Py-linearmodels

Jul 20, 2023

Linear Panel, Instrumental Variable, Asset Pricing and other models

Linear regression models for Python. Extends statsmodels with Panel regression, instrumental variable estimators, system estimators and models for estimating asset prices

  • Panel models
    • Fixed effects maximum two-way
    • First difference regression
    • Between estimator for panel data
    • Pooled regression for panel data
    • Fama-MacBeth estimation of panel models
  • High-dimensional Regresssion
    • Absorbing Least Squares
  • Instrumental Variable estimators
    • Two-stage Least Squares
    • Limited Information Maximum Likelihood
    • k-class Estimators
    • Generalized Method of Moments, also with continuously updating
  • Factor Asset Pricing Models
    • 2- and 3-step estimation
    • Time-series estimation
    • GMM estimation
  • System Regression
    • Seemingly Unrelated Regression SUR/SURE
    • Three-Stage Least Squares 3SLS
    • Generalized Method of Moments GMM System Estimation


Checkout these related ports:
  • Zn_poly - C library for polynomial arithmetic
  • Zimpl - Language to translate the LP models into .lp or .mps
  • Zegrapher - Software for plotting mathematical objects
  • Zarray - Dynamically typed N-D expression system based on xtensor
  • Z3 - Z3 Theorem Prover
  • Yices - SMT solver
  • Yacas - Yet Another Computer Algebra System
  • Xtensor - Multi-dimensional arrays with broadcasting and lazy computing
  • Xtensor-python - Python bindings for xtensor
  • Xtensor-io - Xtensor plugin to read/write images, audio files, numpy npz and HDF5
  • Xtensor-blas - BLAS extension to xtensor
  • Xspread - Spreadsheet program for X and terminals
  • Xppaut - Graphical tool for solving differential equations, etc
  • Xplot - X11 plotting package
  • Xlife++ - XLiFE++ eXtended Library of Finite Elements in C++