{"action":"created","issue":{"url":"https://api.github.com/repos/statsmodels/statsmodels/issues/2500","repository_url":"https://api.github.com/repos/statsmodels/statsmodels","labels_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/2500/labels{/name}","comments_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/2500/comments","events_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/2500/events","html_url":"https://github.com/statsmodels/statsmodels/pull/2500","id":92760187,"number":2500,"title":"Sysreg 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rebased version ot the sysreg PR #361\r\n\r\nOne hacky extra commit (I might clean it) for getting `example_sysreg3.py` and unit tests to run.\r\n\r\nI didn't check anything else, may conflicts during rebase, that I guess I fixed correctly.\r\n\r\nMight still not be fully python 3 compatible, especially examples"},"comment":{"url":"https://api.github.com/repos/statsmodels/statsmodels/issues/comments/241219708","html_url":"https://github.com/statsmodels/statsmodels/pull/2500#issuecomment-241219708","issue_url":"https://api.github.com/repos/statsmodels/statsmodels/issues/2500","id":241219708,"user":{"login":"josef-pkt","id":440735,"avatar_url":"https://avatars.githubusercontent.com/u/440735?v=3","gravatar_id":"","url":"https://api.github.com/users/josef-pkt","html_url":"https://github.com/josef-pkt","followers_url":"https://api.github.com/users/josef-pkt/followers","following_url":"https://api.github.com/users/josef-pkt/following{/other_user}","gists_url":"https://api.github.com/users/josef-pkt/gists{/gist_id}","starred_url":"https://api.github.com/users/josef-pkt/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/josef-pkt/subscriptions","organizations_url":"https://api.github.com/users/josef-pkt/orgs","repos_url":"https://api.github.com/users/josef-pkt/repos","events_url":"https://api.github.com/users/josef-pkt/events{/privacy}","received_events_url":"https://api.github.com/users/josef-pkt/received_events","type":"User","site_admin":false},"created_at":"2016-08-20T19:41:53Z","updated_at":"2016-08-20T19:41:53Z","body":"reading through the models:\r\n\r\n- assumes equal nobs in all equations\r\n- The main structure looks fine, list of dict of endog and exog could easily be build with loop over formulas, assuming no problems with nans.\r\n- The estimation is most likely computationally inefficient, e.g. build sparse block diagonal matrix but densifies and converts to numpy arrays during `whiten`ing\r\n- easier to change: uses (nobs, nobs) projection matrix in IV 1st stage regression (see TODO in code)\r\n- names: look fine in general, also uses `exog` for regressors as in gmm.IV2SLS (even if they are endogenous variables)\r\n\r\nthis needs fully sparse estimation to be useful for large model, eg. large sparse VAR estimated with SUR/3SLS (`reg3` in Stata) (sparse VAR doesn't need endogenous regressors IV part).\r\n"}}
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