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
pkg install py311-linearmodels