Add linear models including instrumental variable and panel data models that are missing from statsmodels.
panel
regression
ols
gmm
iv
linear-models
asset-pricing
panel-data
fixed-effects
random-effects
instrumental-variable
statistical-model
between-estimator
first-difference
clustered-standard-errors
pooled-ols
panel-models
panel-regression
seemingly-unrelated-regression
fama-macbeth
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Updated
May 28, 2020 - Python
In performing some tests of pygmmis I have found that varying the
cutoffargument drastically changes the end result of fitting even with split-and-merge turned on (and exhaustive).My understanding of EM is that the responsibilities
r_ikare calculated for all data and all components. Why then, doespygmmisuse a cutoff to fit only to those data in the neighbourhood of each component? A