def _work(y, x, w, regi_ids, r, yend, q, robust, sig2n_k, name_ds, name_y,
name_x, name_yend, name_q, name_w, name_regimes):
y_r = y[regi_ids[r]]
x_r = x[regi_ids[r]]
yend_r = yend[regi_ids[r]]
q_r = q[regi_ids[r]]
x_constant = USER.check_constant(x_r)
if robust == 'hac' or robust == 'ogmm':
robust2 = None
else:
robust2 = robust
model = BaseTSLS(y_r,
x_constant,
yend_r,
q_r,
robust=robust2,
sig2n_k=sig2n_k)
model.title = "TWO STAGE LEAST SQUARES ESTIMATION - REGIME %s" % r
if robust == 'ogmm':
_optimal_weight(model, sig2n_k, warn=False)
model.robust = USER.set_robust(robust)
model.name_ds = name_ds
model.name_y = '%s_%s' % (str(r), name_y)
model.name_x = ['%s_%s' % (str(r), i) for i in name_x]
model.name_yend = ['%s_%s' % (str(r), i) for i in name_yend]
model.name_z = model.name_x + model.name_yend
model.name_q = ['%s_%s' % (str(r), i) for i in name_q]
model.name_h = model.name_x + model.name_q
model.name_w = name_w
model.name_regimes = name_regimes
if w:
w_r, warn = REGI.w_regime(w, regi_ids[r], r, transform=True)
set_warn(model, warn)
model.w = w_r
return model
def _work(y,x,regi_ids,r,yend,q,w_r,w_lags,lag_q,robust,sig2n_k,name_ds,name_y,name_x,name_yend,name_q,name_w,name_regimes):
y_r = y[regi_ids[r]]
x_r = x[regi_ids[r]]
if yend != None:
yend_r = yend[regi_ids[r]]
else:
yend_r = yend
if q != None:
q_r = q[regi_ids[r]]
else:
q_r = q
yend_r, q_r = set_endog_sparse(y_r, x_r, w_r, yend_r, q_r, w_lags, lag_q)
x_constant = USER.check_constant(x_r)
if robust == 'hac':
robust = None
model = BaseTSLS(y_r, x_constant, yend_r, q_r, robust=robust, sig2n_k=sig2n_k)
model.title = "SPATIAL TWO STAGE LEAST SQUARES ESTIMATION - REGIME %s" %r
model.robust = USER.set_robust(robust)
model.name_ds = name_ds
model.name_y = '%s_%s'%(str(r), name_y)
model.name_x = ['%s_%s'%(str(r), i) for i in name_x]
model.name_yend = ['%s_%s'%(str(r), i) for i in name_yend]
model.name_z = model.name_x + model.name_yend
model.name_q = ['%s_%s'%(str(r), i) for i in name_q]
model.name_h = model.name_x + model.name_q
model.name_w = name_w
model.name_regimes = name_regimes
return model
def _run_stp1(y, x, yend, q, eq_ids, r, sig2n_k, w, w_lags, lag_q):
y_r = y[eq_ids[r]]
x_r = x[eq_ids[r]]
yend_r = None
if yend != None:
yend_r = yend[eq_ids[r]]
q_r = q[eq_ids[r]]
if w_lags:
yend_r, q_r = set_endog_sparse(y_r, x_r, w, yend_r, q_r, w_lags, lag_q)
x_constant = USER.check_constant(x_r)
if yend != None:
model = BaseTSLS(y_r, x_constant, yend_r, q_r, sig2n_k=sig2n_k)
model.zhat = np.dot(model.h, np.dot(model.hthi, model.htz))
else:
model = BaseOLS(y_r, x_constant, sig2n_k=sig2n_k)
model.zhat = model.x
model.z = model.x
return model
