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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Implement Solutions for Contamination Bias in Linear Regression #430

Open s3alfisc opened 1 month ago

s3alfisc commented 1 month ago

Implement solutions described in Goldsmith-Pinkham et al to "fix" the problem of "contamination bias". Of course, @matteocourthoud has a great explainer =) .

See the multe package for an R implementation.

For simplicity, it is likely best to add a multe() method to Feols.