Module Plans

The plan for this modules is to add some key missing linear models. This plan is intentionally limited since there is no intention to replicate estimators available in statsmodels.



Least Squares Estimators

Asset Pricing

Dynamic Panel Data Models

Planned but not implemented

Panel Instrumental Variable Estimators

Planned but not implemented

System Estimation

  • Seemingly Unrelated Regression (SUR) Estimator - linearmodels.system.model.SUR

    • Multivariate OLS is supported as a special case of SUR. This method does not perform well on large datasets and should be improved by a special purpose implementation.

Instrumental Variable Estimators