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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Provide a OOP `numpy` API #515

Open s3alfisc opened 1 week ago

s3alfisc commented 1 week ago

Provide a pure numpy API to Feols, Fepois and Feiv.

s3alfisc commented 1 week ago

I'm making slow progress on this @apoorvalal:

%load_ext autoreload
%autoreload 2
from pyfixest.estimation.feols_ import Feols
#from pyfixest.estimation.fepois_ import Fepois
import pyfixest as pf

data = pf.get_data().dropna()
Y = data["Y"].to_numpy().reshape(-1, 1)
X = data[["X1", "X2"]].to_numpy()
f = data["f1"].to_numpy().reshape(-1, 1)

mod = Feols(Y=Y, X=X, fe=f, coefnames = ["X1", "X2"])
mod.fit()
mod.vcov("hetero")
mod.tidy()

produces image