paneltime 1.2.69

Panel regression simultaneously solving for ARIMA/GARCH and random/fixed effects.

Paneltime is a statistical tool for estimating regressions on datasets that:

• Are panels (have both a time and a group dimension)
• Are non-stationary in means (ARIMA)
• Are non-stationary in variance (GARCH)

Unlike any other statistical tool currently available, Paneltime simultaneously handles common timeseries problems (ARIMA/GARCH) and panel data sets consisting of several groups/individuals (random/fixed effects).

The package can also be used on pure panel data sets without ARIMA/GARCH or single time series data with ARIMA/GARCH problems.

Author: Espen Sirnes
Current version: 1.2.68

Installation

"pip install paneltime" for installation

Usage

Datasets are estimated with

paneltime.execute(model_string, dataframe, T,
						ID=None, HF=None,
						instruments=None)

It takes the following arguments:

• model_string: A string on the form 'Y ~ X1 + X2 + X3', where Y is the dependent and X1-X3 are the independents, as named in the dataframe (required)
• dataframe: a dataframe consisting of variables with the names used in model_string (required)
• T: the time identifier (required)
• ID: The group identifier (optional)
• HF: list with names of heteroskedasticity factors (optional)
• instruments: list with names of instruments (optional)

The model string

The model string can contain operations supported by the numpy package, using np as alias for numpy. For example np.abs(x) will result in a variable that is the absolute value of x.

Example using world bank data

{{< include example.py >}}

Download working example zip