Merge pull request #331 from bashtage/rank-check

ENH: Allow rank check to be disabled

Author: bashtage

doc/source/changes.rst

@@ -1,6 +1,17 @@
 Change Log
 ==========
 
+Since 4.20
+----------
+* Added ``rank_check`` argument to panel-data models that allows the rank
+  check to be skipped. Estimating a model that is rank deficient may result
+  in unreliable estiamtes and so caution is needed if using this option.
+* Changed the rank check to use :func:`numpy.linalg.lstsq` which is better
+  aligned with parameter estimation than the :func:`numpy.linalg.svd`-based
+  :func:`numpy.linalg.matrix_rank`.
+* Changed the default least squares used to :func:`scipy.linalg.lstsq` so
+  that the ``lapack_driver`` can be changed to use QR factorization.
+
 Version 4.20
 ------------
 * Correct calculation of first-stage F-statistic in IV models.

linearmodels/azure-pipelines.yml

@@ -3,6 +3,7 @@
 
 def pytest_configure(config):
     # Minimal config to simplify running tests from lm.test()
+    config.addinivalue_line("markers", "example: mark a test as an example")
     config.addinivalue_line("markers", "slow: mark a test as slow")
     config.addinivalue_line(
         "markers", "smoke: mark a test as a coding error (smoke) test"
@@ -17,6 +18,7 @@ def pytest_addoption(parser):
     parser.addoption("--only-slow", action="store_true", help="run only slow tests")
     parser.addoption("--skip-smoke", action="store_true", help="skip smoke tests")
     parser.addoption("--only-smoke", action="store_true", help="run only smoke tests")
+    parser.addoption("--skip-examples", action="store_true", help="skip examples tests")
 
 
 def pytest_runtest_setup(item):
@@ -31,3 +33,6 @@ def pytest_runtest_setup(item):
 
     if "smoke" not in item.keywords and item.config.getoption("--only-smoke"):
         pytest.skip("skipping due to --only-smoke")
+
+    if "example" in item.keywords and item.config.getoption("--skip-examples"):
+        pytest.skip("skipping due to --skip-examples")

linearmodels/conftest.py

@@ -0,0 +1,3 @@
+from linearmodels.typing import NDArray
+
+def _drop_singletons(meta: NDArray, orig_dest: NDArray) -> None:...