BUG: Fix drop selection with weighted and absorbed

Fix slice when selecting variables to drop

Author: bashtage

linearmodels/panel/model.py

@@ -1883,7 +1883,7 @@ def fit(
 
                     # Adjust exog
                     self.exog = PanelData(self.exog.dataframe.iloc[:, retain])
-                    x_effects = x_effects[retain]
+                    x_effects = x_effects[:, retain]
 
         params = _lstsq(x, y, rcond=None)[0]
         nobs = self.dependent.dataframe.shape[0]

linearmodels/tests/panel/test_panel_ols.py

@@ -6,6 +6,7 @@
 import pandas as pd
 import pytest
 
+from linearmodels.datasets import wage_panel
 from linearmodels.iv.model import IV2SLS
 from linearmodels.panel.data import PanelData
 from linearmodels.panel.model import PanelOLS, PooledOLS
@@ -1531,3 +1532,26 @@ def test_entity_into():
     ti = res.time_info
     assert ti["total"] == 4
     assert ti["min"] == 16
+
+
+@pytest.mark.parametrize("path", ["use_lsdv", "low_memory"])
+def test_absorbed_with_weights(path):
+    data = wage_panel.load().copy()
+    year = pd.Categorical(data.year)
+    data = data.set_index(["nr", "year"])
+    data["year"] = year
+    # and random number between 0 and 1 for weights
+    data["rand"] = np.random.rand(data.shape[0])
+    data["absorbe"] = data.groupby("nr")["union"].transform("mean")
+
+    fit_options = {}
+    if path:
+        fit_options[path] = True
+
+    with pytest.warns(AbsorbingEffectWarning, match="Variables have been"):
+        PanelOLS.from_formula(
+            "lwage ~1+absorbe + married + EntityEffects",
+            data=data,
+            weights=data["rand"],
+            drop_absorbed=True,
+        ).fit(**fit_options)

pyproject.toml

@@ -26,3 +26,13 @@ exclude = '''
 
 [tool.setuptools_scm]
 write_to = "linearmodels/_version.py"
+
+[tool.pyright]
+exclude = [
+    "**/tests/**",
+]
+
+[tool.mypy]
+exclude = [
+    "tests",
+]

requirements-dev.txt

@@ -1,6 +1,6 @@
 xarray>=0.16
 mypy>=1.3
-black[jupyter]==23.3.0
+black[jupyter]==23.7.0
 pytest>=7.3.0
 isort>=5.12
 ipython
@@ -10,6 +10,7 @@ nbconvert
 nbformat
 nbsphinx
 numpydoc
+pandas-stubs
 pytest-xdist
 pytest-cov
 seaborn

requirements-test.txt

@@ -1,9 +1,9 @@
-black[jupyter]==23.3.0
+black[jupyter]==23.7.0
 coverage
 flake8
 isort
 matplotlib
-pytest>=7.0,<7.1
+pytest>=7.3.0
 pytest-xdist
 pytest-cov
 seaborn