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systemgmmkit v0.5.0

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@Akanom Akanom released this 12 Jun 17:28
v0.5.0
815e538

systemgmmkit v0.5.0

This release adds native Windmeijer-corrected two-step covariance support for dynamic-panel GMM and documents benchmark-specific Stata xtabond2 parity for native System GMM.

Highlights

  • Native System GMM now supports Windmeijer-corrected two-step standard errors.
  • The certified benchmark matches Stata xtabond2 e(V) standard errors within a maximum relative difference of approximately 0.000579.
  • Native System GMM benchmark documentation now covers coefficients, raw residual moments (Z'u), group-scaled two-step weighting matrix (A2 / n_groups), Hansen J, and Windmeijer-corrected standard errors.
  • The old uncorrected two-step clustered covariance benchmark path is preserved through SYSTEMGMMKIT_NATIVE_WINDMEIJER=0.
  • Repository hygiene was improved by removing tracked parity/debug Python snapshots and restoring a clean Ruff/pytest/CI gate.

Validation status

The Windmeijer parity result is benchmark-specific. It should not be presented as universal Stata identity across all possible datasets, lag windows, missing-data patterns, instrument classifications, covariance assumptions, or finite-sample settings.

Installation

python -m pip install systemgmmkit==0.5.0

Recommended extras

python -m pip install "systemgmmkit[all]==0.5.0"
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