(Not so) experimental draft package for high dimensional fixed effect estimation. Supports OLS, IV and Poisson regression and a range of inference procedures.
Project description
PyFixest
This is a draft package (no longer highly experimental) for a Python clone of the excellent fixest package. The package aims to mimic fixest
syntax and functionality as closely as possible. Fixed effects are projected out via the PyHDFE package. For a quick introduction, see the tutorial.
Functionality
At the moment, PyFixest
supports
- OLS and IV Regression
- Poisson Regression
- Multiple Estimation Syntax
- Several Robust and Cluster Robust Variance-Covariance Types
- Wild Cluster Bootstrap Inference (via wildboottest)
Installation
You can install the release version from PyPi
by running pip install pyfixest
or the development version from github.
News
PyFixest
now supports Poisson regression!
from pyfixest.estimation import fepois
from pyfixest.utils import get_data
pdata = get_data(model = "Fepois")
fitpois = fepois("Y~X1 | f1 + f2", vcov = {'CRV1':'group_id'}, data = pdata)
fitpois.summary()
# Model: Y~X1|f1+f2
# ###
#
# Model: Poisson
# Dep. var.: Y
# Fixed effects: f1+f2
# Inference: CRV1
# Observations: 997
#
# | Coefficient | Estimate | Std. Error | t value | Pr(>|t|) | 2.5 % | 97.5 % |
# |:--------------|-----------:|-------------:|----------:|-----------:|--------:|---------:|
# | X1 | -0.019 | 0.050 | -0.370 | 0.711 | -0.117 | 0.080 |
# ---
# Deviance: 1067.853
Quickstart
from pyfixest.estimation import feols
from pyfixest.utils import get_data
data = get_data()
# OLS Estimation
fit = feols("Y~X1 | csw0(f1, f2)", data = data, vcov = {'CRV1':'group_id'})
fit.summary()
# ###
#
# Model: OLS
# Dep. var.: Y
# Inference: CRV1
# Observations: 998
#
# | Coefficient | Estimate | Std. Error | t value | Pr(>|t|) | 2.5 % | 97.5 % |
# |:--------------|-----------:|-------------:|----------:|-----------:|--------:|---------:|
# | Intercept | 2.206 | 0.078 | 28.304 | 0.000 | 2.043 | 2.370 |
# | X1 | 0.358 | 0.051 | 6.962 | 0.000 | 0.250 | 0.466 |
# ---
# RMSE: 1.765 Adj. R2: 0.024 Adj. R2 Within: 0.024
# ###
#
# Model: OLS
# Dep. var.: Y
# Fixed effects: f1
# Inference: CRV1
# Observations: 997
#
# | Coefficient | Estimate | Std. Error | t value | Pr(>|t|) | 2.5 % | 97.5 % |
# |:--------------|-----------:|-------------:|----------:|-----------:|--------:|---------:|
# | X1 | 0.411 | 0.040 | 10.188 | 0.000 | 0.326 | 0.495 |
# ---
# RMSE: 1.421 Adj. R2: 0.048 Adj. R2 Within: 0.048
# ###
#
# Model: OLS
# Dep. var.: Y
# Fixed effects: f1+f2
# Inference: CRV1
# Observations: 997
#
# | Coefficient | Estimate | Std. Error | t value | Pr(>|t|) | 2.5 % | 97.5 % |
# |:--------------|-----------:|-------------:|----------:|-----------:|--------:|---------:|
# | X1 | 0.431 | 0.035 | 12.319 | 0.000 | 0.358 | 0.505 |
# ---
# RMSE: 1.2 Adj. R2: 0.07 Adj. R2 Within: 0.07
Standard Errors can be adjusted after estimation, "on-the-fly":
fit1 = fit.fetch_model(0)
fit1.vcov("hetero").tidy()
# Model: Y~X1
# ###
#
# Model: OLS
# Dep. var.: Y
# Inference: hetero
# Observations: 998
#
# | Coefficient | Estimate | Std. Error | t value | Pr(>|t|) | 2.5 % | 97.5 % |
# |:--------------|-----------:|-------------:|----------:|-----------:|--------:|---------:|
# | Intercept | 2.206 | 0.088 | 25.180 | 0.000 | 2.034 | 2.378 |
# | X1 | 0.358 | 0.068 | 5.254 | 0.000 | 0.224 | 0.491 |
# ---
# RMSE: 1.765 Adj. R2: 0.024 Adj. R2 Within: 0.024
Last, PyFixest
also supports IV estimation via three part formula syntax:
fit_iv = feols("Y ~ 1 | f1 | X1 ~ Z1", data = data)
fit_iv.summary()
# ###
#
# Model: IV
# Dep. var.: Y
# Fixed effects: f1
# Inference: CRV1
# Observations: 997
#
# | Coefficient | Estimate | Std. Error | t value | Pr(>|t|) | 2.5 % | 97.5 % |
# |:--------------|-----------:|-------------:|----------:|-----------:|--------:|---------:|
# | X1 | 0.479 | 0.096 | 4.979 | 0.000 | 0.282 | 0.676 |
# ---
Project details
Release history Release notifications | RSS feed
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Source Distribution
Built Distribution
Hashes for pyfixest-0.10.4-py3-none-any.whl
Algorithm | Hash digest | |
---|---|---|
SHA256 | 49d559d184180b729f42f489488c725a1746bba542a14d47621572859bb0e146 |
|
MD5 | f274377956c9ce49c707ca93368f8233 |
|
BLAKE2b-256 | 5e996d84b78abf95b6b2d6c4ac44abe668a37ed5426389ec6b15dab7e6cc1484 |