diff --git a/CHANGELOG.rst b/CHANGELOG.rst
index ce0cddb0..b338ca0b 100644
--- a/CHANGELOG.rst
+++ b/CHANGELOG.rst
@@ -7,6 +7,14 @@
 Changelog
 =========
 
+2.0.3 - 2021-11-05
+------------------
+
+**Other:**
+
+- We are now specifying the run time dependencies in ``setup.py``, so that missing dependencies are automatically installed from PyPI when installing ``glum`` via pip.
+
+
 2.0.2 - 2021-11-03
 ------------------
 
@@ -15,7 +23,7 @@ Changelog
 - Fixed the sign of the log likelihood of the Gaussian distribution (not used for fitting coefficients).
 - Fixed the wide benchmarks which had duplicated columns (categorical and numerical).
 
-** Other:**
+**Other:**
 
 - The CI now builds the wheels and upload to pypi with every new release.
 - Renamed functions checking for qc.matrix compliance to refer to tabmat.
diff --git a/setup.py b/setup.py
index c28e3f15..f35da43a 100644
--- a/setup.py
+++ b/setup.py
@@ -72,7 +72,15 @@
         if os.environ.get("CONDA_BUILD")
         else ["glum", "glum_benchmarks"],
     ),
-    install_requires=[],
+    install_requires=[
+        "joblib",
+        "numexpr",
+        "numpy",
+        "pandas",
+        "scikit-learn>=0.23",
+        "scipy",
+        "tabmat>=3.0.1",
+    ],
     entry_points=None
     if os.environ.get("CONDA_BUILD")
     else """