Draft package for high dimensional fixed effect OLS estimation
Project description
PyFixest
coverage coverage 88% 88%This is a draft package (highly experimental!) for a Python clone of the excellent fixest package.
Fixed effects are projected out via the PyHDFE package.
For a quick introduction, see the tutorial.
from pyfixest import Fixest
from pyfixest.utils import get_data
data = get_data()
fixest = Fixest(data = data)
fixest.feols("Y~X1 | X2", vcov = "HC1")
fixest.summary()
# ### Fixed-effects: X2
# Dep. var.: Y
#
# Estimate Std. Error t value Pr(>|t|)
# X1 -0.103285 0.172956 -0.597172 0.550393
Support for more fixest formula-sugar is work in progress.
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