statsmodels/statsmodels — pull request #1665 by josef-pkt (2014-05-10 02:37:27+00:00)
Title: REF/ENH Penalized linear TheilGLS, ridge

some enhancements cleanup and unit test for TheilGLS

Still WIP but ready for TravisCI

**TODOs**

more unit tests

**most likely not in this PR:**

computational efficient implementation for special case of Ridge, SVD based.
iterative estimation, improve support for patterned priors, patsy/formula integration ?
estimating prior parameters ?

**unclear**

perfect multicollinearity affects the inference for the base parameters, cov_params, bse, and similar.
Can I separate the effect? eg. precise fixed effects and imprecise random effects.
Note: even a small prior moves the perfect multicollinearity to the right place in the `params`