Mostly Harmless Fixed Effects Regression in Python with PyFixest [PyCon DE & PyData Berlin 2024]

🔊 Recorded at PyCon DE & PyData Berlin 2024, 24.04.2024
2024.pycon.de/...
🎓 Watch Alexander Fischer introduce PyFixest, a fast Python library for high-dimensional fixed effects regression models, offering robust inference tools and efficient post-processing capabilities.
Speakers:
Alexander Fischer
Description:
During the talk, Alexander Fischer, a Data Scientist at Trivago, introduced PyFixest, an open-source Python library inspired by the "fixest" R package for regression modeling. PyFixest offers fast routines for estimating regression models with high-dimensional fixed effects, including OLS, IV, and Poisson regression. The library also provides tools for robust inference, such as heteroscedasticity-robust standard errors and the wild cluster bootstrap. PyFixest aims to replicate the core design principles of "fixest," providing efficient post-estimation inference adjustments and user-friendly syntax for multiple estimations.
The presentation covered PyFixest's functionality, design philosophy, and future development prospects. Fischer highlighted the challenge of estimating models with high-dimensional categorical features and how the Frisch-Waugh-Lovell Theorem addresses this. He emphasized PyFixest's speed in handling regressions with high-dimensional fixed effects through jit-compilation.
Fischer discussed the similarities and differences between fixest in R and PyFixest in Python, showcasing PyFixest’s capabilities in analyzing AB Tests and conducting event studies with staggered rollouts. Attendees were encouraged to explore PyFixest's GitHub repository and documentation for more information on using the library effectively.
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PyData is an educational program of NumFOCUS, a 501(c)3 non-profit organization in the United States. PyData provides a forum for the international community of users and developers of data analysis tools to share ideas and learn from each other. The global PyData network promotes discussion of best practices, new approaches, and emerging technologies for data management, processing, analytics, and visualization. PyData communities approach data science using many languages, including (but not limited to) Python, Julia, and R.

[@marc-andrechenier5488]

What not use linearmodels for python? It also has fast treatment of fixed effects and can be used for e.g. two-way fixed effects applications

[@s3alfisc]

Hi - pyfixest author here. linearmodels is a great library - I simply like R's fixest library very much!

[@marc-andrechenier5488]

@@s3alfisc Thanks for the response, definitely curious about trying out your library at work :)

[@s3alfisc]

@@marc-andrechenier5488 Cool, looking forward to any potential feedback! =)