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Econometric tools for working with panel data and fixed effects

Project description

This package contains functionality useful for econometric work with panel data. Its name, originally standing for "high-dimensional fixed effects," is now misleading.

Useful features are

  • Groupby: A class allowing for fast operations similar to Pandas groupby-apply and groupby-transform functionality, but performing significantly faster with user-written functions. See documentation here.
  • find_collinear_cols and remove_collinear_cols: Functions for dealing with multicollinearity which operate quickly on CSC matrices.
  • make_lags: Makes within-group lags (frequently useful with panel data)

You can install hdfe through pip: "pip install hdfe"

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