6.6.3.3.6. statsmodels.sandbox.panel.panel_short.ShortPanelGLS2

class statsmodels.sandbox.panel.panel_short.ShortPanelGLS2(endog, exog, group)[source]

Short Panel with general intertemporal within correlation

assumes data is stacked by individuals, panel is balanced and within correlation structure is identical across individuals.

It looks like this can just inherit GLS and overwrite whiten

__init__(endog, exog, group)[source]

6.6.3.3.6.1. Methods

__init__(endog, exog, group)
fit()
fit_ols()
get_within_cov(resid)
whiten_groups(x, cholsigmainv_i)