Panel Regressions in Python with linearmodels смотреть онлайн

Estimating standard errors in panel data with Python and linearmodels

In this video, we'll cover the basics of panel data, panel regressions, and the importance of standard errors. We'll then dive into the linearmodels library, a powerful Python toolkit for panel data analysis.

We'll cover how to estimate standard errors in panel data with Python and the linearmodels library.

Specifically, we'll see how to estimate panel OLS regressions with:
- OLS standard errors,
- White standard errors,
- clustered standard errors, and
- Driscoll-Kraay standard errors.
-
We'll also see how to estimate Fama-MacBeth regressions with Newey-West standard errors.

👍 Please like if you found this video helpful, and subscribe to stay updated with my latest tutorials. 🔔

For written instructions, check out my blog post: https://vincent.codes.finance/posts/panel-ols-standard-errors/
For the code, check out my GitHub repository: https://github.com/Vincent-Codes-Finance/panel-standard-errors

Video links:
linearmodels: https://bashtage.github.io/linearmodels/
Mitchell Petersen's programming advice: https://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_programming.htm

Papers:
Petersen (2009): https://academic.oup.com/rfs/article-abstract/22/1/435/1585940
Fama-MacBeth (1973): https://www.journals.uchicago.edu/doi/abs/10.1086/260061
Newey-West (1987): https://www.jstor.org/stable/1913610
Driscoll-Kraay (1998): https://www.mitpressjournals.org/doi/abs/10.1162/003465398557825

Books:
Pesaran (2015): https://academic.oup.com/book/43485
Wooldridge (2010): https://mitpress.mit.edu/9780262232586/econometric-analysis-of-cross-section-and-panel-data/

More Vincent Codes Finance:
✍🏻 Blog: https://vincent.codes.finance
🐦 X: https://twitter.com/CodesFinance
🧵 Threads: https://www.threads.net/@codesfinance
😺 GitHub: https://github.com/Vincent-Codes-Finance

🔖 Chapters:
00:00 Intro
01:36 Panel data
04:12 Test data
05:21 linearmodels
07:50 Matrix notation
10:10 OLS regressions
13:20 White standard errors
14:48 Clustered standard errors
17:52 Fixed effects
19:34 Fama-MacBeth regressions
20:51 Newey-West standard errors
22:03 Driscoll-Kraay standard errors
22:42 Outro

#python #linearmodels #statsmodels #ols #econometrics #panels #finance