greeners-ols

Classical and related regression estimators for the Greeners workspace.

Estimators

• OLS — ordinary least squares.
• WLS — weighted least squares.
• FGLS / GLSAR — feasible and AR-corrected generalized least squares.
• IV — instrumental variables / 2SLS.
• GMM — generalized method of moments.
• NLS — non-linear least squares.
• Heckman / Tobit — sample selection and censored regression.
• QuantileReg — quantile regression.
• RLM — robust linear models.
• SUR / ThreeSLS — seemingly unrelated regressions and three-stage LS.
• FMOLS — fully modified OLS for cointegrated panels.
• RollingOLS / RollingWLS / RecursiveLS — rolling and recursive estimation.
• RegPath — regularized regression paths.
• EventStudy — event-study estimation.

Usage

[dependencies]
greeners-ols = "2.0"

use greeners_ols::{OLS, OlsResult};
use ndarray::Array2;

let y = Array2::from_shape_vec((5, 1), vec![1.0, 2.0, 3.0, 4.0, 5.0]).unwrap();
let x = Array2::from_shape_vec((5, 2), vec![1.0; 10]).unwrap();
let result = OLS::fit(&y, &x, Some(vec!["x1".to_string(), "x2".to_string()])).unwrap();

Design notes

Unique public items are re-exported at the crate root. Estimators with duplicated names remain under greeners_ols::<module>.