kdaHDFE 0.5.0

High Dimensional Fixed effect modeling for genetic analysis

FixedEffectModel: A Python Package for Linear Model with High Dimensional Fixed Effects.

FixedEffectModel is a Python Package designed and built by Kuaishou DA ecology group. It provides solutions for linear model with high dimensional fixed effects,including support for calculation in variance (robust variance and multi-way cluster variance), fixed effects, and standard error of fixed effects. It also supports model with instrument variables (will upgrade in late Nov.2020).

This version was forked version of the original FixedEffectModel, which was altered to simplify it, add unitroot tests, fix runtime errors, and expand where relevant.

Installation

This version is not yet available via PyPi so instead you will need ot use:

pip install git+https://github.com/sbaker-dev/FixedEffectModel

Example

Unlike the original FixedEffectModel you must to use a formula akin to 'dependent variable ~ continuous variable|fixed_effect|clusters

from kdaHDFE import HDFE
import pandas as pd

df = pd.read_csv('yourdata.csv')

#define model
formula_without_iv = 'y~x+x2|id+firm|id+firm'
formula_without_cluster = 'y~x+x2|id+firm|0|(Q|W~x3+x4+x5)'
formula = 'y~x+x2|id+firm|id+firm|(Q|W~x3+x4+x5)'
result1 = HDFE(df, formula = formula, robust=False, epsilon = 1e-8, ps_def= True,max_iter = 1e6)

Requirements

• Python 3.6+
• Pandas and its dependencies (Numpy, etc.)
• Scipy and its dependencies
• statsmodels and its dependencies
• networkx

Citation

If you use FixedEffectModel in your research, please cite us as follows:

Kuaishou DA Ecology. FixedEffectModel: A Python Package for Linear Model with High Dimensional Fixed Effects.https://github.com/ksecology/FixedEffectModel,2020.Version 0.x

BibTex:

@misc{FixedEffectModel,
  author={Kuaishou DA Ecology},
  title={{FixedEffectModel: {A Python Package for Linear Model with High Dimensional Fixed Effects}},
  howpublished={https://github.com/ksecology/FixedEffectModel},
  note={Version 0.x},
  year={2020}
}

Feedback

This package welcomes feedback. If you have any additional questions or comments, please contact [e-mail].

Reference

[1] Simen Gaure(2019). lfe: Linear Group Fixed Effects. R package. version:v2.8-5.1 URL:https://www.rdocumentation.org/packages/lfe/versions/2.8-5.1

[2] A Colin Cameron and Douglas L Miller. A practitioner’s guide to cluster-robust inference. Journal of human resources, 50(2):317–372, 2015.

[3] Simen Gaure. Ols with multiple high dimensional category variables. Computational Statistics & Data Analysis, 66:8–18, 2013.

[4] Douglas L Miller, A Colin Cameron, and Jonah Gelbach. Robust inference with multi-way clustering. Technical report, Working Paper, 2009.

[5] Jeffrey M Wooldridge. Econometric analysis of cross section and panel data. MIT press, 2010.