if model is FirstDifferenceOLS:
formula = "y ~ x0 + x1 + x2 + x3 + x4"
joined = data.x
joined["y"] = data.y
mod = model.from_formula(formula, joined)
res = mod.fit()
print(res)
After Change
import numpy as np
y = np.arange(12.0)[:,None]
import pandas as pd
entities = pd.Categorical(pd.Series(["a"]*6+["b"]*6))
dummies = pd.get_dummies(entities)
w = np.random.chisquare(5, (12,1)) / 5
w = w/w.mean()
root_w = np.sqrt(w)
wd = root_w * dummies.valueswy = root_w * yb = np.linalg.pinv(wd) @ wy
