6.6.3. statsmodels.sandbox.panel.panel_short¶
Panel data analysis for short T and large N
Created on Sat Dec 17 19:32:00 2011
Author: Josef Perktold License: BSD-3
starting from scratch before looking at references again just a stub to get the basic structure for group handling target outsource as much as possible for reuse
6.6.3.1. Notes¶
this is the basic version using a loop over individuals which will be more widely applicable. Depending on the special cases, there will be faster implementations possible (sparse, kroneker, ...)
the only two group specific methods or get_within_cov and whiten
6.6.3.2. Functions¶
sum_outer_product_balanced(x, n_groups) |
sum outerproduct dot(x_i, x_i.T) over individuals |
sum_outer_product_loop(x, group_iter) |
sum outerproduct dot(x_i, x_i.T) over individuals |
whiten_individuals_loop(x, transform, group_iter) |
apply linear transform for each individual |
6.6.3.3. Classes¶
GLS(endog, exog[, sigma, missing, hasconst]) |
Generalized least squares model with a general covariance structure. |
Group(group[, name]) |
|
GroupSorted(group[, name]) |
|
OLS(endog[, exog, missing, hasconst]) |
A simple ordinary least squares model. |
ShortPanelGLS(endog, exog, group[, sigma_i]) |
Short Panel with general intertemporal within correlation |
ShortPanelGLS2(endog, exog, group) |
Short Panel with general intertemporal within correlation |
Unit(endog, exog) |