Add `solver` argument to `feols()`, `fepois()` APIs

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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Add `solver` argument to `feols()`, `fepois()` APIs #550

Open s3alfisc opened 2 months ago

s3alfisc commented 2 months ago

Context

@saidamir has added support for multiple solvers in #513. As a follow up, we should make these options available to users via the feols() and fepois() API.

Task

Add a "solver" argument to the feols and fepois APIs that allows users to select the solver of their choice.
Add integration tests to make sure that the different solvers produce equivalent results in tests/test_api.py .

saidamir commented 2 months ago

@s3alfisc can you please assign this ticket to me? thanks!

saidamir commented 2 months ago

@s3alfisc I see that the solver was added from feols to feiv and fepois classes already, so I don't have to do anything there. However, I need to update the test_api.py file to make sure that different solvers are tested. I am struggling with the environment and github sync right now, trying to figure out how to tackle the issues I have on my machine.

s3alfisc commented 2 months ago

Hi, I think there's a slight misunderstanding - the task would be to add a solver argument to the user-facing feols and fepois functions, not to the Feols and Fepois classes (which is what you implemented in the last PR). I.e. to add solver arguments to the functions defined here =)

saidamir commented 1 month ago

Got it. I am a bit under the water with job interviews and home takes, hopefully can contribute sooner the better. Lmk if it is urgent.

s3alfisc commented 1 month ago

No worries, not urgent at all =)