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global-include *.csv *.py *.dta *.ipynb | ||
global-include *.csv *.py *.dta *.ipynb *.png | ||
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include versioneer.py | ||
include linearmodels/_version.py | ||
include README.rst | ||
include README.md | ||
include requirements.txt | ||
include requirements-test-doc.txt | ||
include requirements-dev.txt | ||
include examples/*.ipynb | ||
recursive-include doc/source * | ||
recursive-include linearmodels/iv/tests * | ||
recursive-include linearmodels/tests * | ||
recursive-include linearmodels/datasets * | ||
recursive-include examples * |
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Linear Models | ||
============= | ||
|Build Status| |codecov| | ||
Linear (regression) models for Python. Extends | ||
`statsmodels <http://www.statsmodels.org>`__ 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 | ||
- **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) | ||
Designed to work equally well with NumPy, Pandas or xarray data. | ||
Panel models | ||
~~~~~~~~~~~~ | ||
Like `statsmodels <http://www.statsmodels.org>`__ to include, supports | ||
`patsy <https://patsy.readthedocs.io/en/latest/>`__ formulas for | ||
specifying models. For example, the classic Grunfeld regression can be | ||
specified | ||
.. code:: python | ||
import numpy as np | ||
from statsmodels.datasets import grunfeld | ||
data = grunfeld.load_pandas().data | ||
data.year = data.year.astype(np.int64) | ||
# MultiIndex, entity - time | ||
data = data.set_index(['firm','year']) | ||
from linearmodels import PanelOLS | ||
mod = PanelOLS(data.invest, data[['value','capital']], entity_effect=True) | ||
res = mod.fit(cov_type='clustered', cluster_entity=True) | ||
Models can also be specified using the formula interface. | ||
.. code:: python | ||
from linearmodels import PanelOLS | ||
mod = PanelOLS.from_formula('invest ~ value + capital + EntityEffect', data) | ||
res = mod.fit(cov_type='clustered', cluster_entity=True) | ||
The formula interface for ``PanelOLS`` supports the special values | ||
``EntityEffects`` and ``TimeEffects`` which add entity (fixed) and time | ||
effects, respectively. | ||
Instrumental Variable Models | ||
~~~~~~~~~~~~~~~~~~~~~~~~~~~~ | ||
IV regression models can be similarly specified. | ||
.. code:: python | ||
import numpy as np | ||
from linearmodels.iv import IV2SLS | ||
from linearmodels.datasets import mroz | ||
data = mroz.load() | ||
mod = IV2SLS.from_formula('np.log(wage) ~ 1 + exper + exper ** 2 + [educ ~ motheduc + fatheduc]', data) | ||
The expressions in the ``[ ]`` indicate endogenous regressors (before | ||
``~``) and the instruments. | ||
Installing | ||
---------- | ||
The latest release can be installed using pip | ||
.. code:: bash | ||
pip install linearmodels | ||
The master branch can be installed by cloning the repo and running setup | ||
.. code:: bash | ||
git clone https://github.com/bashtage/linearmodels | ||
cd linearmodels | ||
python setup.py install | ||
Documentation | ||
------------- | ||
`Stable Documentation <https://bashtage.github.io/linearmodels/doc>`__ | ||
is built on every tagged version using | ||
`doctr <https://github.com/drdoctr/doctr>`__. `Development | ||
Documentation <https://bashtage.github.io/linearmodels/devel>`__ is | ||
automatically built on every successful build of master. | ||
Plan and status | ||
--------------- | ||
Should eventually add some useful linear model estimators such as panel | ||
regression. Currently only the single variable IV estimators are | ||
polished. | ||
- Linear Instrumental variable estimation - **complete** | ||
- Linear Panel model estimation - **complete** | ||
- Fama-MacBeth regression - **complete** | ||
- Linear Factor Asset Pricing - **complete** | ||
- System regression - **complete** | ||
- Linear IV Panel model estimation - *not started* | ||
- Dynamic Panel model estimation - *not started* | ||
Requirements | ||
------------ | ||
Running | ||
~~~~~~~ | ||
With the exception of Python 3.5+, which is a hard requirement, the | ||
others are the version that are being used in the test environment. It | ||
is possible that older versions work. | ||
- **Python 3.5+**: extensive use of ``@`` operator | ||
- NumPy (1.11+) | ||
- SciPy (0.18+) | ||
- pandas (0.19+) | ||
- statsmodels (0.8+) | ||
- xarray (0.9+, optional) | ||
Testing | ||
~~~~~~~ | ||
- py.test | ||
Documentation | ||
~~~~~~~~~~~~~ | ||
- sphinx | ||
- guzzle\_sphinx\_theme | ||
- nbsphinx | ||
- nbconvert | ||
- nbformat | ||
- ipython | ||
- jupyter | ||
.. |Build Status| image:: https://travis-ci.org/bashtage/linearmodels.svg?branch=master | ||
:target: https://travis-ci.org/bashtage/linearmodels | ||
.. |codecov| image:: https://codecov.io/gh/bashtage/linearmodels/branch/master/graph/badge.svg | ||
:target: https://codecov.io/gh/bashtage/linearmodels | ||
Linear Models | ||
============= | ||
|
||
|Build Status| |codecov| | ||
|
||
Linear (regression) models for Python. Extends | ||
`statsmodels <http://www.statsmodels.org>`__ 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 | ||
|
||
- **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) | ||
|
||
Designed to work equally well with NumPy, Pandas or xarray data. | ||
|
||
Panel models | ||
~~~~~~~~~~~~ | ||
|
||
Like `statsmodels <http://www.statsmodels.org>`__ to include, supports | ||
`patsy <https://patsy.readthedocs.io/en/latest/>`__ formulas for | ||
specifying models. For example, the classic Grunfeld regression can be | ||
specified | ||
|
||
.. code:: python | ||
import numpy as np | ||
from statsmodels.datasets import grunfeld | ||
data = grunfeld.load_pandas().data | ||
data.year = data.year.astype(np.int64) | ||
# MultiIndex, entity - time | ||
data = data.set_index(['firm','year']) | ||
from linearmodels import PanelOLS | ||
mod = PanelOLS(data.invest, data[['value','capital']], entity_effect=True) | ||
res = mod.fit(cov_type='clustered', cluster_entity=True) | ||
Models can also be specified using the formula interface. | ||
|
||
.. code:: python | ||
from linearmodels import PanelOLS | ||
mod = PanelOLS.from_formula('invest ~ value + capital + EntityEffect', data) | ||
res = mod.fit(cov_type='clustered', cluster_entity=True) | ||
The formula interface for ``PanelOLS`` supports the special values | ||
``EntityEffects`` and ``TimeEffects`` which add entity (fixed) and time | ||
effects, respectively. | ||
|
||
Instrumental Variable Models | ||
~~~~~~~~~~~~~~~~~~~~~~~~~~~~ | ||
|
||
IV regression models can be similarly specified. | ||
|
||
.. code:: python | ||
import numpy as np | ||
from linearmodels.iv import IV2SLS | ||
from linearmodels.datasets import mroz | ||
data = mroz.load() | ||
mod = IV2SLS.from_formula('np.log(wage) ~ 1 + exper + exper ** 2 + [educ ~ motheduc + fatheduc]', data) | ||
The expressions in the ``[ ]`` indicate endogenous regressors (before | ||
``~``) and the instruments. | ||
|
||
Installing | ||
---------- | ||
|
||
The latest release can be installed using pip | ||
|
||
.. code:: bash | ||
pip install linearmodels | ||
The master branch can be installed by cloning the repo and running setup | ||
|
||
.. code:: bash | ||
git clone https://github.com/bashtage/linearmodels | ||
cd linearmodels | ||
python setup.py install | ||
Documentation | ||
------------- | ||
|
||
`Stable Documentation <https://bashtage.github.io/linearmodels/doc>`__ | ||
is built on every tagged version using | ||
`doctr <https://github.com/drdoctr/doctr>`__. `Development | ||
Documentation <https://bashtage.github.io/linearmodels/devel>`__ is | ||
automatically built on every successful build of master. | ||
|
||
Plan and status | ||
--------------- | ||
|
||
Should eventually add some useful linear model estimators such as panel | ||
regression. Currently only the single variable IV estimators are | ||
polished. | ||
|
||
- Linear Instrumental variable estimation - **complete** | ||
- Linear Panel model estimation - **complete** | ||
- Fama-MacBeth regression - **complete** | ||
- Linear Factor Asset Pricing - **complete** | ||
- System regression - **complete** | ||
- Linear IV Panel model estimation - *not started* | ||
- Dynamic Panel model estimation - *not started* | ||
|
||
Requirements | ||
------------ | ||
|
||
Running | ||
~~~~~~~ | ||
|
||
With the exception of Python 3.5+, which is a hard requirement, the | ||
others are the version that are being used in the test environment. It | ||
is possible that older versions work. | ||
|
||
- **Python 3.5+**: extensive use of ``@`` operator | ||
- NumPy (1.11+) | ||
- SciPy (0.18+) | ||
- pandas (0.19+) | ||
- statsmodels (0.8+) | ||
- xarray (0.9+, optional) | ||
|
||
Testing | ||
~~~~~~~ | ||
|
||
- py.test | ||
|
||
Documentation | ||
~~~~~~~~~~~~~ | ||
|
||
- sphinx | ||
- guzzle\_sphinx\_theme | ||
- nbsphinx | ||
- nbconvert | ||
- nbformat | ||
- ipython | ||
- jupyter | ||
|
||
.. |Build Status| image:: https://travis-ci.org/bashtage/linearmodels.svg?branch=master | ||
:target: https://travis-ci.org/bashtage/linearmodels | ||
.. |codecov| image:: https://codecov.io/gh/bashtage/linearmodels/branch/master/graph/badge.svg | ||
:target: https://codecov.io/gh/bashtage/linearmodels |
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