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.

differences

difference-in-differences in Python

panelsplit

A tool for panel data analysis.

fixedeffectmodel

Fixedeffectmodel: panel data modeling in Python

groupedpaneldatamodels

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

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 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).