DEPR: deprecate pandas.fama_macbeth, pandas-dev#6077

Author: jreback

doc/source/whatsnew/v0.18.0.txt

@@ -253,6 +253,7 @@ Deprecations
   For example, instead of ``s.rolling(window=5,freq='D').max()`` to get the max value on a rolling 5 Day window, one could use ``s.resample('D',how='max').rolling(window=5).max()``, which first resamples the data to daily data, then provides a rolling 5 day window.
 
 - ``pd.tseries.frequencies.get_offset_name`` function is deprecated. Use offset's ``.freqstr`` property as alternative (:issue:`11192`)
+- ``pandas.fama_macbeth`` routines are deprecated and will be removed in a future version (:issue:``)
 
 .. _whatsnew_0180.prior_deprecations:
 
@@ -345,5 +346,8 @@ Bug Fixes
 - Bug in ``read_excel`` failing to raise ``NotImplemented`` error when keywords `parse_dates` and `date_parser` are provided (:issue:`11544`)
 
 - Bug in ``read_sql`` with pymysql connections failing to return chunked data (:issue:`11522`)
+<<<<<<< f67dd750a67e1e097b58407c755016d3726f21d5
 
-- Bug in ``DataFrame`` when masking an empty ``DataFrame`` (:issue:`11859`)
+- Bug in ``DataFrame`` when masking an empty ``DataFrame`` (:issue:`11859`)
+=======
+>>>>>>> DEPR: deprecate pandas.fama_macbeth, #6077

pandas/stats/fama_macbeth.py

@@ -17,7 +17,7 @@ def fama_macbeth(**kwargs):
 
     nw_lags_beta: int
        Newey-West adjusts the betas by the given lags
-    """
+       """
     window_type = kwargs.get('window_type')
     if window_type is None:
         klass = FamaMacBeth
@@ -32,6 +32,12 @@ def __init__(self, y, x, intercept=True, nw_lags=None,
                  nw_lags_beta=None,
                  entity_effects=False, time_effects=False, x_effects=None,
                  cluster=None, dropped_dummies=None, verbose=False):
+        import warnings
+        warnings.warn("The pandas.stats.fama_macbeth module is deprecated and will be "
+                      "removed in a future version. We refer to external packages "
+                      "like statsmodels. ",
+                      FutureWarning, stacklevel=4)
+
         if dropped_dummies is None:
                 dropped_dummies = {}
         self._nw_lags_beta = nw_lags_beta

pandas/stats/tests/test_fama_macbeth.py

@@ -4,6 +4,7 @@
 
 from pandas.compat import range
 from pandas import compat
+import pandas.util.testing as tm
 import numpy as np
 
 
@@ -23,8 +24,9 @@ def testFamaMacBethRolling(self):
     def checkFamaMacBethExtended(self, window_type, x, y, **kwds):
         window = 25
 
-        result = fama_macbeth(y=y, x=x, window_type=window_type, window=window,
-                              **kwds)
+        with tm.assert_produces_warning(FutureWarning, check_stacklevel=False):
+            result = fama_macbeth(y=y, x=x, window_type=window_type, window=window,
+                                  **kwds)
         self._check_stuff_works(result)
 
         index = result._index
@@ -43,10 +45,12 @@ def checkFamaMacBethExtended(self, window_type, x, y, **kwds):
                 x2[k] = v.truncate(start, end)
             y2 = y.truncate(start, end)
 
-            reference = fama_macbeth(y=y2, x=x2, **kwds)
+            with tm.assert_produces_warning(FutureWarning, check_stacklevel=False):
+                reference = fama_macbeth(y=y2, x=x2, **kwds)
             assert_almost_equal(reference._stats, result._stats[:, i])
 
-        static = fama_macbeth(y=y2, x=x2, **kwds)
+        with tm.assert_produces_warning(FutureWarning, check_stacklevel=False):
+            static = fama_macbeth(y=y2, x=x2, **kwds)
         self._check_stuff_works(static)
 
     def _check_stuff_works(self, result):