py-econometrics / pyfixest

Fast High-Dimensional Fixed Effects Regression in Python following fixest-syntax
https://py-econometrics.github.io/pyfixest/
MIT License
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Feols: Implement R2 for WLS #348

Open s3alfisc opened 6 months ago

s3alfisc commented 6 months ago

Context

Implement support for R2 measures for weighted least squares.

So far, this is not implemented, as there are quite a few options out there. For details on what R's stats package does, see here. Likely fixest follows stats, which we would have to confirm.

To do

s3alfisc commented 3 months ago

Awesome 🎉 Thanks for taking it up!