* 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
2.0
* Introduction of panel models -- fixed effects, random effects, between, first differecne and pooled OLS. * Addition of two-way clustering to some of the IV models (2SLS, LIML)
1.0
The instrumental variable estimators are tested and ready. The documentation is mostly complete although there is still work to do. The next release will feature Panel data models and more documentation.