Metadata-Version: 2.1
Name: linearmodels
Version: 4.11
Summary: Instrumental Variable and Linear Panel models for Python
Home-page: http://github.com/bashtage/linearmodels
Author: Kevin Sheppard
Author-email: kevin.k.sheppard@gmail.com
License: NCSA
Keywords: linear models,regression,instrumental variables,IV,panel,fixed effects,clustered,heteroskedasticity,endogeneity,instruments,statistics,statistical inference,econometrics
Platform: UNKNOWN
Classifier: Development Status :: 5 - Production/Stable
Classifier: Intended Audience :: End Users/Desktop
Classifier: Intended Audience :: Financial and Insurance Industry
Classifier: Intended Audience :: Science/Research
Classifier: Programming Language :: Python :: 3.5
Classifier: Programming Language :: Python :: 3.6
Classifier: License :: OSI Approved
Classifier: Operating System :: MacOS :: MacOS X
Classifier: Operating System :: Microsoft :: Windows
Classifier: Operating System :: POSIX
Classifier: Programming Language :: Python
Classifier: Topic :: Scientific/Engineering
Requires-Dist: numpy (>=1.11)
Requires-Dist: pandas (>=0.19)
Requires-Dist: scipy (>=0.18)
Requires-Dist: patsy
Requires-Dist: statsmodels (>=0.8)
Requires-Dist: cached-property (>=1.5.1)

Linear Models
=============

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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)
   -  Generalized Method of Moments (GMM) System Estimation

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_effects=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 + EntityEffects', 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/>`__ 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 (1.12+)
-  SciPy (0.18+)
-  pandas (0.20+)
-  statsmodels (0.8+)
-  xarray (0.9+, optional)

Testing
~~~~~~~

-  py.test

.. _documentation-1:

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
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