How To Do Test Of Equality Of Coefficient For 2sls In Statsmodels Or Linearmodels?

So if I ran an experiment with multiple treatment groups and a control, I would analyse the results using Statsmodel ols to see if any of the treatment group were statistically dif

Solution 1:

If anyone else get's stuck with this...I figured out the solution when using Linearmodels.

So after running the model:

model = LM2SLS(tdf.elect_lpd, tdf[controls], tdf[endog], tdf[inst]).fit(cov_type='clustered')

You can then run wald test to compare differences between each of your treatment group. In my case, I had two treatment groups (sbs & wing):

test.wald_test(formula = ['endog_sbs = endog_wing'])