Linearmodels 4.0 Release

New features:

• Three-stage Least Squares (3SLS) estimation of systems of IV equations

Other:

• Make xarray optional
• Small bug and documentation fixes

Linearmodels 3.5 Release

New features:

System Estimation

• Seemingly Unrelated Regression (SUR) Estimation

Other:

• Remove core dependency on pandas Panel which is scheduled to be removed

Linearmodels 3.0 Release

New features:

• Linear Asset Pricing Models
  • GMM
  • 2-step
  • Seemingly Unrelated Regression for Traded Factors
• Fama-MacBeth estimator for Panel models
• Autocorrelation (only) robust estimator for Panel models

Other:

• Doc improvements

Panel models

• Introduction of panel models -- fixed effects, random effects, between,
  first differecne and pooled OLS.
• Addition of two-way clustering to some of the IV models (2SLS, LIML)

First release

The instrumental variable estimators are tested and ready. The documentation is mostly complete although there is still work to do. The next release will feature Panel data models and more documentation.