Panel Data Model Estimation

The Introduction provides a brief overview of the available panel model estimators. Models for Panel Data contains a complete reference to available estimation methods. Estimation Results describes the results classes returned after estimating a model as well as model specification tests. The covariance estimators are presented in Panel Model Covariance Estimators.

Basic Examples shows basic usage of the models using examples from Wooldridge’s text books. Using Formulas shows how models can be specified using R-like formulas using patsy. Data Formats described the alternative formats that can be used when specifying models.

Formulas and Mathematical Detail contains a concise explanation of the formulas used in estimating parameters, estimating covariances and conducting hypothesis tests.

Implementation Choices describes some differences between the estimators in this package and other packages commonly used to estimate panel data models. Finally, Comparison with pandas PanelOLS and FamaMacBeth describes important differences to the now deprecated PanelOLS that was in the pandas.stats.plm modules until release 0.20.