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In OLS estimation, when the number of discrete factors in the model is large, the estimation is too slow.
It is better to add sparse solver to speedup the calculation because LSH of the model is spar…
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#269 will enable us to load regression **coefficients** from .csv files. But we could also use the stderr and possibly other columns from regressions results. If we use statsmodels internally (or othe…
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We will want to add some support for proportionality
- [ ] Implementation of proportionality metrics
- [ ] B-association regression tests
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We have been using the standard OLS version of R^2, which is 1-SSE/SST. However, as [~accountid:557058:48e89f1c-a013-4bf8-9fc5-3a33bb40825e] pointed out, this is not appropriate for non-linear models…
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Moving this point flagged up by @sultanorazbayev to the bug tracker for investigation.
The issue is with the line `NaiveForecaster(strategy='drift'))]), 'pipeline_y__forecaster__strategy': 'last'}`…
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### Description
In quantitative investment, it is often necessary to market value neutralize and industry neutralize the data, which requires the use of multiple linear regression to find the residua…
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Can you please support the IV regression for probit and logit in `feglm`? The basic idea for getting the IV estimators is to include the residuals from the first stage OLS into the second stage probit…
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Dear all,
I am a bit confused by the way R2 are computed. The goal of the within transformation is to add other fixed effects without using dummy variables that would increase a lot the time of th…
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This is a great notebook, enjoyed reading it. I do have one question that is really bugging me.
It is established that creating an auxiliary variable of revenue divided by cost:
```
df["rho"] …
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I wrote a tiny utility for performing a Fisher–Yates shuffle [here](https://github.com/Boarders/perfect-vector-shuffle). At first I wrote this using System.Random and StdGen but was informed this was …