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py-econometrics / pyfixest

Fast High-Dimensional Fixed Effects Regression in Python following fixest-syntax
https://py-econometrics.github.io/pyfixest/
MIT License
152 stars 28 forks source link

Feols: Implement method for F / Wald Tests #280

Closed s3alfisc closed 2 months ago

s3alfisc commented 8 months ago

Context

Implement support for F & Wald Tests.

A basic implementation can be found here.

To do:

Vksingh306 commented 3 months ago

I would like to take this up.

s3alfisc commented 3 months ago

Super cool @Vksingh306! I will then assign this to you. Let me know if you run into any problems & feel free to open a PR rather earlier than later =)

For implementing tests, you can either use rpy2 as e.g. in here or create a static file of results via a package of your choice (clubSandwich is just a suggestion because it is a great package) as e.g. the tests for ritest. Those create a static data set via an R script here which is then loaded into python in the test file.

s3alfisc commented 3 months ago

Hi @Vksingh306, are you actively working on this? If not, would you mind if @Jayhyung would give this a try?

Vksingh306 commented 3 months ago

Hey sorry for the delay. Sure, please feel free to attempt the issue. I may not be able to get back to this for a few weeks.

Thanks.

On Wed, 3 Jul, 2024, 12:54 pm Alexander Fischer, @.***> wrote:

Hi @Vksingh306 https://github.com/Vksingh306, are you actively working on this? If not, would you mind if @Jayhyung https://github.com/Jayhyung would give this a try?

— Reply to this email directly, view it on GitHub https://github.com/py-econometrics/pyfixest/issues/280#issuecomment-2205278123, or unsubscribe https://github.com/notifications/unsubscribe-auth/AG76MHDOLDKP2UDIY77GUUTZKORJTAVCNFSM6AAAAABCYEHKIGVHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMZDEMBVGI3TQMJSGM . You are receiving this because you were mentioned.Message ID: @.***>

s3alfisc commented 2 months ago

Hi, closed with #531 =)