24 lines
900 B
Text
24 lines
900 B
Text
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
|