Feols: Jit compile collinearity detection in `_find_collinear_variables`

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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Feols: Jit compile collinearity detection in `_find_collinear_variables` #466

Open s3alfisc opened 1 month ago

s3alfisc commented 1 month ago

Context

The fuction _find_collinear_variables checks for multicollinearity using a cholesky decomposition. With many variables, it might become quite slow. One workaround is to jit compile it with numba.

To do

Jit-compile _find_collinar_variables.