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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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Fepois: More rigorous tests for separation #457

Open s3alfisc opened 1 month ago

s3alfisc commented 1 month ago

Context

In alignment with fixest, pyfixest currently only implements a very basic check for separation.

PyFixest currently implements the most basic separation check, which is equivalent to ppmlhdfe's separation(fe).

Ppmlhdfe implements three more separation checks; it would be nice if fepois() would support some of them.

For a primer on separation, see the primer on separation by the ppmlhdfe team.

To Do:

leostimpfle commented 3 weeks ago

I'd be interested in working on this

s3alfisc commented 3 weeks ago

Awesome, then I'll assign this issue to it. Maybe we could approach it one separation check at a time, with multiple PRs? This is just a suggestion, I am happy to follow your lead on how to structure the PR(s) =)

leostimpfle commented 3 weeks ago

Yes, seems sensible to do it method by method. I was thinking of initially focussing on ir (iterative rectifier) because it is recommended in combination with fe for regressions with many high-dimensional fixed effects.