blob: b3b8af3056c2db3c6a7d9db012d8d1d74f79c8b5 (
plain) (
blame)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
|
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
|
