Estimation and inference in some common linear models that are missing from statsmodels:

Panel Data Models

• Fixed Effects (PanelOLS)

• Random Effects (RandomEffects)

• First Difference (FirstDifferenceOLS)

• Between Estimation (BetweenOLS)

• Pooled OLS (PooledOLS)

• Fama-MacBeth Estimation (FamaMacBeth)

High-dimensional Regression

• Absorbing Least Squares (AbsorbingLS)

Single equation Instrumental Variables (IV) models

• Two-stage least squares (2SLS, IV2SLS)

• Limited Information ML (LIML, IVLIML)

• Generalized Method of Moments (GMM, IVGMM)

• Continuously Updating GMM (CUE-GMM, IVGMMCUE)

System Regression Estimators

• Seemingly Unrelated Regression (SUR, SUR)

• Three-stage Least Squares (3SLS, IV3SLS)

• Generalized Method of Moments System Estimator (GMM, IVSystemGMM)

Asset Pricing Model Estimation and Testing

• Linear Factor Model (2-step, for traded or non-traded factors) (LinearFactorModel)

• Linear Factor Model (GMM, for traded or non-traded factors) (LinearFactorModelGMM)

• Linear factor model (1-step SUR, only for traded factors) (TradedFactorModel)

linearmodels¶

Indices¶

• Index

• Module Index