Release 4.13
This is a feature and bug release.
- Added
AbsorbingLS
which allows a large number of variables to be absorbed. This model can handle very high-dimensional dummy variables and has been tested using up to 1,000,000 categories in a data set
with 5,000,000 observations. - Fixed a bug when estimating weighted panel models that have repeated observations (i.e., more than one observation per entity and time id).
- Added
drop_absorbed
option toPanelOLS
which automatically drops variables that are absorbed by fixed effects. - Added optional Cythonized node selection for dropping singletons
- Added preconditioning to the dummy variable matrix when
use_lsmr=True
infit
. In models with many effects, this can reduce run time by a factor of 4 or more.