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Provide an API for linearmodels #3

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s3alfisc opened this issue Sep 25, 2022 · 1 comment · May be fixed by #7

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s3alfisc commented Sep 25, 2022

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amichuda commented Oct 11, 2022

sorry for the delay into getting this. I looked into linearmodels. All covariance type parameters are coming in through https://github.com/bashtage/linearmodels/blob/9cc61bdb9ffb27c005d022315636aaaf2aca6fda/linearmodels/panel/covariance.py#L719 and from there each covariance type class inherits from https://github.com/bashtage/linearmodels/blob/9cc61bdb9ffb27c005d022315636aaaf2aca6fda/linearmodels/panel/covariance.py#L38

I think our approach should then be to also inherit HomoskedasticCovariance and provide a plug and play way to just insert into linearmodels

Your implementation of boot_algo_3 is perfect to test this out. Will let you know how it goes!

amichuda linked a pull request

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add linearmodels covariance class #7

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amichuda added this to the v0.1 milestone

s3alfisc modified the milestones: v0.1 , v0.3

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