[WIP] Arellano bond panel data

[jaimeoliver1]

Hi,

we have implemented the Arellano Bond estimator based on this previous implementation: https://gist.github.com/toobaz/6d01be09bbd56de7038fe8ff26780138. We have two comments:

• The AB estimator is a panel data model, but it builds on top of an IV model. Therefore, we have thought that importing IVGMM from the linearmodels.iv.model sub-module was the easiest option, but we are open to other options.
• We have not implemented any further tests, given that the model builds on top of already tested models. Any insight on what would the testing strategy be here?

This PR closes https://github.com/bashtage/linearmodels/issues/95

[pep8speaks]

Hello @jaimeoliver1! Thanks for updating this PR. We checked the lines you've touched for PEP 8 issues, and found:

• In the file linearmodels/panel/model.py:

Line 3142:57: W605 invalid escape sequence '\e' Line 3222:100: E501 line too long (122 > 99 characters) Line 3264:100: E501 line too long (121 > 99 characters) Line 3292:100: E501 line too long (103 > 99 characters)

Comment last updated at 2022-07-15 10:05:55 UTC

[bashtage]

Can you run black and isort?

[codecov[bot]]

Codecov Report

Merging #421 (0e9a902) into main (21d0591) will decrease coverage by 0.47%. The diff coverage is 18.48%.

@@            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     

Impacted Files	Coverage Δ
linearmodels/panel/model.py	93.74% <18.48%> (-5.59%)	:arrow_down:
linearmodels/__init__.py	83.33% <0.00%> (-14.23%)	:arrow_down:
linearmodels/shared/hypotheses.py	98.55% <0.00%> (-1.45%)	:arrow_down:
linearmodels/shared/utility.py	98.68% <0.00%> (-1.32%)	:arrow_down:
linearmodels/panel/data.py	99.38% <0.00%> (-0.62%)	:arrow_down:
linearmodels/panel/covariance.py	99.23% <0.00%> (-0.35%)	:arrow_down:
linearmodels/tests/panel/test_utility.py	99.49% <0.00%> (-0.01%)	:arrow_down:
linearmodels/iv/gmm.py	100.00% <0.00%> (ø)
linearmodels/iv/common.py	100.00% <0.00%> (ø)
... and 27 more

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[jaimeoliver1]

@bashtage I committed the file with the correct formatting

[bashtage]

I think the best way to test would be to take the Stata code as a reference and test the various outputs and options.

[bashtage]

Overall looks very good.

1. Need to add it to the docs.
2. Can you break these long comments that are making PEP unhappy.
3. Can you use a raw string r"Code with escape like \epsilon" to silence the other.

[jaimeoliver1]

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. I think the way to go would be starting by:

1. Add the examples in the documentation here. The dataset used in the docs can be found here

• xtabondnl(0/1).wl(0/2).(kys) yr1980-yr1984year, lags(2)

2. Generate the model results and add them to the results_file

Once the results are in the stata-panel-simulated-results.txt, I'll be able to implement some tests here

[jaimeoliver1]

Also, we fixed the linting error and silence the "\epsilon" issues. We also added documentation in the docstring. However, doc build is failing (even in master...)

[bashtage]

Thanks for following up. I can run Stata and generate results.

[bashtage]

Going to close and reopen to trigger a rebuild.