PyFixest 0.23.0

Hightlights

• PyFixest now includes Wald and F-Tests through the wald_test() method.
• The new Wald Test feature enables us to provide basic IV diagnostics on the first stage, thanks to a significant overhaul of the Feiv class internals.
• The pf.etable() function for regression output has been significantly enhanced for better aesthetics.
• We've greatly improved the speed of the predict() method.
• A new panelview function has been added to inspect staggered treatment rollouts in Difference-in-Differences studies.
• We've introduced new arguments to feols() and fepois(), including a "lean" argument to clear memory-heavy objects from Feols instances.
• RI support has been added for the rwolf function, for experimenters who want to control the family-wise error rate of their tests.
• An update() method has been implemented, which allows to update regression coefficients based on incoming data (useful for online learning setups).
• Additionally, new vignettes on regression tables and using PyFixest with the marginaleffects package have been added.

Take a look at the quickstart notebook for a brief intro to all new features.

Breaking Changes

• We're adjusting the default small sample corrections to exactly match the fixest defaults, and a new vignette demonstrates equivalence between fitting models via R-fixest and py-fixest =) This change will lead to minor differences in computed standard errors and vcov's between versions 0.22.0 and 0.23.0.

New Contributors

• @Jayhyung made their first contribution in #514
• @asteves made their first contribution in #520
• @saidamir made their first contribution in #513
• @rafimikail made their first contribution in #528
• @greenguy33 made their first contribution in #527
• @b-knight made their first contribution in #551

What's Changed

• update readme files by @s3alfisc in #511
• type hints for vcov_utils by @s3alfisc in #512
• Add "ri" resampling method to Romano-Wolf procedure, by @Jayhyung in #514
• docs: add Jayhyung as a contributor for code by @allcontributors in #516
• Bump urllib3 from 2.2.1 to 2.2.2 by @dependabot in #517
• Fix Contributing document format issue by @asteves in #520
• docs: add asteves as a contributor for doc by @allcontributors in #521
• Add 1st stage regression in Feiv class by @Jayhyung in #525
• Added solver to feols and created new test file for it by @saidamir in #513
• docs: add saidamir as a contributor for code by @allcontributors in #530
• [Issue-400] Implementing dynamic alpha for coefplot and iplot by @rafimikail in #528
• docs: add rafimikail as a contributor for code by @allcontributors in #535
• Mention self._vcov in docs by @greenguy33 in #527
• docs: add greenguy33 as a contributor for code, and doc by @allcontributors in #532
• Bump certifi from 2024.6.2 to 2024.7.4 by @dependabot in #538
• Add Notebook on Stargazer and pymarginaleffects support to the docs by @s3alfisc in #473
• fix typos by @s3alfisc in #540
• Add updates to wald_test method and unit testing files by @Jayhyung in #536
• Add lean function argument to feols(), fepois() by @s3alfisc in #548
• Vcov by @s3alfisc in #529
• Bknight regex migration by @b-knight in #551
• add pure numpy predict function that speeds up ~40x by @apoorvalal in #553
• more fleshed-out panelview implementation by @apoorvalal in #552
• lsqr() for fixed effects solver by @greenguy33 in #546
• fix another all-contributors bug by @s3alfisc in #560
• docs: add b-knight as a contributor for code by @allcontributors in #561
• add statsmodels support for stargazer by @s3alfisc in #564
• Add (robust) F statistics of weak iv test and change 1st stage reg code by @Jayhyung in #563
• implement update method for coef vector by @apoorvalal in #567
• Remove Stargazer Dependency by @s3alfisc in #568
• update readme by @s3alfisc in #570
• Revert "update readme" by @s3alfisc in #572
• update quickstart for IV first stage, diagnostics, Wald tests by @s3alfisc in #569
• Update wls types tests by @s3alfisc in #562
• Rerun vignette by @s3alfisc in #575
• Release 0.23 by @s3alfisc in #576

Full Changelog: v0.22.2...v0.23.0