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Save spillz/5cab778e146e37020d16c40eba9d9839 to your computer and use it in GitHub Desktop.
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.
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.
Curious to know if you have developed this any further to allow for endogenous variables that are not the lag of the dependent variable?