Alex
@s3alfisc.bsky.social
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Data Science, open source and economics. Developing pyfixest.
https://github.com/s3alfisc
PyFixest Sprint We will be doing a 3-day PyFixest sprint in two weeks - are there any features / regression-based methods widely useful to applied researchers you'd like us to explore/ add?
1 day ago
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@jacobtomlinson.dev
has been working on sphinx llm - core idea: provide a .md file for each page of your docs. Does this really help LLMs navigate the documentation? And what about an llms.txt? If yes, what are best practices?
github.com/NVIDIA/sphin...
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GitHub - NVIDIA/sphinx-llm: LLM extensions for Sphinx Documentation
LLM extensions for Sphinx Documentation. Contribute to NVIDIA/sphinx-llm development by creating an account on GitHub.
https://github.com/NVIDIA/sphinx-llm
3 days ago
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Strong agree. And do read the paper! It illustrates very nicely how much thought and creativity has gone into designing fixest's API and performance optimizations which are really the two things that make fixest as great.
add a skeleton here at some point
22 days ago
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Alex
Grant McDermott
27 days ago
Things are grim. But in more frivolous news...
@jamesbrandecon.bsky.social
and I have been chipping away at `dbreg`, a ๐ฆ for running big regression models on database backends. For the right kinds of problems, the speed-ups are near magical. Website:
grantmcdermott.com/dbreg/
#rstats
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dbreg
https://grantmcdermott.com/dbreg/
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Very flattering (and exciting!) to see that Claude Code, even though prompted to use other packages, decided that it was a good choice to fit a TWFE regression in Python via PyFixest =)
add a skeleton here at some point
about 2 months ago
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There is a new-ish Python package, moderndid, that implements almost all of the "modern" DiD estimators:
github.com/jordandekler...
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GitHub - jordandeklerk/moderndid: Python package implementing modern DiD estimators with diagnostic tools and sensitivity analysis.
Python package implementing modern DiD estimators with diagnostic tools and sensitivity analysis. - jordandeklerk/moderndid
https://github.com/jordandeklerk/moderndid
about 2 months ago
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TIL that `maketables` already supports regression tables via `typst`:
py-econometrics.github.io/maketables/d...
Happy holidays everyone! =)
about 2 months ago
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Btw, I think there is a great IO / market structure research question there based on GitHub data - has the incumbency effect of established OSS projects increased due to greater prominence in LLM training data?
add a skeleton here at some point
2 months ago
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As everyone is querying LLMs for research these days, sometimes I check PyFixest's SEO game by asking "How can I estimate fixed effects regression problems in Python?". GTP: a) linearmodels b) statsmodels c) hand rolled d) call Julia / R from Python. Pf not (yet) recommended for arcane reasons.
2 months ago
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reposted by
Alex
Grant McDermott
2 months ago
github.com/grantmcdermo...
๐
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Clustered standard errors by grantmcdermott ยท Pull Request #29 ยท grantmcdermott/dbreg
Closes #11 This PR adds support for analytic clustered standard errors. MWE NYC taxi example, taken from the (updated) README: dbreg( tip_amount ~ fare_amount + passenger_count | month + vendor_...
https://github.com/grantmcdermott/dbreg/pull/29
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Very quick support for CausalPy
@benvincent.bsky.social
. Draft PR will follow in a bit
add a skeleton here at some point
2 months ago
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`maketables` now has plug-in tooling - this means you can support maketables with your library without changing the maketables code base. This will hopefully be pretty useful for package developers, but also researchers developing their own estimators / in their own codebase.
2 months ago
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Alex
juanitorduz
3 months ago
Here is the recording of my talk PyData Berlin 2025: Introduction to Stochastic Variational Inference with NumPyro Notebook:
juanitorduz.github.io/intro_svi/
youtu.be/wG0no-mUMf0?...
#pydata
#berlin
#bayes
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Scaling Probabilistic Models with Variational Inference
YouTube video by PyData
https://youtu.be/wG0no-mUMf0?si=MOf5NdzqBLvaTMN9
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reposted by
Alex
Etienne Bacher
3 months ago
#rstats
Please welcome Jarl, a new R linter. Jarl is a CLI tool with extensions in VS Code, Positron, and Zed. It can check thousands of lines of R code in milliseconds. Jarl provides several output formats, a Github Actions workflow, and more. Blog post:
www.etiennebacher.com/posts/2025-1...
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Quickly added support for
@apoorvalal.com
's duckreg - took approximately 60 minutes!
github.com/py-econometr...
add a skeleton here at some point
3 months ago
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Our py-econometrics org has a new package: `maketables` is now installable from PyPi! You can create regression tables for PyFixest, statsmodels, linearmodels, and save them as html, latex, or word. github:
github.com/py-econometr...
docs:
py-econometrics.github.io/maketables/
3 months ago
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Alex
Demetri
3 months ago
Trying to learn more about fixed effects. I wrote this for me, maybe this is useful for you too
dpananos.github.io/posts/2025-1...
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Demetri Pananos Ph.D - How to Fit a Generalized Linear Model with Fixed Effects (Pt 1)
https://dpananos.github.io/posts/2025-11-12-glmfe/
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I am very happy that ๐ฃ๐๐๐ถ๐ ๐ฒ๐๐ ๐ฌ.๐ฐ๐ฌ.๐ฌ/๐ฌ.๐ฐ๐ฌ.๐ญ is now available on PyPi! The release includes a few technical changes and exciting new features =)
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LinkedIn
This link will take you to a page thatโs not on LinkedIn
https://lnkd.in/eEdzuVvq
3 months ago
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Got a new PC and getting back to pyfixest dev is a breeze with pixi (via conda-forge, which seems to get too little love?). This just works: clone pf, install pixi, type pixi r tests in the shell, and then pixi installs Python, R, all Python and R deps, all R deps, and then starts running tests.
5 months ago
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reposted by
Alex
Laurent Bergรฉ
5 months ago
#rstats
#econsky
fixest v0.13.0 is finally out! It's still about making OLS and GLM estimations easy. Some major changes: - *default* VCOV becomes iid always! - singletons are removed by default! See all the changes here:
github.com/lrberge/fixe...
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fixest: Fast Fixed-Effects Estimations
Fast and user-friendly estimation of econometric models with multiple fixed-effects. Includes ordinary least squares (OLS), generalized linear models (GLM) and the negative binomial. The core of the p...
https://cran.r-project.org/web/packages/fixest/index.html
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reposted by
Alex
Grant McDermott
7 months ago
#rstats
#econsky
PSA: The next release of `fixest` will include some important changes (plus cool new features). E.g. Fixed-effects regs will now default to 'iid' SEs rather than clustered.
github.com/lrberge/fixe...
You can install and test drive the dev version from R-universe; see the README.
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Vis method for decomposition now merged to main, feedback welcome!
add a skeleton here at some point
6 months ago
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Love to see this, of course =)
add a skeleton here at some point
6 months ago
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Currently revamping the default output view for the Gelbach Decomposition. Goal is to help both academics but also data scientists in industry to communicate results easily. Are the column and panel headers immediately clear? Any better way to summarize decomp results?
7 months ago
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Really awesome new formulaic feature! We'll update pyfixest to make it happen (and might get some perf improvements thanks to polars along the way).
add a skeleton here at some point
7 months ago
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๐๐ฒ๐ ๐ข๐ฑ๐๐ฌ๐ญ 0.30.1 is on ๐๐ฒ๐๐ข and I am extremely happy with this release, mostly because of two ๐ง๐๐ฐ ๐๐๐๐ญ๐ฎ๐ซ๐๐ฌ: a Rust back end for all performance critical parts and quantile regression.
8 months ago
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reposted by
Alex
apoorva lal
8 months ago
nerdsniped by
@s3alfisc.bsky.social
's pyfixest quantile regression PR into implementing a bunch of QR solution methods. Anyone have strong views on these things [was taught the LP one and good alt solvers exist, FN - which is implemented in quantreg - is very fast]
gist.github.com/apoorvalal/3...
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benchmark_qr.ipynb
GitHub Gist: instantly share code, notes, and snippets.
https://gist.github.com/apoorvalal/3e18eea79c6e9e8e8ee380e0fc0bab1f
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reposted by
Alex
apoorva lal
9 months ago
Presenting an invitation to the open source python econometrics ecosystem with
@s3alfisc.bsky.social
on Thursday at a NABE webinar. Please come [and/or send us PRs!] They also have talks from
@jondr44.bsky.social
and
@lihualei.bsky.social
lined up for later in the summer
nabe.com/NABE/Events/...
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Great slides! ... and we have a Python implementation for you in pyfixest:
py-econometrics.github.io/pyfixest/ref...
add a skeleton here at some point
9 months ago
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Hi, I am looking for someone with a Stata license to help me verify an implementation for cluster robust errors in quantile regression as implemented in the qreg2 routine. Any help would be much appreciated! Gh issue with details here:
github.com/py-econometr...
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Quantreg CRV tests vs Stata qreg2 ยท Issue #923 ยท py-econometrics/pyfixest
We have implemented the CRV estimator for quantile regression following Stata's qreg2 package. To test our implementation, we are looking for someone with a Stata license to run the following regre...
https://github.com/py-econometrics/pyfixest/issues/923
9 months ago
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Reading the Koenker book on quantile regression and having a blast. Top quotes: "It is a somewhat unhappy fact of life that the asymptotic precision of quantile estimates in general (...) depend on the reciprocal of a density function ..."
9 months ago
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I've started to work on a quantile regression implementation for pyfixest. There's a basic PR that implements the Frisch-Newton solver in numpy + a quantreg interface. Still plenty of things to do (standard errors, performance improvements), so please let me know if you want to contribute!
9 months ago
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reposted by
Alex
Laurent Bergรฉ
10 months ago
Blog post (fixest vignette) on "Collinearity": something everybody faces one day but for which there's not much guidance. Trying to clarify how econometrics software handle collinearity and what one should do about it.
#RStats
#EconSky
Comments welcome
lrberge.github.io/fixest/artic...
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On collinearity
https://lrberge.github.io/fixest/articles/collinearity.html
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PyFixest 0.29 is on PyPi! - We have updated how small sample adjustments are computed. PyFixest inference matches fixest now 100%, out of the box and all of the time! - We have added support for fully saturated event studies, which in turn enables
@apoorvalal.com
's DiD specification tests.
10 months ago
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I am currently revamping small sample defaults of pyfixest (the goal is to match fixest SEs out of the box). Now some unit tests for Poisson comparing Python vs R fail for derived statistics (tstats, pvalues, CIs) because (I think) of restrictive tolerances.
11 months ago
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Alex
apoorva lal
12 months ago
New paper, of the "your toys are probably fine, just make sure they don't have any serrated edges" variety
add a skeleton here at some point
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TIL I learned that of course you can set breakpoints in pytest scripts, you just have to move up the callstack by typing "u"... Increasingly coming to the conclusion that whenever there is a Python dev tool that I think everyone would want to have, it's already been shipped with the main libraries.
12 months ago
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Thanks to
@apoorvalal.com
, we now have some benchmarks for PyFixest on the GPU: 2-3x improvements for large problems via JAX relative to numba! We also released pyfixest 0.28.0, mostly with small bug fixes, but it also contains JAX support and GLMs (no fixed effects yet) as experimental features.
about 1 year ago
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More cool things coming to pyfixest!
add a skeleton here at some point
about 1 year ago
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reposted by
Alex
Greg Faletto
about 1 year ago
NEW R PACKAGE: I created the {fetwfe} package to implement fused extended two-way fixed effects (FETWFE), my estimator for difference-in-difference under staggered adoptions. You can install and use it by following the instructions on GitHub here:
github.com/gregfaletto/...
. Short thread:
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GitHub - gregfaletto/fetwfePackage: Implementation of fused extended two-way fixed effects (Faletto 2024)
Implementation of fused extended two-way fixed effects (Faletto 2024) - gregfaletto/fetwfePackage
https://github.com/gregfaletto/fetwfePackage
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Iโd like to set up some benchmarks for pyfixest using a cloud service and would like access to multiple threads and a GPU. Any recommendations? Colab pro only seems to offer two threads. Sane pricing and ease of use are the main criteria. Maybe
@apoorvalal.com
@gmcd.bsky.social
@alemartinello.com
?
about 1 year ago
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Something cool for the next pyfixest release ๐
about 1 year ago
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reposted by
Alex
Arthur Turrell
about 1 year ago
I just released Coding for Economists v1.0.2. This update fixes a lot of minor issues and switches to Astral's uv as the recommended package manager. We have some new contributors too. And, big news, CfE also hit 750 stars! โญโญโญ
aeturrell.github.io/coding-for-e...
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Alex
Grant McDermott
about 1 year ago
`etwfe` v0.5.0 is now available on CRAN (and R-universe).
grantmcdermott.com/etwfe/
As a reminder, `etwfe` makes it easy to estimate Extended TwoWay Fixed Effects a la
@jmwooldridge.bsky.social
. Super flexible and good for nonlinear models, recovering heterogeneous TEs, etc.
#econsky
#rstats
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https://grantmcdermott.com/etwfe/As
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Alex
Gรกbor Bรฉkรฉs
about 1 year ago
Wonderful! Cheers Dear readers, fyi we are doing a
#Python
update for
#GaborsDataAnalysis
github.com/gabors-data-...
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GitHub - gabors-data-analysis/da-coding-python: This is a coding course in Python to accompany the Data Analysis material
This is a coding course in Python to accompany the Data Analysis material - gabors-data-analysis/da-coding-python
https://github.com/gabors-data-analysis/da-coding-python
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๐ฃ๐๐๐ถ๐ ๐ฒ๐๐ ๐ฌ.๐ฎ๐ณ: (๐ฃ๐ฟ๐ฒ-๐๐ต๐ฟ๐ถ๐๐๐บ๐ฎ๐ ๐ ) ๐ฅ๐ฒ๐น๐ฒ๐ฎ๐๐ฒ Hi all, a new version of PyFixest (0.27) has found it's way to PyPi! Highlights: we now support
@gelbach.bsky.social
โs regression decomposition & Westfall and Young's multiple testing correction.
about 1 year ago
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We have a new notebook that motivates multiple testing corrections and shows how to use them via pyfixest. At the end, it produces this pretty figure:
py-econometrics.github.io/pyfixest/mul...
about 1 year ago
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reposted by
Alex
Dirk Eddelbuettel
about 1 year ago
Call for Help: As AE for JSS, I am looking for reviewers for a neat paper (and
#Rstats
package) with low/mid/high precision float support, something of interest for (very) large models and machine learning. If you,dear reader, could review this please get in touch via email. Thanks in advance.
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Alex
Matteo Courthoud
about 1 year ago
What's the standard approach for synthetic control with many treated units? One at the time? If the goal is to match the average outcome in the treatment group over time, why not estimate the propensity score using daily outcomes as covariates, and then build a SC using propensity weights?
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As itโs still a little under the radar -
@vincentab.bsky.social
& team have also developed a Python version of marginaleffects:
github.com/vincentarelb...
Works with statsmodels and pyfixest!
add a skeleton here at some point
about 1 year ago
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