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Linearmodels 4.5 release
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@bashtage bashtage released this 11 Dec 20:19
4.5
91fef62
  • Added System GMM estimator
  • Added automatic bandwidth for kernel-based GMM weighting estimators
  • Cleaned up HAC estimation across models
  • Added predict method to IV, Panel and System model to allow out-of-sample
    prediction and simplify retrieval of in-sample results
  • Fixed small issues with Fama-MacBeth which previously ignored weights
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