCovariance (class in linearmodels.asset_pricing.covariance) (class in linearmodels.iv.covariance) (class in linearmodels.panel.covariance) (class in linearmodels.system.covariance) HeteroskedasticWeightMatrix (class in linearmodels.iv.gmm) (class in linearmodels.system.gmm) HomoskedasticCovariance (class in linearmodels.iv.covariance) (class in linearmodels.panel.covariance) (class in linearmodels.system.covariance) HomoskedasticWeightMatrix (class in linearmodels.iv.gmm) (class in linearmodels.system.gmm)

I

idiosyncratic (AbsorbingLSResults property) (FamaMacBethResults property) (IVGMMResults property) (IVResults property) (OLSResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) included_effects (PanelEffectsResults property) index (PanelData property) individual (FirstStageResults property) instruments (AbsorbingLS property) Interaction (class in linearmodels.iv.absorbing) inv_jacobian (HeteroskedasticCovariance property) (KernelCovariance property) InvalidTestStatistic (class in linearmodels.shared.hypotheses) isnull (Interaction property) (IV2SLS property) (IVData property) (IVGMM property) (IVGMMCUE property) (IVLIML property) (PanelData property)

items() (AttrDict method) iterations (GMMSystemResults property) (IVGMMResults property) (SystemResults property) IV2SLS (class in linearmodels.iv.model) IV3SLS (class in linearmodels.system.model) IVData (class in linearmodels.iv.data) IVGMM (class in linearmodels.iv.model) IVGMMCovariance (class in linearmodels.iv.gmm) IVGMMCUE (class in linearmodels.iv.model) IVGMMResults (class in linearmodels.iv.results) IVLIML (class in linearmodels.iv.model) IVModelComparison (class in linearmodels.iv.results) IVResults (class in linearmodels.iv.results) IVSystemGMM (class in linearmodels.system.model)

J

j() (IVGMMCUE method) j_stat (GMMSystemResults property) (IVGMMResults property)

j_statistic (LinearFactorModelResults property) jacobian (HeteroskedasticCovariance property) (KernelCovariance property)

K

kappa (IVGMMResults property) (IVResults property) (OLSResults property) kernel (GMMKernelCovariance property) (KernelCovariance property), [1] (KernelWeightMatrix property) kernel_weight_bartlett() (in module linearmodels.iv.covariance)

kernel_weight_parzen() (in module linearmodels.iv.covariance) kernel_weight_quadratic_spectral() (in module linearmodels.iv.covariance) KernelCovariance (class in linearmodels.asset_pricing.covariance) (class in linearmodels.iv.covariance) (class in linearmodels.system.covariance) KernelWeightMatrix (class in linearmodels.iv.gmm) (class in linearmodels.system.gmm) keys() (AttrDict method)

L

labels (IVData property) likelihood_ratio() (GMMSystemResults method) (SystemResults method) LinearFactorModel (class in linearmodels.asset_pricing.model) LinearFactorModelGMM (class in linearmodels.asset_pricing.model) LinearFactorModelResults (class in linearmodels.asset_pricing.results) linearmodels.asset_pricing.covariance module linearmodels.asset_pricing.model module linearmodels.asset_pricing.results module linearmodels.iv.absorbing module linearmodels.iv.covariance module linearmodels.iv.data module linearmodels.iv.gmm module linearmodels.iv.model module linearmodels.iv.results module

linearmodels.panel.covariance module linearmodels.panel.data module linearmodels.panel.model module linearmodels.panel.results module linearmodels.panel.utility module linearmodels.system.covariance module linearmodels.system.gmm module linearmodels.system.model module linearmodels.system.results module linearmodels.utility module loglik (FamaMacBethResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property)

M

mean() (PanelData method) method (AbsorbingLSResults property) (GMMSystemResults property) (IVGMMResults property) (IVResults property) (OLSResults property) (SystemResults property) model (GMMSystemResults property) (SystemResults property) model_ss (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVResults property) (OLSResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) (SystemResults property) module linearmodels.asset_pricing.covariance linearmodels.asset_pricing.model linearmodels.asset_pricing.results linearmodels.iv.absorbing linearmodels.iv.covariance linearmodels.iv.data linearmodels.iv.gmm linearmodels.iv.model linearmodels.iv.results linearmodels.panel.covariance linearmodels.panel.data linearmodels.panel.model linearmodels.panel.results linearmodels.panel.utility linearmodels.system.covariance linearmodels.system.gmm linearmodels.system.model linearmodels.system.results linearmodels.utility

multivariate_iv() (IV3SLS class method) multivariate_ls() (SUR class method)

N

name (ACCovariance property) (ClusteredCovariance property) (DriscollKraay property) (FamaMacBethCovariance property) (FamaMacBethResults property) (HeteroskedasticCovariance property) (HomoskedasticCovariance property) (LinearFactorModelResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) ndarray (IVData property) ndim (IVData property) (PanelData property) nentity (PanelData property) nobs (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (Interaction property) (IVGMMResults property) (IVModelComparison property) (IVResults property) (LinearFactorModelResults property) (OLSResults property) (PanelData property) (PanelEffectsResults property) (PanelModelComparison property) (PanelResults property) (RandomEffectsResults property) (SystemResults property)

not_null (BetweenOLS property) (FamaMacBeth property) (FirstDifferenceOLS property) (PanelOLS property) (PooledOLS property) (RandomEffects property) notnull (IV2SLS property) (IVGMM property) (IVGMMCUE property) (IVLIML property) null (InvalidTestStatistic property) (WaldTestStatistic property) nvar (PanelData property)

O

OLSResults (class in linearmodels.iv.results) OneWayClusteredWeightMatrix (class in linearmodels.iv.gmm)

other_effects (PanelOLS property) other_info (PanelEffectsResults property)

P

pandas (IVData property) panel (PanelData property) PanelData (class in linearmodels.panel.data) PanelEffectsResults (class in linearmodels.panel.results) PanelModelComparison (class in linearmodels.panel.results) PanelOLS (class in linearmodels.panel.model) PanelResults (class in linearmodels.panel.results) param_names (IV3SLS property) (IVSystemGMM property) (SUR property) params (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVModelComparison property) (IVResults property) (LinearFactorModelResults property) (OLSResults property) (PanelEffectsResults property) (PanelModelComparison property) (PanelResults property) (RandomEffectsResults property) (SystemResults property) PooledOLS (class in linearmodels.panel.model) pop() (AttrDict method) popitem() (AttrDict method) predict() (BetweenOLS method) (FamaMacBeth method) (FamaMacBethResults method) (FirstDifferenceOLS method) (GMMSystemResults method) (IV2SLS method) (IV3SLS method) (IVGMM method) (IVGMMCUE method) (IVGMMResults method) (IVLIML method) (IVResults method) (IVSystemGMM method) (OLSResults method) (PanelEffectsResults method) (PanelOLS method) (PanelResults method) (PooledOLS method) (RandomEffects method) (RandomEffectsResults method) (SUR method) (SystemResults method)

pval (InvalidTestStatistic property) (WaldTestStatistic property) pvalues (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVModelComparison property) (IVResults property) (LinearFactorModelResults property) (OLSResults property) (PanelEffectsResults property) (PanelModelComparison property) (PanelResults property) (RandomEffectsResults property) (SystemResults property)

R

RandomEffects (class in linearmodels.panel.model) RandomEffectsResults (class in linearmodels.panel.results) reformat_clusters() (BetweenOLS method) (FamaMacBeth method) (FirstDifferenceOLS method) (PanelOLS method) (PooledOLS method) (RandomEffects method) reset_constraints() (IV3SLS method) (IVSystemGMM method) (SUR method) resid_ss (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVResults property) (OLSResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) (SystemResults property) resids (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVResults property) (OLSResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) (SystemResults property) resids() (AbsorbingLS method) (IV2SLS method) (IVGMM method) (IVGMMCUE method) (IVLIML method) residual_ss (LinearFactorModelResults property)

risk_premia (LinearFactorModelResults property) risk_premia_se (LinearFactorModelResults property) risk_premia_tstats (LinearFactorModelResults property) rows (IVData property) rsquared (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVModelComparison property) (IVResults property) (LinearFactorModelResults property) (OLSResults property) (PanelEffectsResults property) (PanelModelComparison property) (PanelResults property) (RandomEffectsResults property) (SystemResults property) rsquared_adj (AbsorbingLSResults property) (IVGMMResults property) (IVModelComparison property) (IVResults property) (OLSResults property) rsquared_between (FamaMacBethResults property) (PanelEffectsResults property) (PanelModelComparison property) (PanelResults property) (RandomEffectsResults property) rsquared_inclusive (PanelEffectsResults property) rsquared_overall (FamaMacBethResults property) (PanelEffectsResults property) (PanelModelComparison property) (PanelResults property) (RandomEffectsResults property) rsquared_within (FamaMacBethResults property) (PanelEffectsResults property) (PanelModelComparison property) (PanelResults property) (RandomEffectsResults property)

S

s (ClusteredCovariance property) (HeteroskedasticCovariance property), [1] (HomoskedasticCovariance property) (IVGMMCovariance property) (KernelCovariance property), [1] s2 (AbsorbingLSResults property) (ACCovariance property) (ClusteredCovariance property), [1] (DriscollKraay property) (FamaMacBethCovariance property) (FamaMacBethResults property) (HeteroskedasticCovariance property), [1] (HomoskedasticCovariance property), [1] (IVGMMCovariance property) (IVGMMResults property) (IVResults property) (KernelCovariance property) (OLSResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) sargan (IVResults property) setdefault() (AttrDict method) shape (IVData property) (PanelData property) sigma (ClusteredCovariance property) (GMMSystemResults property) (HeteroskedasticCovariance property) (HomoskedasticCovariance property) (KernelCovariance property) (SystemResults property) sigma() (HeteroskedasticWeightMatrix method) (HomoskedasticWeightMatrix method) (KernelWeightMatrix method) sparse (Interaction property)

square (HeteroskedasticCovariance property) (KernelCovariance property) stat (InvalidTestStatistic property) (WaldTestStatistic property) std_errors (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVModelComparison property) (IVResults property) (LinearFactorModelResults property) (OLSResults property) (PanelEffectsResults property) (PanelModelComparison property) (PanelResults property) (RandomEffectsResults property) (SystemResults property) summary (AbsorbingLSResults property) (FamaMacBethResults property) (FirstStageResults property) (GMMSystemResults property) (IVGMMResults property) (IVModelComparison property) (IVResults property) (LinearFactorModelResults property) (OLSResults property) (PanelEffectsResults property) (PanelModelComparison property) (PanelResults property) (RandomEffectsResults property) (SystemResults property) SUR (class in linearmodels.system.model) system_rsquared (GMMSystemResults property) (SystemResults property) SystemResults (class in linearmodels.system.results)

T

theta (RandomEffectsResults property) time (PanelData property) time_effects (PanelOLS property) time_ids (PanelData property) time_info (FamaMacBethResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) total_ss (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVResults property) (LinearFactorModelResults property) (OLSResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) (SystemResults property)

TradedFactorModel (class in linearmodels.asset_pricing.model) tstats (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVModelComparison property) (IVResults property) (LinearFactorModelResults property) (OLSResults property) (PanelEffectsResults property) (PanelModelComparison property) (PanelResults property) (RandomEffectsResults property) (SystemResults property)

U

update() (AttrDict method)

V

values() (AttrDict method) values2d (PanelData property) values3d (PanelData property)

variance_decomposition (PanelEffectsResults property) (RandomEffectsResults property) vars (PanelData property)

W

w (GMMSystemResults property) wald_test() (AbsorbingLSResults method) (FamaMacBethResults method) (IVGMMResults method) (IVResults method) (OLSResults method) (PanelEffectsResults method) (PanelResults method) (RandomEffectsResults method) WaldTestStatistic (class in linearmodels.shared.hypotheses) weight_config (GMMSystemResults property) (IVGMMResults property) weight_matrix (IVGMMResults property) weight_matrix() (HeteroskedasticWeightMatrix method), [1] (HomoskedasticWeightMatrix method), [1] (KernelWeightMatrix method), [1] (OneWayClusteredWeightMatrix method) weight_type (GMMSystemResults property) (IVGMMResults property)

weights (AbsorbingLS property) wooldridge_overid (IVResults property) wooldridge_regression (IVResults property) wooldridge_score (IVResults property) wresids (AbsorbingLSResults property) (FamaMacBethResults property) (GMMSystemResults property) (IVGMMResults property) (IVResults property) (OLSResults property) (PanelEffectsResults property) (PanelResults property) (RandomEffectsResults property) (SystemResults property) wresids() (AbsorbingLS method) (IV2SLS method) (IVGMM method) (IVGMMCUE method) (IVLIML method) wu_hausman() (IVResults method)