* Fama-MacBath regression for panels
* Estimation of risk premix using linear asset pricing models
* 2-step estimation
* GMM
* Seemingly unrelated Regression for traded factors.
Package Description
Linear (regression) models for Python. Extends statsmodels to include Panel regression, instrumental variable and asset pricing model estimators:
Panel regression with fixed effects (maximum two-way)
First difference regression
Between estimator for panel data
Pooled regression for panel data
Two-stage Least Squares
Limited Information Maximum Likelihood
k-class Estimators
Generalized Method of Moments, also with continuously updating
Assset pricing model estimation and testing
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.
Note: Python 3.5+ only due to use of @ and keyword only inputs.