Linearmodels

Latest version: v6.0

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4.5

* Added System GMM estimator
* Added automatic bandwidth for kernel-based GMM weighting estimators
* Cleaned up HAC estimation across models
* Added `predict` method to IV, Panel and System model to allow out-of-sample
prediction and simplify retrieval of in-sample results
* Fixed small issues with Fama-MacBeth which previously ignored weights

4.2

New features:

* System estimation using GMM when there are endogenous variables
* General clean up of HAC estimators
* Many typos fixed

4.1

Minor release to address PyPi and documentation issues

4.0

New features:

* Three-stage Least Squares (3SLS) estimation of systems of IV equations

Other:

* Make xarray optional
* Small bug and documentation fixes

3.5

New features:

System Estimation
* Seemingly Unrelated Regression (SUR) Estimation

Other:
* Remove core dependency on pandas Panel which is scheduled to be removed

3.0

New features:

* Linear Asset Pricing Models
* GMM
* 2-step
* Seemingly Unrelated Regression for Traded Factors
* Fama-MacBeth estimator for Panel models
* Autocorrelation (only) robust estimator for Panel models

Other:

* Doc improvements

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