statsmodels/statsmodels — pull request #1176 by bashtage (2013-11-04 11:47:46+00:00)
Title: ENH: GLS fix for very large models

GLS can now handle very large models with diagonal sigma matrices. This was done by removing the need for a full nobs by nobs covariance when sigma is input as a scalar or vector.

Test coverage for large model with 100,000 observations. This would require > 64GB of main memory in previous GLS code.