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[WIP] Arellano bond panel data #421
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[WIP] Arellano bond panel data #421
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Hello @jaimeoliver1! Thanks for updating this PR. We checked the lines you've touched for PEP 8 issues, and found:
Comment last updated at 2022-07-15 10:05:55 UTC |
Can you run black and isort? |
Codecov Report
@@ Coverage Diff @@
## main #421 +/- ##
==========================================
- Coverage 99.58% 99.11% -0.48%
==========================================
Files 98 98
Lines 16899 20117 +3218
Branches 1987 2968 +981
==========================================
+ Hits 16829 19938 +3109
- Misses 30 142 +112
+ Partials 40 37 -3
Continue to review full report at Codecov.
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@bashtage I committed the file with the correct formatting |
I think the best way to test would be to take the Stata code as a reference and test the various outputs and options. |
Overall looks very good.
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Hi @bashtage, I've tried adding the stata tests, however I've no access to stata, so I would need a bit of help here.
Once the results are in the stata-panel-simulated-results.txt, I'll be able to implement some tests here |
Also, we fixed the linting error and silence the "\epsilon" issues. |
Thanks for following up. I can run Stata and generate results. |
Going to close and reopen to trigger a rebuild. |
Hi,
we have implemented the Arellano Bond estimator based on this previous implementation: https://gist.github.com/toobaz/6d01be09bbd56de7038fe8ff26780138.
We have two comments:
IVGMM
from thelinearmodels.iv.model
sub-module was the easiest option, but we are open to other options.This PR closes #95