linearmodels.panel.model.FirstDifferenceOLS¶
- class FirstDifferenceOLS(dependent, exog, *, weights=None, check_rank=True)[source]¶
First difference model for panel data
- Parameters
- dependentarray_like
Dependent (left-hand-side) variable (time by entity)
- exogarray_like
Exogenous or right-hand-side variables (variable by time by entity).
- weightsarray_like,
optional
Weights to use in estimation. Assumes residual variance is proportional to inverse of weight to that the residual time the weight should be homoskedastic.
Notes
The model is given by
\[\Delta y_{it}=\beta^{\prime}\Delta x_{it}+\Delta\epsilon_{it}\]- Attributes
formula
Formula used to construct the model
has_constant
Flag indicating the model a constant or implicit constant
not_null
Locations of non-missing observations
Methods
fit
(*[, cov_type, debiased])Estimate model parameters
from_formula
(formula, data, *[, weights, ...])Create a model from a formula
predict
(params, *[, exog, data, context])Predict values for additional data
reformat_clusters
(clusters)Reformat cluster variables
Properties
Formula used to construct the model
Flag indicating the model a constant or implicit constant
Locations of non-missing observations