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bashtage / linearmodels

Additional linear models including instrumental variable and panel data models that are missing from statsmodels.

Home Page:https://bashtage.github.io/linearmodels/

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Extension: Interactive Fixed Effects model

ramonVDAKKER opened this issue · comments

commented

It would be great if the Interactive Fixed Effects specification (see Bai (2009); https://onlinelibrary.wiley.com/doi/10.3982/ECTA6135) could be included in the package (though it is, strictly speaking, not a linear model).