v0.5

IV Support

• Includes very basic support for IV estimation with one endogenous variable and one instrument.
• Inference: iid, HC1-3, CRV1.

Syntax for IV:

import pyfixest as pf
import numpy as np
from pyfixest.utils import get_data

data = get_data()

fixest = pf.Fixest(data = data)
fixest.feols("Y~X1 | csw0(X2, X3) | X1 ~ Z1", vcov = {'CRV1':'group_id'})
fixest.summary()

# ###
# 
# Model:  IV
# Dep. var.:  Y 
# Inference:  {'CRV1': 'group_id'}
# Observations:  1998
# 
#            Estimate  Std. Error    t value     Pr(>|t|)
# Intercept -3.941293    0.221354 -17.805377 2.442491e-15
#        X1 -0.265817    0.261940  -1.014803 3.203217e-01
# ---
# ###
# ...

What's Changed

• add codecov support by @s3alfisc in #69
• update docs + explicitly drop Intercept based on column name by @s3alfisc in #71
• update inference log in vcov method closing #61 by @s3alfisc in #73
• IV Functionality by @s3alfisc in #74

Full Changelog: v0.4.0...v0.5