Can anyone explain the different between statsmodels and linearmodels. They are both very similar with respect to many things, but I assume they must also differ?
Does anyone have any insights to share?
linearmodels has mostly models that are not (yet) available in statsmodels especially models for panel data, multivariate or system models and some instrumental variable models.
There is some overlap in functionality, for example generalized method of moments, GMM in linearmodels is for specific linear models, while GMM in statsmodels is designed for general nonlinear GMM with some linear models as special cases.
The author of linearmodels is also one of the main maintainers of statsmodels.
There are some smaller differences in design and style that came from different preferences by the authors of the two packages or because statsmodels handles a much larger and heterogeneous set of models and classes.