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Add note on wald_test method to quickstart (or even a new notebook)? #545

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s3alfisc opened this issue Jul 11, 2024 · 2 comments · Fixed by #569
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Add note on wald_test method to quickstart (or even a new notebook)? #545

s3alfisc opened this issue Jul 11, 2024 · 2 comments · Fixed by #569
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docs Improvements or additions to documentation good first issue Good for newcomers

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@s3alfisc
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s3alfisc commented Jul 11, 2024

Context

Now that we've merged @Jayhyung's #536 , we should tell our users about the wald_test method.

Task

Either add a brief section on Wald tests to the quickstart.ipynb, or create a small vignette dedicated to Wald Tests. For quickstart.ipynb, smth along these lines should suffice:

import pyfixest as pf 

data = pf.get_data()
fit = pf.feols("Y ~ X1 + X2", data=data)
R = np.eye(3)
fit.wald_test(R = R, q = 2)

# statistic    14978.532559
# pvalue           0.000000
# dtype: float64

In a dedicated nb, we could provide a bit of background on Wald Tests, illustrate different constraints matrices R, and document the employed dof corrections.

@s3alfisc s3alfisc added docs Improvements or additions to documentation good first issue Good for newcomers labels Jul 11, 2024
@s3alfisc
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One user who I recall requesting support for Wald Tests at some point was @aeturrell =)

@Jayhyung
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I will take this one as I reviewed wald test quite heavily for #536, but it will take some time to do so ;). (I actually just cannot take my eyes off the papers on IV tests.)

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