statsmodels / statsmodels/statsmodels
missing tools: canonical correlation and ranktest
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Description
http://ideas.repec.org/c/boc/bocode/s456865.html
used by ivreg for underidentification tests
I guess it should also be useful for sysreg
Johansen's cointegration test is also a test for matrix rank, but I didn't try to understand the details.
This would fit in statsmodels stats.
(Related other location for regression helpers is in statsmodels.tools and spread out
Where do I put a partial function for partialling out variables in linear regression?)
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First steps
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Research direction
Review the linked RePEc implementation and the existing statsmodels.stats, ivreg, sysreg, and statsmodels.tools organization. Clarify whether canonical correlation, rank tests, and the proposed partial helper are all in scope, then decide where they belong and how ivreg and sysreg would use them. Done means the requested statistical helpers are integrated in an agreed location with coverage for their intended uses.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python
- Domain
- data
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100