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Feols: Jit compile collinearity detection in _find_collinear_variables #466

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s3alfisc opened this issue May 30, 2024 · 0 comments · Fixed by #579
Closed

Feols: Jit compile collinearity detection in _find_collinear_variables #466

s3alfisc opened this issue May 30, 2024 · 0 comments · Fixed by #579
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enhancement New feature or request good first issue Good for newcomers

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The fuction _find_collinear_variables checks for multicollinearity using a cholesky decomposition. With many variables, it might become quite slow. One workaround is to jit compile it with numba.

To do

Jit-compile _find_collinar_variables.
@s3alfisc s3alfisc converted this from a draft issue May 30, 2024
@s3alfisc s3alfisc added enhancement New feature or request good first issue Good for newcomers labels May 30, 2024
@s3alfisc s3alfisc changed the title Jit compile collinearity detection in _find_collinear_variables Feols: Jit compile collinearity detection in _find_collinear_variables May 30, 2024
s3alfisc added a commit that referenced this issue Aug 11, 2024
@s3alfisc
jit compile multicollinearity detection #466
c145753
@s3alfisc s3alfisc mentioned this issue Aug 11, 2024
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s3alfisc added a commit that referenced this issue Aug 11, 2024
@s3alfisc
jit compile multicollinearity detection #466 (#579)
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enhancement New feature or request good first issue Good for newcomers
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jit compile multicollinearity detection #466 py-econometrics/pyfixest
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