| Factor asset pricing | panel_asset_pricing | Linear factor models of test-asset returns: time-series regressions on traded factors, two-pass cross-sectional regressions (traded or non-traded factors, optional zero-beta rate) and GMM; risk premia with standard errors, betas, pricing errors and the J test of zero alphas. | 1 |
| Panel data and datasets | panel_data | Classic econometrics example datasets (wage panel, job training, Mroz, Card, fertility, birth weight, Fama-French portfolios, Munnell public capital, fringe benefits, MEPS) and simulated panels; panel structure, balance and within/between variation, demeaning, first differences and group means; HAC kernel weights and the automatic bandwidth. | 3 |
| Instrumental variables | panel_iv | Instrumental-variables regression for endogenous regressors: two-stage least squares, LIML and k-class (Fuller), GMM and continuously updated GMM with robust, HAC or clustered weighting, first-stage strength, over-identification (Sargan, Basmann, J) and endogeneity (Durbin, Wu-Hausman, C) tests, and side-by-side comparison of estimators. | 2 |
| Panel regression | panel_panel | Regressions on a long panel (entity x period): fixed effects with entity, time and other effects, random effects, between, first difference, pooled and Fama-MacBeth, with robust, one- or two-way clustered, Driscoll-Kraay and autocorrelation-robust errors; estimated effects; side-by-side comparison with a Hausman test; and regression absorbing high-dimensional fixed effects and interactions. | 6 |
| System regression | panel_system | Several linked regression equations estimated together: seemingly unrelated regressions (SUR/FGLS) with cross-equation constraints, three-stage least squares and system GMM for equations with endogenous regressors; residual covariance, system R² and tests of a diagonal covariance. | 1 |
