ANN: linearmodels 4.0

[Kevin Sheppard]

I'm happy to announce that the next release of linearmodels is ready. 

Package Description 
Linear (regression) models for Python. Extends statsmodels with Panel regression, instrumental variable estimators, system estimators and models for estimating asset prices:

New features:

• System estimation:
  
• Multiple OLS models
• Seemingly unrelated regression (SUR/SURE)
• Three-stage Least squares, a system IV estimator (3SLS)

Models:

• 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)

Full docs at

https://bashtage.github.io/linearmodels/doc/index.html

Designed to work equally well with NumPy, Pandas or xarray data.

A replacement for pandas now deprecated plm.PanelOLS. See http://bashtage.github.io/linearmodels/doc/panel/pandas.html for differences with the plm.PanelOLS.