py-econometrics / pyfixest

Fast High-Dimensional Fixed Effects Regression in Python following fixest-syntax
https://py-econometrics.github.io/pyfixest/pyfixest.html
MIT License
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Docs: Document Inference Defaults in `quickstart.ipynb` and docstrings #285

Open s3alfisc opened 7 months ago

s3alfisc commented 7 months ago

Context

Currently, the documentation is silent on standard error defaults - would be good to add notes to the feols() and fepois() docs.

In alignment with fixest, the behavior is the following:

feols("Y ~ X + C(f1)", data = data) # no fixed effect specified via two-part formula syntax -> iid inference
feols("Y ~ X | f1", data = data) # fixed effect specified via two-part formula syntax -> CRV1 inference clustered by f1
feols("Y ~ X | f1 + f2", data = data) # two fixed effects specified via two-part formula syntax -> CRV1 inference clustered by the first fixed effect f1

To do

NKeleher commented 7 months ago

@s3alfisc - I can pick this up as some initial docs work. I can likely get to it this week.