Panel Data Python Packages

linearmodels

Additional linear models including instrumental variable and panel data models that are missing from statsmodels.

diff-diff

Difference-in-Differences causal inference in Python. Callaway-Sant'Anna, Synthetic DiD, Honest DiD, event studies. sklearn-like API, validated against R.

statspai

StatsPAI is the first Agent-native Python library for causal inference and applied econometrics — unified API, broad cross-method coverage, structured result objects, machine-readable schemas, Skills, an MCP server, and R/Stata parity validation.

differences

difference-in-differences in Python

fixedeffectmodel

Fixedeffectmodel: panel data modeling in Python

diddesign

Double Difference-in-Differences for Python — GMM-optimal combination of multiple pre-treatment periods with bootstrap inference, diagnostic tools, and publication-ready plotting (Egami & Yamauchi, 2023).

panelsplit

A tool for performing cross-validation with panel data

groupedpaneldatamodels

A Python package that implements the most commonly used Grouped Panel Data Models

pretest-did

Python implementation of the conditional extrapolation pre-test for difference-in-differences (Mikhaeil & Harshaw, 2026). Returns pass/fail decision, conditional confidence interval, and diagnostic scalars as a typed result object.

xtbreak

Bai–Perron structural break detection and estimation for time series and panel data. Tests for breaks, estimates break dates with confidence intervals, and selects break counts via sequential testing or information criteria.

equitrends

Equivalence tests for pre-trends in Difference-in-Differences estimation. Implements max, mean, and RMS tests from Dette & Schumann (2024, JBES).

did-imputation

Borusyak-Jaravel-Spiess (2024) difference-in-differences imputation estimator with event-study plots for Python.

fin-econ-scaling-laws

Package for estimating how forecasting performance scales with model size and training compute. It can be used to apply scaling-law methods to economics, finance, panel, and time-series data.

panelformer

Transformer-based model for accurate and scalable panel time series forecasting. Builds on Temporal Fusion Transformer with innovations like segment-wise attention, multi-scale decomposition, and cross-entity attention.

factor-factory

Domain-agnostic factor-model + analysis-pipeline framework with Protocol-based pluggable engines (DiD, SDID, SCM, RDD, survival, event study, mediation, het-TE, …) and first-class jellycell tearsheet integration.

panelexpr

A simple panel data evaluator

sktime-dl

DEPRECATED, now in sktime - companion package for deep learning based on TensorFlow

pyinteractivefixedeffects

Python implementation of the Interactive Fixed Effects Estimator for panel data presented in Bai (2009).