cluster_cols_var = 'msamd'
FE_cols_vars = ['fips', 'cert']
how = 'fips, cert'
# Set File names
## OLS
file = 'Results/lpm_results_{}.{}'
#------------------------------------------------------------
# Run benchmark Model
#------------------------------------------------------------
# Loop over all years
for year in range(2004, 2019 + 1):
# Set df
df = dd_main[dd_main.date == year].compute(scheduler='threads')
df.reset_index(drop=True, inplace=True)
# Run
results_benchmark = MultiDimensionalOLS().fit(df[y], df[x],\
cov_type = cov_type, cluster_cols = df[cluster_cols_var],\
transform_data = True, FE_cols = df[FE_cols_vars], how = how)
# Transform to pandas df
df_results_benchmark = results_benchmark.to_dataframe()
# Save to excel and csv
df_results_benchmark.to_excel(file.format(year, 'xlsx'))
df_results_benchmark.to_csv(file.format(year, 'csv'))
del df, results_benchmark #, ols_benchmark
# Perform 2SLS
#------------------------------------------------------------
#------------------------------------------------------------
#------------------------------------------------------------
# FULL SAMPLE
#------------------------------------------------------------
# First Stage
## Compute first stage results
results_fs = MultiDimensionalOLS().fit(df_trans[x_endo], df_trans[[z] + x_exo],\
cov_type = cov_type, cluster_cols = df_trans[cluster_cols_var])
## Transform to df
df_results_fs = results_fs.to_dataframe()
''' TURN ON IF MULTIPLE INSTRUMENTS
## Perform partial f-test
### First calculate results without instrument
results_fs_noinstr = MultiDimensionalOLS().fit(df_trans[x_endo], df_trans[x_exo],\
cov_type = cov_type, cluster_cols = df_trans[cluster_cols_var])
### Do f-test
f_stat = ((results_fs_noinstr.rss - results_fs.rss) / 1) / results_fs.mse_resid '''
## Save to csv
df_results_fs.to_csv(file.format('fs', 'csv'))
## Calculate LS hat and append to df
df_trans['ls_hat'] = results_fs.fittedvalues
else:
FE_cols = FE_cols_vars
h = how
# Run Model
if counter == 4: # pooled OLS
results = MultiDimensionalOLS().fit(data[y], data[x], cov_type = cov_type, cluster_cols = data[cluster_cols_var])
else:
results = MultiDimensionalOLS().fit(data[y], data[x],\
cov_type = cov_type, cluster_cols = data[cluster_cols_var],\
transform_data = True, FE_cols = data[FE_cols], how = h)
if counter == 2:
results_split = copy.deepcopy(results)
# Transform results to pd.DataFrame
df_results = results.to_dataframe()
# Add count for msamd en cert
df_results['msamd'] = msamd
df_results['cert'] = cert
# Save to csv
df_results.to_csv(file)
# Add one to counter
counter += 1
# Test the three different loan sale variables in model 2
# Joint Wald test of b1 = b2 and b2 = b3
R = pd.DataFrame([[1, -1, 0],[0, 1, -1]])
h_beta = R @ pd.DataFrame(results_split.params[:3])
# Set File names
file_local = 'Results/ratespread_results_local.{}'
file_local_year = 'Results/ratespread_results_local_{}.{}'
#------------------------------------------------------------
# Run Model
#------------------------------------------------------------
# Run
## Local
results_local = MultiDimensionalOLS().fit(df[y], df[x_local],\
cov_type = cov_type, cluster_cols = df[cluster_cols_var],\
transform_data = True, FE_cols = df[FE_cols_vars], how = how)
### Transform to pandas df
df_results_local = results_local.to_dataframe()
### Save to excel and csv
df_results_local.to_excel(file_local.format('xlsx'))
df_results_local.to_csv(file_local.format('csv'))
del results_local
## 2018 and 2019 separate
for year in range(2018, 2019 + 1):
# Set df
df_year = df[df.date == year]
# Run
results_yearly = MultiDimensionalOLS().fit(df_year[y], df_year[x_local],\
cov_type = cov_type, cluster_cols = df_year[cluster_cols_var],\
file2 = 'Robustness_checks/Distance_robust_remote.{}'
file3 = 'Robustness_checks/Distance_robust_lssplit.{}'
file4 = 'Robustness_checks/Distance_robust_lsever.{}'
file5 = 'Robustness_checks/Distance_robust_loancosts.{}'
#------------------------------------------------------------
# Run Model
#------------------------------------------------------------
# Run
for y, x, file in zip(y_lst, [x0, x0, x1, x2], [file1, file2, file3, file4]):
results = MultiDimensionalOLS().fit(df_trans[y], df_trans[x],\
cov_type = cov_type, cluster_cols = df_trans[cluster_cols_var])
### Transform to pandas df
df_results = results.to_dataframe()
## Do wald test for file3
if file == file3:
R = pd.DataFrame([[1, -1, 0], [0, 1, -1]])
h_beta = R @ pd.DataFrame(results.params[:3])
C = results.nobs * results.cov.iloc[:3, :3]
test_stat = results.nobs * h_beta.T @ np.linalg.inv(
R @ C @ R.T) @ h_beta
## F test
pval_wald = stats.chi2.sf(test_stat, R.shape[0])
df_results['wald_stat'] = test_stat.iloc[0, 0]
df_results['wald_pval'] = float(pval_wald)
# Set other parameters
cov_type = 'clustered'
cluster_cols_var = 'msamd'
FE_cols_vars = ['fips', 'cert']
how = 'fips, cert'
# Set File names
file1 = 'Robustness_checks/Ratespread_robust_distance.{}'
file2 = 'Robustness_checks/Ratespread_robust_cdd.{}'
file3 = 'Robustness_checks/Ratespread_robust_lsever.{}'
#------------------------------------------------------------
# Run Model
#------------------------------------------------------------
# Run
for x, file in zip([x1, x2, x3], [file1, file2, file3]):
results_local = MultiDimensionalOLS().fit(df[y], df[x],\
cov_type = cov_type, cluster_cols = df[cluster_cols_var],\
transform_data = True, FE_cols = df[FE_cols_vars], how = how)
### Transform to pandas df
df_results_local = results_local.to_dataframe()
### Save to excel and csv
df_results_local.to_excel(file.format('xlsx'))
df_results_local.to_csv(file.format('csv'))
del results_local
file_re_msatcert_int_res = 'Results/Results_re_msatcert_int_res.{}'
file_re_msatcert_lsint_res = 'Results/Results_re_msatcert_lsint_res{}'
#------------------------------------------------------------
# 1) Pooled OLS -- loan sales + controls -- Full sample
#------------------------------------------------------------
# Run
results_ols_ls_full = MultiDimensionalOLS().fit(
df_full[y_var],
df_full[x_ls_var + ['intercept']],
cov_type=cov_type,
cluster_cols=df_full[cluster_cols_var])
# Transform to pandas df
df_results_ols_ls_full = results_ols_ls_full.to_dataframe()
# Add count for msamd en cert
df_results_ols_ls_full['msamd'] = msamd_full
df_results_ols_ls_full['cert'] = cert_full
# Save to excel and csv
df_results_ols_ls_full.to_excel(file_ols_ls_full.format('xlsx'))
df_results_ols_ls_full.to_csv(file_ols_ls_full.format('csv'))
#------------------------------------------------------------
# 2) Pooled OLS -- loan sales + controls -- Reduced sample
#------------------------------------------------------------
# Run
results_ols_ls_res = MultiDimensionalOLS().fit(