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linearmodels

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Panel data, IV/GMM, system regression. PanelOLS (FE/RE), BetweenOLS, Fama-MacBeth, IV2SLS/LIML/GMM, SUR, 3SLS, Driscoll-Kraay SEs. Use for RE/between, system estimation, or GMM. Complements pyfixest (FE + DiD) and statsmodels (GLM + time series).

When to use

• Panel data estimation
• Random effects estimation
• Between or first-difference panel models
• System estimation (SUR, 3SLS)
• LIML/GMM instrumental variables
• Fama-MacBeth regressions
• Driscoll-Kraay standard errors
• Asset pricing tests

When not to use

• High-dimensional FE
• FE + IV
• DiD
• GLM
• Time series
• Complex probability survey inference

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