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ENH: Linear IV Panel model estimation - interested in contributing

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评估

难度
4/5
预计耗时
一周以上
新手友好度
25/100
Issue 类型
功能
描述清晰度
需要澄清
活跃度
冷清
技术栈
python

调研方向

Discuss API design with maintainers first, following patterns from PanelOLS and IV2SLS. The work would add Linear IV Panel estimators (FE-2SLS, RE-2SLS, pooled IV) under linearmodels/panel/ or linearmodels/iv/ with tests validated against Stata and R.

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描述

I noticed in the project roadmap that Linear IV Panel model estimation is listed as "not started." I would like to take this on as a substantial contribution.

My plan would be to start with the core estimators (FE-2SLS, RE-2SLS, pooled IV) and build incrementally from there, with tests validated against Stata and R. I am familiar with the existing panel and IV modules in the codebase.

Before I start, a few questions:

  1. Do you have any preferences on the API design? I assume it should follow the same patterns as PanelOLS/IV2SLS (formula interface, .fit() returning a results object, etc.)
  2. Are there specific estimators you consider higher priority (e.g., Hausman-Taylor, Between-IV)?
  3. Should this live under linearmodels/iv/ or a new linearmodels/panel/iv/ subpackage?

Happy to discuss the design before writing code.

主要语言
Python
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  3. Fork 仓库,在一个分支上完成修改。
  4. 提交 Pull Request,并在描述里引用这个 Issue 编号。

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