Model Overview and Status

This page contains an overview of models models available and missing in Statsmodels. Models have been categorized into 5 groups:

• Ready - The code has been tested, results are correct and the most useful features have been implemented. This does not necessarily imply that there are no TODO items or that it has all of the features of an alternative statistical software package.
• Incomplete - The code has been tested, results are correct but there are non-trivial missing features, for example standard errors.
• WIP - Work in progress, possibly in the sandbox or possibly in an unmerged branch. Models in this category should link to relevant information about the status of the code.
• Not started - There is no evidence that this model has been started, and so it is a good candidate for a contribution.
• ?? - Current status unknown

1. Cross-Section
   • OLS, GLS, WLS - Ready
   • Feasible GLS, GLSAR, GLSHet - Incomplete
   • 2SLS, IV GMM, LIML - Ready Incomplete
   • Quantile Regression - Ready
   • Generalized Linear Models (GLM) - Ready
   • Robust Linear Models - Ready
   • Limited Dependent Variable Models
     • Probit, Logit - Ready
     • Multinomial Regression - Ready
   • Count data
     • Poisson, Negative Binomial - Ready
     • Zero inflated, hurdle models - Barely started
2. Time Series
   • ARMA, ARIMA - Ready
   • Seasonal ARIMA - Ready
   • Unit Root Testing
     • Augmented Dickey Fuller - Ready
     • Phillips Perron - Not started
     • DF GLS - Not started
   • VAR
     • Granger Causality Testing - Ready
     • Impulse Responses - Ready
     • factor models - Not started
     • Factor Augmented VAR - Not started
   • statespace models
     • unobserved components - Ready
   • Cointegration Testing
     • Engle granger - ??
     • DOLS, FM-OLS - Not started
     • Joint Estimation of VECM - WIP ??
   • Univariate ARCH Models - Not started
   • Multivariate ARCH Models - Not started
3. Panel - WIP
   • Linear Panel data models - WIP
   • Generalized Estimating Equations (GEE) - Ready
   • Linear Mixed effects models - Ready (Incomplete)
   • Generalized Linear Mixed Effects models (Mixed GLM) - WIP
   • dynamic panel data (LIML or system GMM) - Missing
4. Systems of Equations
   • SUR, Simultaneous Equations, 3SLS - WIP
5. Microeconometrics (Other)
   • Nonparametric Estimation (Micro-type)
     • Kernel regression - Incomplete
     • Partial linear models - WIP
     • Generalized additive models - WIP
   • Propensity score matching - ??
   • Regression discontinuity - Not started
6. Scaffolding - These are not exactly models. Scaffolding contains more general components that can be used to create other models. For example, Non-linear Least Squares (NLLS), would be useful in creating a Box-Cox regression model.
   • NLLS - WIP
   • GMM - WIP
   • Bootstrapping