F-test in pyfixest about pyfixest HOT 9 CLOSED

Hi @ARCCer !

I recently updated wald_test method in feols class, so you should be able to implement F test on OLS regressions(meaning that you can manually do weak IV test by implementing F test on the 1st stage regression).
I'll be adding 1st stage F statistics as a default attribute to the feiv class soon, but if you have any opinion on any other diagonostic tools related with IV regression, please feel free to comment on the issue #543! Thanks!

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Thanks for letting us know. I'm actually working on this and trying to raise a new issue regarding this, as the diagnostic tools in the first stage regression are absent in the current package. Stay tuned for our next update!

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well , I check the code and the example. So, I can get the F-test results and the related p-value by below codes: fit.wald_test(R=R, distribution="F")
f_stat = fit._f_statistic
p_stat = fit._p_value

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Yeah, thanks for the response. There are some different tests in IV related methods or 2SLS related issues, such as the Hausman test, over-identification test, I hope we can add these tests to make Pyfixest more comprehensive in IV area

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We actually already have an open issue for this #280 and @Vksingh306 has offered to pick it up =)

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yes, that's great. I hope this package can be better to catch up STATA one day and really thanks to all the contributors for the priceless dedication

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Great thanks for the contribution. While the document notes that we should not directly instantiate Feiv(), but Feols(), so I can get the F-test results with the defined function: _F_stat? or need other settings?

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Yea, exactly, that's the intended use =)we're also working on automatically computing the F test for the first stage when an IV model is run.

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Thanks for the comment @ARCCer ! In the current PR, I updated robust F statistics(robust to heteorskedasticity and clusteres) and effective F by Olea and Pflueger, which will be updated soon. I will also develop the tests you suggested as the default setting in my next iteration!

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