Kevin Sheppard

How large are your clusters and how many do you have? The ratio of the variances looks a lot like 2. If use use xtreg in Stata, do you get...

You probably need `group_debias=True`. ```python mod = PanelOLS.from_formula("y ~ 1 + x", df) res = mod.fit(cov_type="clustered", cluster_entity=False, cluster_time=True, group_debias=True) res.summary ``` ```plaintext PanelOLS Estimation Summary ================================================================================ Dep. Variable: y R-squared:...

@NetanelRabinowitz This is such a useful hint. It would be great if this could be made into an automatic process somehow so that everything a particular debug config was run...

The ability to drop into an IPython debug console anywhere is a very powerful tool, and is a real USP of PyCharm.

> We might allow the user to start the debugger with IPython as a terminal though. Basically automate the workaround as described by @NetanelRabinowitz up above. I think this is...

Are there any tools that will help keep stubs in sync with pandas? When I went through io/stata.py there were a lot of changes since these were originally collatted.

1. I think it would be good idea for pandas to explicitly privatize things. Are are many objects that are clearly intended to be private but are not clearly marked...

You should discard the first d residuals for an ARIMA(p,d,q), at a minimum. However, the next p-1 are also somewhat suspect since they do not have the full complement of...

BTW this is another "gotcha" ``` ar.L1 0.9999 0.021 48.639 0.000 0.960 1.040 ma.L1 -0.9983 0.258 -3.876 0.000 -1.503 -0.493 ``` When AR and MA parameters have opposite signs, the...

Ultimately sm is a software package and we have to rely on user expertise and knowledge when it comes to use of the code. This said, if someone wanted to...