Stats Regression panelregression

Home › Stats-Regression › Panel regression

PanelRegression

Panel regression: fixed effects, between, first-difference and random effects, at linearmodels parity.

public static class PanelRegression

Example — four entities over four years, fitted with entity effects.

using Lodestar.Stats.Regression;
using Lodestar.Stats.Regression.Panel;

int[] entities = [1, 1, 1, 1, 2, 2, 2, 2, 3, 3, 3, 3, 4, 4, 4, 4];
int[] periods = [2020, 2021, 2022, 2023, 2020, 2021, 2022, 2023, 2020, 2021, 2022, 2023, 2020, 2021, 2022, 2023];
double[] x = [0.5, 1.1, 1.9, 2.4, 1.2, 1.8, 2.9, 3.1, -0.3, 0.4, 0.8, 1.6, 2.0, 2.2, 3.1, 3.9];
double[] y = [2.1, 3.0, 4.2, 4.9, 4.4, 5.1, 6.8, 7.0, 0.2, 1.3, 1.7, 3.1, 6.1, 6.3, 7.9, 9.2];

var design = new PanelDesign(y, x, 1, entities, periods);

PanelSummary summary = PanelRegression.FixedEffects(design, new PanelOptions { EntityEffects = true });

double slope = summary.Coefficients[1];      // => 1.514261266…
double error = summary.StandardErrors[1];    // => 0.0373453132…
double within = summary.RSquaredWithin;      // => 0.9933538938…

Remarks — the rows may come in any order: they are sorted by entity, then period, before anything reads them, so a first difference is always taken between adjacent periods and Theta runs in ascending entity label. The coefficients run constant first, when PanelOptions.WithIntercept adds it, then the regressors. The default covariance is unadjusted and Debiased is on, as the reference's fit() defaults are, and an option the fit would not read is refused rather than ignored: effects outside FixedEffects, clusters without the clustered covariance, a kernel without Driscoll-Kraay.

Applies to — net10.0, netstandard2.0.

See also — PanelSummary, PanelOptions, the panel index.

Members

Member	What it does
PanelRegression.FixedEffects	Fits least squares with entity or time effects projected out.
PanelRegression.Between	Fits least squares on the entity means.
PanelRegression.FirstDifference	Fits least squares on differences between adjacent periods.
PanelRegression.RandomEffects	Fits the random-effects model by quasi-demeaning.