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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
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Inference: Implement `vcovSUR` for seemingly unrelated regression #428

Open s3alfisc opened 5 months ago

s3alfisc commented 5 months ago

See the vcovSUR R package by @kylebutts here.

This will allow to compute simultaneous CIs for multiple estimations, i.e. regressions with two or more dependent variables and the linear projections DiD estimator (note that the Romano-Wolf procedure only produces p-values, not CIs).