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Demonstrate dynamic panel data estimation using IV in linearmodels
Is there any timeline on linearmodels introducing support? would be interested in collaborating if necessary
Is there any timeline on linearmodels introducing support? would be interested in collaborating if necessary
@jaimeoliver1 I think this is the related issue: bashtage/linearmodels#95
I don't have time to work on this but you have my blessing to use this code in any way you see fit. Also, to be clear I have no affiliation with either linearmodels or statsmodels projects. This code just scratched a personal itch.
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You might be interested in a couple of enhancements: https://gist.github.com/toobaz/6d01be09bbd56de7038fe8ff26780138/revisions
By the way: it would be great to turn this into an actual Python module - at least until linearmodels introduces support.