linearmodels.panel.model.FamaMacBeth.reformat_clusters

FamaMacBeth.reformat_clusters(clusters: ndarray | PanelData | DataArray | DataFrame | Series) PanelData

Reformat cluster variables

Parameters:
clusters: ndarray | PanelData | DataArray | DataFrame | Series

Values to use for variance clustering

Returns:

Original data with matching axis and observation dropped where missing in the model data.

Return type:

linearmodels.panel.data.PanelData

Notes

This is exposed for testing and is not normally needed for estimation