diff-diff 2.0.4__cp312-cp312-macosx_11_0_arm64.whl

diff_diff/linalg.py

@@ -0,0 +1,980 @@
+"""
+Unified linear algebra backend for diff-diff.
+
+This module provides optimized OLS and variance estimation with an optional
+Rust backend for maximum performance.
+
+The key optimizations are:
+1. scipy.linalg.lstsq with 'gelsy' driver (QR-based, faster than SVD)
+2. Vectorized cluster-robust SE via groupby (eliminates O(n*clusters) loop)
+3. Single interface for all estimators (reduces code duplication)
+4. Optional Rust backend for additional speedup (when available)
+
+The Rust backend is automatically used when available, with transparent
+fallback to NumPy/SciPy implementations.
+"""
+
+from dataclasses import dataclass
+from typing import Dict, List, Optional, Tuple, Union
+
+import numpy as np
+import pandas as pd
+from scipy import stats
+from scipy.linalg import lstsq as scipy_lstsq
+
+# Import Rust backend if available (from _backend to avoid circular imports)
+from diff_diff._backend import (
+    HAS_RUST_BACKEND,
+    _rust_compute_robust_vcov,
+    _rust_solve_ols,
+)
+
+
+def solve_ols(
+    X: np.ndarray,
+    y: np.ndarray,
+    *,
+    cluster_ids: Optional[np.ndarray] = None,
+    return_vcov: bool = True,
+    return_fitted: bool = False,
+    check_finite: bool = True,
+) -> Union[
+    Tuple[np.ndarray, np.ndarray, Optional[np.ndarray]],
+    Tuple[np.ndarray, np.ndarray, np.ndarray, Optional[np.ndarray]],
+]:
+    """
+    Solve OLS regression with optional clustered standard errors.
+
+    This is the unified OLS solver for all diff-diff estimators. It uses
+    scipy's optimized LAPACK routines and vectorized variance estimation.
+
+    Parameters
+    ----------
+    X : ndarray of shape (n, k)
+        Design matrix (should include intercept if desired).
+    y : ndarray of shape (n,)
+        Response vector.
+    cluster_ids : ndarray of shape (n,), optional
+        Cluster identifiers for cluster-robust standard errors.
+        If None, HC1 (heteroskedasticity-robust) SEs are computed.
+    return_vcov : bool, default True
+        Whether to compute and return the variance-covariance matrix.
+        Set to False for faster computation when SEs are not needed.
+    return_fitted : bool, default False
+        Whether to return fitted values in addition to residuals.
+    check_finite : bool, default True
+        Whether to check that X and y contain only finite values (no NaN/Inf).
+        Set to False for faster computation if you are certain your data is clean.
+
+    Returns
+    -------
+    coefficients : ndarray of shape (k,)
+        OLS coefficient estimates.
+    residuals : ndarray of shape (n,)
+        Residuals (y - X @ coefficients).
+    fitted : ndarray of shape (n,), optional
+        Fitted values (X @ coefficients). Only returned if return_fitted=True.
+    vcov : ndarray of shape (k, k) or None
+        Variance-covariance matrix (HC1 or cluster-robust).
+        None if return_vcov=False.
+
+    Notes
+    -----
+    This function uses scipy.linalg.lstsq with the 'gelsy' driver, which is
+    QR-based and typically faster than NumPy's default SVD-based solver for
+    well-conditioned matrices.
+
+    The cluster-robust standard errors use the sandwich estimator with the
+    standard small-sample adjustment: (G/(G-1)) * ((n-1)/(n-k)).
+
+    Examples
+    --------
+    >>> import numpy as np
+    >>> from diff_diff.linalg import solve_ols
+    >>> X = np.column_stack([np.ones(100), np.random.randn(100)])
+    >>> y = 2 + 3 * X[:, 1] + np.random.randn(100)
+    >>> coef, resid, vcov = solve_ols(X, y)
+    >>> print(f"Intercept: {coef[0]:.2f}, Slope: {coef[1]:.2f}")
+    """
+    # Validate inputs
+    X = np.asarray(X, dtype=np.float64)
+    y = np.asarray(y, dtype=np.float64)
+
+    if X.ndim != 2:
+        raise ValueError(f"X must be 2-dimensional, got shape {X.shape}")
+    if y.ndim != 1:
+        raise ValueError(f"y must be 1-dimensional, got shape {y.shape}")
+    if X.shape[0] != y.shape[0]:
+        raise ValueError(
+            f"X and y must have same number of observations: "
+            f"{X.shape[0]} vs {y.shape[0]}"
+        )
+
+    n, k = X.shape
+    if n < k:
+        raise ValueError(
+            f"Fewer observations ({n}) than parameters ({k}). "
+            "Cannot solve underdetermined system."
+        )
+
+    # Check for NaN/Inf values if requested
+    if check_finite:
+        if not np.isfinite(X).all():
+            raise ValueError(
+                "X contains NaN or Inf values. "
+                "Clean your data or set check_finite=False to skip this check."
+            )
+        if not np.isfinite(y).all():
+            raise ValueError(
+                "y contains NaN or Inf values. "
+                "Clean your data or set check_finite=False to skip this check."
+            )
+
+    # Use Rust backend if available
+    # Note: Fall back to NumPy if check_finite=False since Rust's LAPACK
+    # doesn't support non-finite values
+    if HAS_RUST_BACKEND and check_finite:
+        # Ensure contiguous arrays for Rust
+        X = np.ascontiguousarray(X, dtype=np.float64)
+        y = np.ascontiguousarray(y, dtype=np.float64)
+
+        # Convert cluster_ids to int64 for Rust (if provided)
+        cluster_ids_int = None
+        if cluster_ids is not None:
+            cluster_ids_int = pd.factorize(cluster_ids)[0].astype(np.int64)
+
+        try:
+            coefficients, residuals, vcov = _rust_solve_ols(
+                X, y, cluster_ids_int, return_vcov
+            )
+        except ValueError as e:
+            # Translate Rust LAPACK errors to consistent Python error messages
+            error_msg = str(e)
+            if "Matrix inversion failed" in error_msg or "Least squares failed" in error_msg:
+                raise ValueError(
+                    "Design matrix is rank-deficient (singular X'X matrix). "
+                    "This indicates perfect multicollinearity. Check your fixed effects "
+                    "and covariates for linear dependencies."
+                ) from e
+            raise
+
+        if return_fitted:
+            fitted = X @ coefficients
+            return coefficients, residuals, fitted, vcov
+        else:
+            return coefficients, residuals, vcov
+
+    # Fallback to NumPy/SciPy implementation
+    return _solve_ols_numpy(
+        X, y, cluster_ids=cluster_ids, return_vcov=return_vcov, return_fitted=return_fitted
+    )
+
+
+def _solve_ols_numpy(
+    X: np.ndarray,
+    y: np.ndarray,
+    *,
+    cluster_ids: Optional[np.ndarray] = None,
+    return_vcov: bool = True,
+    return_fitted: bool = False,
+) -> Union[
+    Tuple[np.ndarray, np.ndarray, Optional[np.ndarray]],
+    Tuple[np.ndarray, np.ndarray, np.ndarray, Optional[np.ndarray]],
+]:
+    """
+    NumPy/SciPy fallback implementation of solve_ols.
+
+    Uses scipy.linalg.lstsq with 'gelsy' driver (QR with column pivoting)
+    for numerically stable least squares solving. QR decomposition is preferred
+    over normal equations because it doesn't square the condition number of X,
+    making it more robust for ill-conditioned matrices common in DiD designs
+    (e.g., many unit/time fixed effects).
+
+    Parameters
+    ----------
+    X : np.ndarray
+        Design matrix of shape (n, k).
+    y : np.ndarray
+        Response vector of shape (n,).
+    cluster_ids : np.ndarray, optional
+        Cluster identifiers for cluster-robust SEs.
+    return_vcov : bool
+        Whether to compute variance-covariance matrix.
+    return_fitted : bool
+        Whether to return fitted values.
+
+    Returns
+    -------
+    coefficients : np.ndarray
+        OLS coefficients of shape (k,).
+    residuals : np.ndarray
+        Residuals of shape (n,).
+    fitted : np.ndarray, optional
+        Fitted values if return_fitted=True.
+    vcov : np.ndarray, optional
+        Variance-covariance matrix if return_vcov=True.
+    """
+    # Solve OLS using QR decomposition via scipy's optimized LAPACK routines
+    # 'gelsy' uses QR with column pivoting, which is numerically stable even
+    # for ill-conditioned matrices (doesn't square the condition number like
+    # normal equations would)
+    coefficients = scipy_lstsq(X, y, lapack_driver="gelsy", check_finite=False)[0]
+
+    # Compute residuals and fitted values
+    fitted = X @ coefficients
+    residuals = y - fitted
+
+    # Compute variance-covariance matrix if requested
+    vcov = None
+    if return_vcov:
+        vcov = _compute_robust_vcov_numpy(X, residuals, cluster_ids)
+
+    if return_fitted:
+        return coefficients, residuals, fitted, vcov
+    else:
+        return coefficients, residuals, vcov
+
+
+def compute_robust_vcov(
+    X: np.ndarray,
+    residuals: np.ndarray,
+    cluster_ids: Optional[np.ndarray] = None,
+) -> np.ndarray:
+    """
+    Compute heteroskedasticity-robust or cluster-robust variance-covariance matrix.
+
+    Uses the sandwich estimator: (X'X)^{-1} * meat * (X'X)^{-1}
+
+    Parameters
+    ----------
+    X : ndarray of shape (n, k)
+        Design matrix.
+    residuals : ndarray of shape (n,)
+        OLS residuals.
+    cluster_ids : ndarray of shape (n,), optional
+        Cluster identifiers. If None, computes HC1 robust SEs.
+
+    Returns
+    -------
+    vcov : ndarray of shape (k, k)
+        Variance-covariance matrix.
+
+    Notes
+    -----
+    For HC1 (no clustering):
+        meat = X' * diag(u^2) * X
+        adjustment = n / (n - k)
+
+    For cluster-robust:
+        meat = sum_g (X_g' u_g)(X_g' u_g)'
+        adjustment = (G / (G-1)) * ((n-1) / (n-k))
+
+    The cluster-robust computation is vectorized using pandas groupby,
+    which is much faster than a Python loop over clusters.
+    """
+    # Use Rust backend if available
+    if HAS_RUST_BACKEND:
+        X = np.ascontiguousarray(X, dtype=np.float64)
+        residuals = np.ascontiguousarray(residuals, dtype=np.float64)
+
+        cluster_ids_int = None
+        if cluster_ids is not None:
+            cluster_ids_int = pd.factorize(cluster_ids)[0].astype(np.int64)
+
+        try:
+            return _rust_compute_robust_vcov(X, residuals, cluster_ids_int)
+        except ValueError as e:
+            # Translate Rust LAPACK errors to consistent Python error messages
+            error_msg = str(e)
+            if "Matrix inversion failed" in error_msg:
+                raise ValueError(
+                    "Design matrix is rank-deficient (singular X'X matrix). "
+                    "This indicates perfect multicollinearity. Check your fixed effects "
+                    "and covariates for linear dependencies."
+                ) from e
+            raise
+
+    # Fallback to NumPy implementation
+    return _compute_robust_vcov_numpy(X, residuals, cluster_ids)
+
+
+def _compute_robust_vcov_numpy(
+    X: np.ndarray,
+    residuals: np.ndarray,
+    cluster_ids: Optional[np.ndarray] = None,
+) -> np.ndarray:
+    """
+    NumPy fallback implementation of compute_robust_vcov.
+
+    Computes HC1 (heteroskedasticity-robust) or cluster-robust variance-covariance
+    matrix using the sandwich estimator.
+
+    Parameters
+    ----------
+    X : np.ndarray
+        Design matrix of shape (n, k).
+    residuals : np.ndarray
+        OLS residuals of shape (n,).
+    cluster_ids : np.ndarray, optional
+        Cluster identifiers. If None, uses HC1. If provided, uses
+        cluster-robust with G/(G-1) small-sample adjustment.
+
+    Returns
+    -------
+    vcov : np.ndarray
+        Variance-covariance matrix of shape (k, k).
+
+    Notes
+    -----
+    Uses vectorized groupby aggregation for cluster-robust SEs to avoid
+    the O(n * G) loop that would be required with explicit iteration.
+    """
+    n, k = X.shape
+    XtX = X.T @ X
+
+    if cluster_ids is None:
+        # HC1 (heteroskedasticity-robust) standard errors
+        adjustment = n / (n - k)
+        u_squared = residuals**2
+        # Vectorized meat computation: X' diag(u^2) X = (X * u^2)' X
+        meat = X.T @ (X * u_squared[:, np.newaxis])
+    else:
+        # Cluster-robust standard errors (vectorized via groupby)
+        cluster_ids = np.asarray(cluster_ids)
+        unique_clusters = np.unique(cluster_ids)
+        n_clusters = len(unique_clusters)
+
+        if n_clusters < 2:
+            raise ValueError(
+                f"Need at least 2 clusters for cluster-robust SEs, got {n_clusters}"
+            )
+
+        # Small-sample adjustment
+        adjustment = (n_clusters / (n_clusters - 1)) * ((n - 1) / (n - k))
+
+        # Compute cluster-level scores: sum of X_i * u_i within each cluster
+        # scores[i] = X[i] * residuals[i] for each observation
+        scores = X * residuals[:, np.newaxis]  # (n, k)
+
+        # Sum scores within each cluster using pandas groupby (vectorized)
+        # This is much faster than looping over clusters
+        cluster_scores = pd.DataFrame(scores).groupby(cluster_ids).sum().values  # (G, k)
+
+        # Meat is the outer product sum: sum_g (score_g)(score_g)'
+        # Equivalent to cluster_scores.T @ cluster_scores
+        meat = cluster_scores.T @ cluster_scores  # (k, k)
+
+    # Sandwich estimator: (X'X)^{-1} meat (X'X)^{-1}
+    # Solve (X'X) temp = meat, then solve (X'X) vcov' = temp'
+    # More stable than explicit inverse
+    try:
+        temp = np.linalg.solve(XtX, meat)
+        vcov = adjustment * np.linalg.solve(XtX, temp.T).T
+    except np.linalg.LinAlgError as e:
+        if "Singular" in str(e):
+            raise ValueError(
+                "Design matrix is rank-deficient (singular X'X matrix). "
+                "This indicates perfect multicollinearity. Check your fixed effects "
+                "and covariates for linear dependencies."
+            ) from e
+        raise
+
+    return vcov
+
+
+def compute_r_squared(
+    y: np.ndarray,
+    residuals: np.ndarray,
+    adjusted: bool = False,
+    n_params: int = 0,
+) -> float:
+    """
+    Compute R-squared or adjusted R-squared.
+
+    Parameters
+    ----------
+    y : ndarray of shape (n,)
+        Response vector.
+    residuals : ndarray of shape (n,)
+        OLS residuals.
+    adjusted : bool, default False
+        If True, compute adjusted R-squared.
+    n_params : int, default 0
+        Number of parameters (including intercept). Required if adjusted=True.
+
+    Returns
+    -------
+    r_squared : float
+        R-squared or adjusted R-squared.
+    """
+    ss_res = np.sum(residuals**2)
+    ss_tot = np.sum((y - np.mean(y)) ** 2)
+
+    if ss_tot == 0:
+        return 0.0
+
+    r_squared = 1 - (ss_res / ss_tot)
+
+    if adjusted:
+        n = len(y)
+        if n <= n_params:
+            return r_squared
+        r_squared = 1 - (1 - r_squared) * (n - 1) / (n - n_params)
+
+    return r_squared
+
+
+# =============================================================================
+# LinearRegression Helper Class
+# =============================================================================
+
+
+@dataclass
+class InferenceResult:
+    """
+    Container for inference results on a single coefficient.
+
+    This dataclass provides a unified way to access coefficient estimates
+    and their associated inference statistics.
+
+    Attributes
+    ----------
+    coefficient : float
+        The point estimate of the coefficient.
+    se : float
+        Standard error of the coefficient.
+    t_stat : float
+        T-statistic (coefficient / se).
+    p_value : float
+        Two-sided p-value for the t-statistic.
+    conf_int : tuple of (float, float)
+        Confidence interval (lower, upper).
+    df : int or None
+        Degrees of freedom used for inference. None if using normal distribution.
+    alpha : float
+        Significance level used for confidence interval.
+
+    Examples
+    --------
+    >>> result = InferenceResult(
+    ...     coefficient=2.5, se=0.5, t_stat=5.0, p_value=0.001,
+    ...     conf_int=(1.52, 3.48), df=100, alpha=0.05
+    ... )
+    >>> result.is_significant()
+    True
+    >>> result.significance_stars()
+    '***'
+    """
+
+    coefficient: float
+    se: float
+    t_stat: float
+    p_value: float
+    conf_int: Tuple[float, float]
+    df: Optional[int] = None
+    alpha: float = 0.05
+
+    def is_significant(self, alpha: Optional[float] = None) -> bool:
+        """Check if the coefficient is statistically significant."""
+        threshold = alpha if alpha is not None else self.alpha
+        return self.p_value < threshold
+
+    def significance_stars(self) -> str:
+        """Return significance stars based on p-value."""
+        if self.p_value < 0.001:
+            return "***"
+        elif self.p_value < 0.01:
+            return "**"
+        elif self.p_value < 0.05:
+            return "*"
+        elif self.p_value < 0.1:
+            return "."
+        return ""
+
+    def to_dict(self) -> Dict[str, Union[float, Tuple[float, float], int, None]]:
+        """Convert to dictionary representation."""
+        return {
+            "coefficient": self.coefficient,
+            "se": self.se,
+            "t_stat": self.t_stat,
+            "p_value": self.p_value,
+            "conf_int": self.conf_int,
+            "df": self.df,
+            "alpha": self.alpha,
+        }
+
+
+class LinearRegression:
+    """
+    OLS regression helper with unified coefficient extraction and inference.
+
+    This class wraps the low-level `solve_ols` function and provides a clean
+    interface for fitting regressions and extracting coefficient-level inference.
+    It eliminates code duplication across estimators by centralizing the common
+    pattern of: fit OLS -> extract coefficient -> compute SE -> compute t-stat
+    -> compute p-value -> compute CI.
+
+    Parameters
+    ----------
+    include_intercept : bool, default True
+        Whether to automatically add an intercept column to the design matrix.
+    robust : bool, default True
+        Whether to use heteroskedasticity-robust (HC1) standard errors.
+        If False and cluster_ids is None, uses classical OLS standard errors.
+    cluster_ids : array-like, optional
+        Cluster identifiers for cluster-robust standard errors.
+        Overrides the `robust` parameter if provided.
+    alpha : float, default 0.05
+        Significance level for confidence intervals.
+
+    Attributes
+    ----------
+    coefficients_ : ndarray
+        Fitted coefficient values (available after fit).
+    vcov_ : ndarray
+        Variance-covariance matrix (available after fit).
+    residuals_ : ndarray
+        Residuals from the fit (available after fit).
+    fitted_values_ : ndarray
+        Fitted values from the fit (available after fit).
+    n_obs_ : int
+        Number of observations (available after fit).
+    n_params_ : int
+        Number of parameters including intercept (available after fit).
+    df_ : int
+        Degrees of freedom (n - k) (available after fit).
+
+    Examples
+    --------
+    Basic usage with automatic intercept:
+
+    >>> import numpy as np
+    >>> from diff_diff.linalg import LinearRegression
+    >>> X = np.random.randn(100, 2)
+    >>> y = 1 + 2 * X[:, 0] + 3 * X[:, 1] + np.random.randn(100)
+    >>> reg = LinearRegression().fit(X, y)
+    >>> print(f"Intercept: {reg.coefficients_[0]:.2f}")
+    >>> inference = reg.get_inference(1)  # inference for first predictor
+    >>> print(f"Coef: {inference.coefficient:.2f}, SE: {inference.se:.2f}")
+
+    Using with cluster-robust standard errors:
+
+    >>> cluster_ids = np.repeat(np.arange(20), 5)  # 20 clusters of 5
+    >>> reg = LinearRegression(cluster_ids=cluster_ids).fit(X, y)
+    >>> inference = reg.get_inference(1)
+    >>> print(f"Cluster-robust SE: {inference.se:.2f}")
+
+    Extracting multiple coefficients at once:
+
+    >>> results = reg.get_inference_batch([1, 2])
+    >>> for idx, inf in results.items():
+    ...     print(f"Coef {idx}: {inf.coefficient:.2f} ({inf.significance_stars()})")
+    """
+
+    def __init__(
+        self,
+        include_intercept: bool = True,
+        robust: bool = True,
+        cluster_ids: Optional[np.ndarray] = None,
+        alpha: float = 0.05,
+    ):
+        self.include_intercept = include_intercept
+        self.robust = robust
+        self.cluster_ids = cluster_ids
+        self.alpha = alpha
+
+        # Fitted attributes (set by fit())
+        self.coefficients_: Optional[np.ndarray] = None
+        self.vcov_: Optional[np.ndarray] = None
+        self.residuals_: Optional[np.ndarray] = None
+        self.fitted_values_: Optional[np.ndarray] = None
+        self._y: Optional[np.ndarray] = None
+        self._X: Optional[np.ndarray] = None
+        self.n_obs_: Optional[int] = None
+        self.n_params_: Optional[int] = None
+        self.df_: Optional[int] = None
+
+    def fit(
+        self,
+        X: np.ndarray,
+        y: np.ndarray,
+        *,
+        cluster_ids: Optional[np.ndarray] = None,
+        df_adjustment: int = 0,
+    ) -> "LinearRegression":
+        """
+        Fit OLS regression.
+
+        Parameters
+        ----------
+        X : ndarray of shape (n, k)
+            Design matrix. An intercept column will be added if include_intercept=True.
+        y : ndarray of shape (n,)
+            Response vector.
+        cluster_ids : ndarray, optional
+            Cluster identifiers for this fit. Overrides the instance-level
+            cluster_ids if provided.
+        df_adjustment : int, default 0
+            Additional degrees of freedom adjustment (e.g., for absorbed fixed effects).
+            The effective df will be n - k - df_adjustment.
+
+        Returns
+        -------
+        self : LinearRegression
+            Fitted estimator.
+        """
+        X = np.asarray(X, dtype=np.float64)
+        y = np.asarray(y, dtype=np.float64)
+
+        # Add intercept if requested
+        if self.include_intercept:
+            X = np.column_stack([np.ones(X.shape[0]), X])
+
+        # Use provided cluster_ids or fall back to instance-level
+        effective_cluster_ids = cluster_ids if cluster_ids is not None else self.cluster_ids
+
+        # Determine if we need robust/cluster vcov
+        compute_vcov = True
+
+        if self.robust or effective_cluster_ids is not None:
+            # Use solve_ols with robust/cluster SEs
+            coefficients, residuals, fitted, vcov = solve_ols(
+                X, y,
+                cluster_ids=effective_cluster_ids,
+                return_fitted=True,
+                return_vcov=compute_vcov,
+            )
+        else:
+            # Classical OLS - compute vcov separately
+            coefficients, residuals, fitted, _ = solve_ols(
+                X, y,
+                return_fitted=True,
+                return_vcov=False,
+            )
+            # Compute classical OLS variance-covariance matrix
+            n, k = X.shape
+            mse = np.sum(residuals**2) / (n - k)
+            try:
+                vcov = np.linalg.solve(X.T @ X, mse * np.eye(k))
+            except np.linalg.LinAlgError:
+                # Fall back to pseudo-inverse for singular matrices
+                vcov = np.linalg.pinv(X.T @ X) * mse
+
+        # Store fitted attributes
+        self.coefficients_ = coefficients
+        self.vcov_ = vcov
+        self.residuals_ = residuals
+        self.fitted_values_ = fitted
+        self._y = y
+        self._X = X
+        self.n_obs_ = X.shape[0]
+        self.n_params_ = X.shape[1]
+        self.df_ = self.n_obs_ - self.n_params_ - df_adjustment
+
+        return self
+
+    def _check_fitted(self) -> None:
+        """Raise error if model has not been fitted."""
+        if self.coefficients_ is None:
+            raise ValueError("Model has not been fitted. Call fit() first.")
+
+    def get_coefficient(self, index: int) -> float:
+        """
+        Get the coefficient value at a specific index.
+
+        Parameters
+        ----------
+        index : int
+            Index of the coefficient in the coefficient array.
+
+        Returns
+        -------
+        float
+            Coefficient value.
+        """
+        self._check_fitted()
+        return float(self.coefficients_[index])
+
+    def get_se(self, index: int) -> float:
+        """
+        Get the standard error for a coefficient.
+
+        Parameters
+        ----------
+        index : int
+            Index of the coefficient.
+
+        Returns
+        -------
+        float
+            Standard error.
+        """
+        self._check_fitted()
+        return float(np.sqrt(self.vcov_[index, index]))
+
+    def get_inference(
+        self,
+        index: int,
+        alpha: Optional[float] = None,
+        df: Optional[int] = None,
+    ) -> InferenceResult:
+        """
+        Get full inference results for a coefficient.
+
+        This is the primary method for extracting coefficient-level inference,
+        returning all statistics in a single call.
+
+        Parameters
+        ----------
+        index : int
+            Index of the coefficient in the coefficient array.
+        alpha : float, optional
+            Significance level for CI. Defaults to instance-level alpha.
+        df : int, optional
+            Degrees of freedom. Defaults to fitted df (n - k - df_adjustment).
+            Set to None explicitly to use normal distribution instead of t.
+
+        Returns
+        -------
+        InferenceResult
+            Dataclass containing coefficient, se, t_stat, p_value, conf_int.
+
+        Examples
+        --------
+        >>> reg = LinearRegression().fit(X, y)
+        >>> result = reg.get_inference(1)
+        >>> print(f"Effect: {result.coefficient:.3f} (SE: {result.se:.3f})")
+        >>> print(f"95% CI: [{result.conf_int[0]:.3f}, {result.conf_int[1]:.3f}]")
+        >>> if result.is_significant():
+        ...     print("Statistically significant!")
+        """
+        self._check_fitted()
+
+        coef = float(self.coefficients_[index])
+        se = float(np.sqrt(self.vcov_[index, index]))
+
+        # Handle zero or negative SE (indicates perfect fit or numerical issues)
+        if se <= 0:
+            import warnings
+            warnings.warn(
+                f"Standard error is zero or negative (se={se}) for coefficient at index {index}. "
+                "This may indicate perfect multicollinearity or numerical issues.",
+                UserWarning,
+            )
+            # Use inf for t-stat when SE is zero (perfect fit scenario)
+            if coef > 0:
+                t_stat = np.inf
+            elif coef < 0:
+                t_stat = -np.inf
+            else:
+                t_stat = 0.0
+        else:
+            t_stat = coef / se
+
+        # Use instance alpha if not provided
+        effective_alpha = alpha if alpha is not None else self.alpha
+
+        # Use fitted df if not explicitly provided
+        # Note: df=None means use normal distribution
+        effective_df = df if df is not None else self.df_
+
+        # Warn if df is non-positive and fall back to normal distribution
+        if effective_df is not None and effective_df <= 0:
+            import warnings
+            warnings.warn(
+                f"Degrees of freedom is non-positive (df={effective_df}). "
+                "Using normal distribution instead of t-distribution for inference.",
+                UserWarning,
+            )
+            effective_df = None
+
+        # Compute p-value
+        p_value = _compute_p_value(t_stat, df=effective_df)
+
+        # Compute confidence interval
+        conf_int = _compute_confidence_interval(coef, se, effective_alpha, df=effective_df)
+
+        return InferenceResult(
+            coefficient=coef,
+            se=se,
+            t_stat=t_stat,
+            p_value=p_value,
+            conf_int=conf_int,
+            df=effective_df,
+            alpha=effective_alpha,
+        )
+
+    def get_inference_batch(
+        self,
+        indices: List[int],
+        alpha: Optional[float] = None,
+        df: Optional[int] = None,
+    ) -> Dict[int, InferenceResult]:
+        """
+        Get inference results for multiple coefficients.
+
+        Parameters
+        ----------
+        indices : list of int
+            Indices of coefficients to extract.
+        alpha : float, optional
+            Significance level for CIs. Defaults to instance-level alpha.
+        df : int, optional
+            Degrees of freedom. Defaults to fitted df.
+
+        Returns
+        -------
+        dict
+            Dictionary mapping index -> InferenceResult.
+
+        Examples
+        --------
+        >>> reg = LinearRegression().fit(X, y)
+        >>> results = reg.get_inference_batch([1, 2, 3])
+        >>> for idx, inf in results.items():
+        ...     print(f"Coef {idx}: {inf.coefficient:.3f} {inf.significance_stars()}")
+        """
+        self._check_fitted()
+        return {idx: self.get_inference(idx, alpha=alpha, df=df) for idx in indices}
+
+    def get_all_inference(
+        self,
+        alpha: Optional[float] = None,
+        df: Optional[int] = None,
+    ) -> List[InferenceResult]:
+        """
+        Get inference results for all coefficients.
+
+        Parameters
+        ----------
+        alpha : float, optional
+            Significance level for CIs. Defaults to instance-level alpha.
+        df : int, optional
+            Degrees of freedom. Defaults to fitted df.
+
+        Returns
+        -------
+        list of InferenceResult
+            Inference results for each coefficient in order.
+        """
+        self._check_fitted()
+        return [
+            self.get_inference(i, alpha=alpha, df=df)
+            for i in range(len(self.coefficients_))
+        ]
+
+    def r_squared(self, adjusted: bool = False) -> float:
+        """
+        Compute R-squared or adjusted R-squared.
+
+        Parameters
+        ----------
+        adjusted : bool, default False
+            If True, return adjusted R-squared.
+
+        Returns
+        -------
+        float
+            R-squared value.
+        """
+        self._check_fitted()
+        return compute_r_squared(
+            self._y, self.residuals_, adjusted=adjusted, n_params=self.n_params_
+        )
+
+    def predict(self, X: np.ndarray) -> np.ndarray:
+        """
+        Predict using the fitted model.
+
+        Parameters
+        ----------
+        X : ndarray of shape (n, k)
+            Design matrix for prediction. Should have same number of columns
+            as the original X (excluding intercept if include_intercept=True).
+
+        Returns
+        -------
+        ndarray
+            Predicted values.
+        """
+        self._check_fitted()
+        X = np.asarray(X, dtype=np.float64)
+
+        if self.include_intercept:
+            X = np.column_stack([np.ones(X.shape[0]), X])
+
+        return X @ self.coefficients_
+
+
+# =============================================================================
+# Internal helpers for inference (used by LinearRegression)
+# =============================================================================
+
+
+def _compute_p_value(
+    t_stat: float,
+    df: Optional[int] = None,
+    two_sided: bool = True,
+) -> float:
+    """
+    Compute p-value for a t-statistic.
+
+    Parameters
+    ----------
+    t_stat : float
+        T-statistic.
+    df : int, optional
+        Degrees of freedom. If None, uses normal distribution.
+    two_sided : bool, default True
+        Whether to compute two-sided p-value.
+
+    Returns
+    -------
+    float
+        P-value.
+    """
+    if df is not None and df > 0:
+        p_value = stats.t.sf(np.abs(t_stat), df)
+    else:
+        p_value = stats.norm.sf(np.abs(t_stat))
+
+    if two_sided:
+        p_value *= 2
+
+    return float(p_value)
+
+
+def _compute_confidence_interval(
+    estimate: float,
+    se: float,
+    alpha: float = 0.05,
+    df: Optional[int] = None,
+) -> Tuple[float, float]:
+    """
+    Compute confidence interval for an estimate.
+
+    Parameters
+    ----------
+    estimate : float
+        Point estimate.
+    se : float
+        Standard error.
+    alpha : float, default 0.05
+        Significance level (0.05 for 95% CI).
+    df : int, optional
+        Degrees of freedom. If None, uses normal distribution.
+
+    Returns
+    -------
+    tuple of (float, float)
+        (lower_bound, upper_bound) of confidence interval.
+    """
+    if df is not None and df > 0:
+        critical_value = stats.t.ppf(1 - alpha / 2, df)
+    else:
+        critical_value = stats.norm.ppf(1 - alpha / 2)
+
+    lower = estimate - critical_value * se
+    upper = estimate + critical_value * se
+
+    return (lower, upper)