Josef Perktold
Josef Perktold
some references (for the robust RLM case) http://scholar.google.com/scholar?cites=17895094206680664513&as_sdt=2005&sciodt=0,5&hl=en Question: if we impose a constraint and want to test inequalities, are we running into the parameter on the boundary of the...
(inequality constraints in wald test with multiple parameter is a difficult topic, open issues for it) see #1382 and related for general discussion one computational detail Shapiro, Alexander. 1985. “Asymptotic...
We have issues for using Mallow's or Schweppe's weights but I don't see any functional form for it. We need references and functions for those. Then we could use var...
related to #1379 more cov_types for RLM, M-estimators in general Arellano's slide referenced here https://github.com/statsmodels/statsmodels/issues/3335#issuecomment-268719056 http://www.cemfi.es/~arellano/survey-metrics-sep2014-tr.pdf use quantile regression as one of the examples. The section on cluster robust covariance...
followup to #696 specifically what inference can we use after estimation. question that I'm looking at right now is whether QuantReg should use t or normal distribution. (I'm adding a...
RLM has neither score, score_obs nor hessian Treating it as M/GMM estimator we need score_obs and hessian to compute generic sandwich cov_types. see #9190 and ... With score_obs and hessian...
I merged resistant estimators, S, MM for linear model. The starting sets use the most central exog observations (smallest Mahalanobis distance) These starting parameters will not work for nonlinear or...
This should be a curated list of related packages, especially to statistics and econometrics topics that statsmodels does not (yet) provide. (not complete adding links as found, not sorted and...
AFAICS, we don't have a t-distribution equivalent of the two functions `normal_power_het` and `normal_sample_size_one_tail` Also `ttest_power` might need a `ddof` keyword. However, I did not look right now how df...
this should add stepwise regression, sweep algorithm and sequential OLS see #1809 currently it is mainly a script I wrote in 2012 converted to a module and two unit tests...