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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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Ritest: use `joblib` to parallelize iterations for randomization-t #733

Open s3alfisc opened 5 hours ago

s3alfisc commented 5 hours ago

We have recently added joblib as a dependency to parallelize bootstrap inference in the decompose() class.

We should make use of it in the ritest method as well, when we loop over pf.feols() when computing randomization inference via the "randomization-t" algo.

In a nutshell, we want to parallelize this for loop with joblib: https://github.com/py-econometrics/pyfixest/blob/611e5ccdfd2a52cd41890e328bb5358f7ed240c9/pyfixest/estimation/ritest.py#L83

s3alfisc commented 5 hours ago

Would this be of interest to either one of you @marcandre259 or @IshwaraHegde97?