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v0.6: IV Support
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@s3alfisc s3alfisc released this 21 May 16:50
· 715 commits to master since this release
v0.6
bab2999

Version 0.6 introduces support for IV estimation via 2SLS.

  • Syntax for IV estimation unambiguously follows fixest' syntax: you can specify IV estimation via a formula with depvar ~ exog.vars | fixed effect vars | endog.var ~ instruments. If no fixed effects is specified, just drop the second part of the formula.
  • It is possible to estimate over-identified models, but not possible to estimate models with more than one endogenous variable.
  • It is also not (yet) possible to combine IV estimation with multiple estimation syntax.
from pyfixest import Fixest
from pyfixest.utils import get_data

data = get_data()
data.head()

fixest = Fixest(data = data)
fixest.feols("Y ~ 1 | X2 | X1 ~ Z1 + Z2")
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